Parametric Intl Correlations

ERISX Fund

USD 14.87 0.05 0.34%

The current 90-days correlation between Parametric Intl Equity and Financial Industries Fund is 0.4 (i.e., Very weak diversification). The correlation of Parametric Intl 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.

Parametric Intl Correlation With Market

Very weak diversification

The correlation between Parametric Intl Equity and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Intl Equity 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 Parametric Intl Equity. 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 Parametric Mutual Fund

0.66	EMOAX	Eaton Vance Municipal	Pair Corr
0.72	ERAMX	Eaton Vance Multi	Pair Corr
0.92	ERGOX	Eaton Vance Government	Pair Corr
0.71	ERHSX	Eaton Vance Worldwide	Pair Corr
0.7	EAAMX	Eaton Vance Multi	Pair Corr
0.96	ERSIX	Eaton Vance Short	Pair Corr
0.91	EACOX	Eaton Vance Global	Pair Corr
0.88	EABSX	Eaton Vance Tabs	Pair Corr
0.88	EADOX	Eaton Vance Emerging	Pair Corr
0.86	EAEMX	Parametric Emerging	Pair Corr
0.92	EAGMX	Eaton Vance Global	Pair Corr
1.0	EAISX	Parametric International	Pair Corr
0.95	EALDX	Eaton Vance Short	Pair Corr
0.79	EALBX	Eaton Vance Tabs	Pair Corr
0.73	EALTX	Ev Tab Lad	Pair Corr
0.91	EAMLX	Eaton Vance National	Pair Corr
0.76	EAPCX	Parametric Commodity	Pair Corr
0.94	EARRX	Eaton Vance Short	Pair Corr

Moving against Parametric Mutual Fund

0.71	EAASX	Eaton Vance Atlanta	Pair Corr
0.48	ERBCX	Eaton Vance Richard	Pair Corr
0.46	ERBIX	Eaton Vance Richard	Pair Corr
0.46	ERBAX	Eaton Vance Richard	Pair Corr
0.39	EAERX	Eaton Vance Stock	Pair Corr
0.37	EIM	Eaton Vance Mbf	Pair Corr
0.37	EAEAX	Eaton Vance Tax	Pair Corr
0.6	EAFGX	Eaton Vance Focused	Pair Corr
0.42	ESEAX	Eaton Vance Atlanta	Pair Corr
0.42	ESEIX	Eaton Vance Atlanta	Pair Corr

Related Correlations Analysis

	FIDAX	MCBXX	PSSRX	FTIXX	SBFAX	BTO	XFINX	RMBLX
FIDAX		0.0	0.98	0.0	0.76	0.82	0.57	0.89	FIDAX
MCBXX	0.0		0.0	0.0	0.0	0.0	0.0	0.0	MCBXX
PSSRX	0.98	0.0		0.0	0.85	0.87	0.61	0.92	PSSRX
FTIXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	FTIXX
SBFAX	0.76	0.0	0.85	0.0		0.84	0.69	0.82	SBFAX
BTO	0.82	0.0	0.87	0.0	0.84		0.58	0.91	BTO
XFINX	0.57	0.0	0.61	0.0	0.69	0.58		0.59	XFINX
RMBLX	0.89	0.0	0.92	0.0	0.82	0.91	0.59		RMBLX
	FIDAX	MCBXX	PSSRX	FTIXX	SBFAX	BTO	XFINX	RMBLX

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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

PSSRX	+ 0.98	FIDAX
RMBLX	+ 0.92	PSSRX
RMBLX	+ 0.91	BTO
RMBLX	+ 0.89	FIDAX
BTO	+ 0.87	PSSRX
SBFAX	+ 0.85	PSSRX

High negative correlations

RMBLX	- 0.0	FTIXX
XFINX	- 0.0	FTIXX
BTO	- 0.0	FTIXX
SBFAX	- 0.0	FTIXX
FTIXX	- 0.0	PSSRX
RMBLX	- 0.0	MCBXX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Intl 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 Parametric Intl'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
FIDAX	1.01	(0.12)	(0.15)	2.02	(3.26)	7.13
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00
PSSRX	1.00	(0.10)	(0.13)	1.85	(3.18)	6.03
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00
SBFAX	0.79	0.01	(0.02)	1.69	(1.92)	5.22
BTO	1.08	(0.06)	(0.10)	2.30	(2.35)	6.87
XFINX	0.14	(0.02)	0.36	0.28	(0.64)	1.27
RMBLX	1.15	(0.13)	(0.16)	2.20	(3.09)	6.78

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