Eaton Vance Correlations

ERGOX Fund

USD 5.29 0.01 0.19%

The current 90-days correlation between Eaton Vance Government and Ab Bond Inflation is 0.82 (i.e., Very poor 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

Significant diversification

The correlation between Eaton Vance Government and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Government 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 Government. 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 persons.

Moving together with Eaton Mutual Fund

0.92	ERISX	Parametric Intl Equity	Pair Corr
0.77	EADOX	Eaton Vance Emerging	Pair Corr
0.72	EAEMX	Parametric Emerging	Pair Corr
0.83	EAGMX	Eaton Vance Global	Pair Corr
0.92	EAISX	Parametric International	Pair Corr
0.84	EALBX	Eaton Vance Tabs	Pair Corr
0.62	ECAMX	Eaton Vance Multi	Pair Corr
0.92	ECBSX	Eaton Vance Tabs	Pair Corr
0.7	ECEMX	Parametric Emerging	Pair Corr
0.69	ECHIX	Eaton Vance High	Pair Corr
0.68	ECIBX	Eaton Vance Income	Pair Corr
0.75	ECLTX	Ev Tab Lad	Pair Corr
0.63	ECNCX	Eaton Vance North	Pair Corr
0.63	ECMDX	Eaton Vance Maryland	Pair Corr
0.93	ECSIX	Eaton Vance Short	Pair Corr
0.91	ECRRX	Eaton Vance Short	Pair Corr

Moving against Eaton Mutual Fund

0.74	ETGIX	Eaton Vance Greater	Pair Corr
0.62	ETMGX	Eaton Vance Tax	Pair Corr
0.58	ERBIX	Eaton Vance Richard	Pair Corr
0.53	ESEIX	Eaton Vance Atlanta	Pair Corr
0.46	ECIFX	Eaton Vance Balanced	Pair Corr
0.75	ECLCX	Eaton Vance Growth	Pair Corr
0.63	ECMGX	Eaton Vance Tax	Pair Corr
0.61	ECSMX	Eaton Vance Small	Pair Corr
0.47	ECTGX	Eaton Vance Tax	Pair Corr
0.46	EXTGX	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	ABNTX	SLFYX	FLIBX	PFRMX	TILUX	ABNZX	ANBIX
ABNTX		0.95	0.99	0.97	1.0	1.0	0.98	ABNTX
SLFYX	0.95		0.92	0.97	0.93	0.94	0.92	SLFYX
FLIBX	0.99	0.92		0.96	1.0	0.99	0.98	FLIBX
PFRMX	0.97	0.97	0.96		0.97	0.97	0.95	PFRMX
TILUX	1.0	0.93	1.0	0.97		1.0	0.98	TILUX
ABNZX	1.0	0.94	0.99	0.97	1.0		0.98	ABNZX
ANBIX	0.98	0.92	0.98	0.95	0.98	0.98		ANBIX
	ABNTX	SLFYX	FLIBX	PFRMX	TILUX	ABNZX	ANBIX

Click cells to compare fundamentals

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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
ABNTX	0.16	0.03	0.26	6.03	0.00	(0.21)	0.30	(0.39)	0.99
SLFYX	0.19	0.06	0.45	(2.48)	0.00	(0.27)	0.50	(0.26)	1.02
FLIBX	0.22	0.03	0.20	0.87	0.17	(0.27)	0.44	(0.53)	1.43
PFRMX	0.23	0.05	0.23	0.72	0.12	(0.32)	0.49	(0.36)	1.34
TILUX	0.23	0.00	0.21	0.00	0.16	(0.29)	0.49	(0.48)	1.24
ABNZX	0.16	0.02	0.27	2.33	0.00	(0.20)	0.30	(0.30)	0.88
ANBIX	0.16	0.03	0.27	(0.89)	0.00	(0.21)	0.38	(0.38)	0.98

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