Eaton Vance Correlations
| ERIBX Fund | USD 5.23 0.01 0.19% |
The current 90-days correlation between Eaton Vance Income and John Hancock Government is 0.64 (i.e., 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
Modest diversification
The correlation between Eaton Vance Income and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Income and DJI in the same portfolio, assuming nothing else is changed.
Eaton |
Moving together with Eaton Mutual Fund
| 0.89 | EMAIX | Eaton Vance Msschsts | PairCorr |
| 0.89 | ERAMX | Eaton Vance Multi | PairCorr |
| 0.74 | EREMX | Eaton Vance Parametric | PairCorr |
| 0.94 | ERHIX | Eaton Vance High | PairCorr |
| 0.71 | ERGOX | Eaton Vance Government | PairCorr |
| 0.7 | ERGMX | Eaton Vance Global | PairCorr |
| 0.78 | ERISX | Parametric Intl Equity | PairCorr |
| 0.89 | EAAMX | Eaton Vance Multi | PairCorr |
| 0.89 | ERSIX | Eaton Vance Short | PairCorr |
| 0.71 | EABLX | Eaton Vance Floating | PairCorr |
| 0.71 | EACOX | Eaton Vance Global | PairCorr |
| 0.76 | EABSX | Eaton Vance Tabs | PairCorr |
| 0.74 | EADOX | Eaton Vance Emerging | PairCorr |
| 0.86 | EADIX | Eaton Vance Tax | PairCorr |
| 0.73 | EAEMX | Parametric Emerging | PairCorr |
| 0.78 | EAFHX | Eaton Vance Floating | PairCorr |
Related Correlations Analysis
| 0.97 | 0.95 | 0.99 | 0.97 | 0.99 | 0.0 | JGIFX | ||
| 0.97 | 0.99 | 0.99 | 1.0 | 0.99 | 0.0 | RGVAX | ||
| 0.95 | 0.99 | 0.98 | 1.0 | 0.98 | 0.0 | USGFX | ||
| 0.99 | 0.99 | 0.98 | 0.98 | 0.99 | 0.0 | FITSX | ||
| 0.97 | 1.0 | 1.0 | 0.98 | 0.99 | 0.0 | UGSFX | ||
| 0.99 | 0.99 | 0.98 | 0.99 | 0.99 | 0.0 | FHNFX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | TAMXX | ||
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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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| JGIFX | 0.24 | 0.01 | 0.03 | 0.25 | 0.24 | 0.52 | 1.43 | |||
| RGVAX | 0.25 | 0.02 | 0.05 | 0.26 | 0.22 | 0.60 | 1.72 | |||
| USGFX | 0.25 | 0.02 | 0.06 | 0.33 | 0.20 | 0.59 | 1.62 | |||
| FITSX | 0.26 | 0.02 | 0.05 | 0.28 | 0.24 | 0.57 | 1.60 | |||
| UGSFX | 0.25 | 0.02 | 0.06 | 0.31 | 0.21 | 0.60 | 1.63 | |||
| FHNFX | 0.22 | 0.02 | 0.04 | 0.36 | 0.18 | 0.55 | 1.44 | |||
| TAMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |