Eaton Vance Correlations

ERGMX Fund

USD 8.60 0.01 0.12%

The current 90-days correlation between Eaton Vance Global and Firsthand Technology Opportunities is 0.21 (i.e., Modest 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

Good diversification

The correlation between Eaton Vance Global and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Global 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 Global. 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

0.87	EMAIX	Eaton Vance Msschsts	Pair Corr
0.63	EMOCX	Eaton Vance Municipal	Pair Corr
0.68	EMOAX	Eaton Vance Municipal	Pair Corr
0.69	EMOIX	Eaton Vance Municipal	Pair Corr
0.78	ERAMX	Eaton Vance Multi	Pair Corr
0.85	EREMX	Eaton Vance Parametric	Pair Corr
0.81	ERHIX	Eaton Vance High	Pair Corr
0.87	ERGOX	Eaton Vance Government	Pair Corr
0.83	ERIBX	Eaton Vance Income	Pair Corr
0.76	ERHSX	Eaton Vance Worldwide	Pair Corr
0.95	ERISX	Parametric Intl Equity	Pair Corr
0.77	EAAMX	Eaton Vance Multi	Pair Corr
0.97	ERSIX	Eaton Vance Short	Pair Corr
0.84	EACOX	Eaton Vance Global	Pair Corr
0.88	EABSX	Eaton Vance Tabs	Pair Corr
0.97	EADOX	Eaton Vance Emerging	Pair Corr
0.85	EAEMX	Parametric Emerging	Pair Corr

Moving against Eaton Mutual Fund

0.48	ERBCX	Eaton Vance Richard	Pair Corr
0.46	ERBAX	Eaton Vance Richard	Pair Corr
0.45	ERBIX	Eaton Vance Richard	Pair Corr
0.44	ERASX	Eaton Vance Atlanta	Pair Corr
0.36	EIM	Eaton Vance Mbf	Pair Corr
0.66	ERSMX	Eaton Vance Atlanta	Pair Corr
0.66	EAASX	Eaton Vance Atlanta	Pair Corr
0.55	EACPX	Eaton Vance Tax	Pair Corr
0.43	ERSGX	Eaton Vance Small	Pair Corr
0.55	EAFGX	Eaton Vance Focused	Pair Corr
0.46	EALCX	Eaton Vance Growth	Pair Corr
0.44	EAERX	Eaton Vance Stock	Pair Corr
0.31	EAEAX	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	TEFQX	JAGTX	BSTSX	WFSTX	CONIX	GITAX	JGLTX	CMTFX
TEFQX		0.7	0.7	0.83	0.72	0.78	0.7	0.64	TEFQX
JAGTX	0.7		1.0	0.94	0.94	0.98	1.0	0.99	JAGTX
BSTSX	0.7	1.0		0.93	0.93	0.98	1.0	1.0	BSTSX
WFSTX	0.83	0.94	0.93		0.97	0.97	0.94	0.91	WFSTX
CONIX	0.72	0.94	0.93	0.97		0.95	0.94	0.92	CONIX
GITAX	0.78	0.98	0.98	0.97	0.95		0.98	0.96	GITAX
JGLTX	0.7	1.0	1.0	0.94	0.94	0.98		0.99	JGLTX
CMTFX	0.64	0.99	1.0	0.91	0.92	0.96	0.99		CMTFX
	TEFQX	JAGTX	BSTSX	WFSTX	CONIX	GITAX	JGLTX	CMTFX

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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
TEFQX	1.69	(0.02)	0.03	(0.02)	2.52	(1.49)	2.97	(3.49)	10.40
JAGTX	1.18	(0.15)	0.00	1.35	0.00	0.00	2.00	(3.18)	6.40
BSTSX	1.46	(0.19)	0.00	1.15	0.00	0.00	2.37	(3.59)	9.07
WFSTX	0.88	(0.10)	0.00	7.71	0.00	0.00	1.71	(1.95)	4.93
CONIX	0.59	(0.07)	0.00	2.12	0.00	0.00	1.07	(1.07)	3.04
GITAX	1.21	(0.17)	0.00	1.20	0.00	0.00	1.73	(2.82)	7.57
JGLTX	1.17	(0.14)	0.00	1.34	0.00	0.00	1.98	(3.11)	6.39
CMTFX	1.31	(0.19)	0.00	1.43	0.00	0.00	1.94	(3.44)	7.85

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