Eaton Vance Correlations

ERAMX Fund

USD 9.94 0.01 0.10%

The current 90-days correlation between Eaton Vance Multi and T Rowe Price is -0.02 (i.e., Good diversification). The correlation of Eaton Vance is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Eaton Vance Correlation With Market

Average diversification

The correlation between Eaton Vance Multi Asset and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Multi Asset and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Eaton Vance Multi Asset. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Eaton Mutual Fund

0.73	EMAIX	Eaton Vance Msschsts	Pair Corr
0.91	ERHIX	Eaton Vance High	Pair Corr
0.9	ERGMX	Eaton Vance Global	Pair Corr
0.89	ERIBX	Eaton Vance Income	Pair Corr
0.99	EAAMX	Eaton Vance Multi	Pair Corr
0.92	ERSIX	Eaton Vance Short	Pair Corr
0.93	EABLX	Eaton Vance Floating	Pair Corr
0.85	EACOX	Eaton Vance Global	Pair Corr
0.9	EADOX	Eaton Vance Emerging	Pair Corr
0.68	EADIX	Eaton Vance Tax	Pair Corr
0.97	EAFHX	Eaton Vance Floating	Pair Corr

Moving against Eaton Mutual Fund

0.54	ERASX	Eaton Vance Atlanta	Pair Corr
0.39	ERBCX	Eaton Vance Richard	Pair Corr
0.37	ERBIX	Eaton Vance Richard	Pair Corr
0.37	ERBAX	Eaton Vance Richard	Pair Corr
0.55	ERSMX	Eaton Vance Atlanta	Pair Corr
0.54	EAASX	Eaton Vance Atlanta	Pair Corr
0.37	ERSGX	Eaton Vance Small	Pair Corr
0.44	EAFVX	Eaton Vance Val	Pair Corr
0.43	EAERX	Eaton Vance Stock	Pair Corr

Related Correlations Analysis

	TRBCX	JAAIX	HCVAX	DOXGX	TRLGX	GABFX	PBLIX	RETSX
TRBCX		0.59	0.51	0.24	0.17	-0.04	0.39	0.7	TRBCX
JAAIX	0.59		0.79	0.76	0.16	0.11	0.72	0.6	JAAIX
HCVAX	0.51	0.79		0.84	0.65	0.66	0.95	0.84	HCVAX
DOXGX	0.24	0.76	0.84		0.47	0.47	0.9	0.67	DOXGX
TRLGX	0.17	0.16	0.65	0.47		0.79	0.69	0.67	TRLGX
GABFX	-0.04	0.11	0.66	0.47	0.79		0.64	0.56	GABFX
PBLIX	0.39	0.72	0.95	0.9	0.69	0.64		0.81	PBLIX
RETSX	0.7	0.6	0.84	0.67	0.67	0.56	0.81		RETSX
	TRBCX	JAAIX	HCVAX	DOXGX	TRLGX	GABFX	PBLIX	RETSX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PBLIX	+ 0.95	HCVAX
PBLIX	+ 0.9	DOXGX
DOXGX	+ 0.84	HCVAX
RETSX	+ 0.84	HCVAX
RETSX	+ 0.81	PBLIX
HCVAX	+ 0.79	JAAIX

High negative correlations

GABFX

- 0.04

TRBCX

Risk-Adjusted Indicators

There is a big difference between Eaton Mutual Fund performing well and Eaton Vance Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Eaton Vance's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TRBCX	0.85	0.03	0.02	(0.23)	1.09	(0.90)	1.67	(1.89)	5.59
JAAIX	0.15	0.02	0.06	0.19	0.04	(0.21)	0.31	(0.25)	1.13
HCVAX	0.25	0.02	0.03	0.07	0.31	(0.27)	0.53	(0.44)	1.69
DOXGX	0.49	0.01	0.01	0.02	0.74	(0.46)	1.16	(1.04)	3.27
TRLGX	0.80	(0.06)	0.00	(0.10)	0.00	0.00	1.48	(1.76)	5.47
GABFX	0.80	0.03	0.03	0.16	0.84	(0.95)	1.89	(1.36)	4.85
PBLIX	0.50	0.01	0.01	0.02	0.73	(0.50)	0.92	(1.24)	3.22
RETSX	0.56	0.00	0.00	(0.04)	0.86	(0.53)	0.99	(1.10)	3.57

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