Eaton Vance Correlations

ERHSX Fund

USD 15.25 0.09 0.59%

The current 90-days correlation between Eaton Vance Worldwide and T Rowe Price is 0.37 (i.e., Weak 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

Weak diversification

The correlation between Eaton Vance Worldwide and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Worldwide 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 Worldwide. 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 state.

Moving together with Eaton Mutual Fund

0.7	EMOCX	Eaton Vance Municipal	Pair Corr
0.7	EMOAX	Eaton Vance Municipal	Pair Corr
0.7	EMOIX	Eaton Vance Municipal	Pair Corr
0.64	ENYIX	Eaton Vance New	Pair Corr
0.77	ERIFX	Eaton Vance Balanced	Pair Corr
0.7	ERISX	Parametric Intl Equity	Pair Corr
0.86	ERLGX	Eaton Vance Atlanta	Pair Corr
0.85	ERLVX	Eaton Vance Large	Pair Corr
0.86	EAALX	Eaton Vance Atlanta	Pair Corr
0.85	ERSTX	Eaton Vance Large	Pair Corr
0.72	ERSGX	Eaton Vance Small	Pair Corr
0.67	EABSX	Eaton Vance Tabs	Pair Corr
0.7	EAEAX	Eaton Vance Tax	Pair Corr
0.75	EAFVX	Eaton Vance Val	Pair Corr

Related Correlations Analysis

	RRMGX	TRMIX	BPSCX	TRSZX	RYAGX	RRMVX	BSMDX
RRMGX		0.99	0.97	0.69	-0.54	0.99	0.49	RRMGX
TRMIX	0.99		0.97	0.66	-0.57	1.0	0.43	TRMIX
BPSCX	0.97	0.97		0.65	-0.43	0.97	0.44	BPSCX
TRSZX	0.69	0.66	0.65		-0.4	0.66	0.83	TRSZX
RYAGX	-0.54	-0.57	-0.43	-0.4		-0.56	-0.27	RYAGX
RRMVX	0.99	1.0	0.97	0.66	-0.56		0.43	RRMVX
BSMDX	0.49	0.43	0.44	0.83	-0.27	0.43		BSMDX
	RRMGX	TRMIX	BPSCX	TRSZX	RYAGX	RRMVX	BSMDX

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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

RRMVX	+ 1.0	TRMIX
TRMIX	+ 0.99	RRMGX
RRMVX	+ 0.99	RRMGX
BPSCX	+ 0.97	RRMGX
BPSCX	+ 0.97	TRMIX
RRMVX	+ 0.97	BPSCX

High negative correlations

RYAGX	- 0.57	TRMIX
RRMVX	- 0.56	RYAGX
RYAGX	- 0.54	RRMGX
RYAGX	- 0.43	BPSCX
RYAGX	- 0.4	TRSZX
BSMDX	- 0.27	RYAGX

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
RRMGX	0.80	(0.18)	0.00	(0.25)	0.00	0.00	1.33	(1.62)	12.00
TRMIX	0.75	(0.19)	0.00	(0.27)	0.00	0.00	1.21	(1.35)	12.98
BPSCX	0.91	(0.21)	0.00	(0.24)	0.00	0.00	1.51	(1.91)	14.47
TRSZX	0.90	(0.05)	0.00	(0.05)	0.00	0.00	1.63	(1.64)	6.12
RYAGX	1.26	0.13	0.04	0.31	2.80	(1.43)	1.48	(1.52)	39.49
RRMVX	0.75	(0.19)	0.00	(0.28)	0.00	0.00	1.21	(1.36)	13.26
BSMDX	1.02	(0.02)	0.00	(0.20)	0.00	0.00	1.82	(1.90)	6.86

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