Eaton Vance Correlations

ERSTX Fund

USD 25.72 0.29 1.14%

The current 90-days correlation between Eaton Vance Large and Champlain Small is 0.75 (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

Poor diversification

The correlation between Eaton Vance Large Cap and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Large Cap 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 Large Cap. 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 estimate.

Moving together with Eaton Mutual Fund

0.8	ERIFX	Eaton Vance Balanced	Pair Corr
0.95	ERLGX	Eaton Vance Atlanta	Pair Corr
1.0	ERLVX	Eaton Vance Large	Pair Corr
0.95	EAALX	Eaton Vance Atlanta	Pair Corr
0.77	ERSGX	Eaton Vance Small	Pair Corr
0.64	EACPX	Eaton Vance Tax	Pair Corr
0.76	EADIX	Eaton Vance Tax	Pair Corr
0.82	EAEAX	Eaton Vance Tax	Pair Corr
0.95	EAFVX	Eaton Vance Val	Pair Corr

Related Correlations Analysis

	CIPNX	HSCVX	QLMSTX	VSFSX	DFUKX	QSERX
CIPNX		0.91	0.83	0.89	-0.02	0.94	CIPNX
HSCVX	0.91		0.95	0.93	-0.15	0.91	HSCVX
QLMSTX	0.83	0.95		0.9	-0.14	0.85	QLMSTX
VSFSX	0.89	0.93	0.9		-0.05	0.86	VSFSX
DFUKX	-0.02	-0.15	-0.14	-0.05		-0.09	DFUKX
QSERX	0.94	0.91	0.85	0.86	-0.09		QSERX
	CIPNX	HSCVX	QLMSTX	VSFSX	DFUKX	QSERX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

QLMSTX	+ 0.95	HSCVX
QSERX	+ 0.94	CIPNX
VSFSX	+ 0.93	HSCVX
HSCVX	+ 0.91	CIPNX
QSERX	+ 0.91	HSCVX
VSFSX	+ 0.9	QLMSTX

High negative correlations

DFUKX	- 0.15	HSCVX
DFUKX	- 0.14	QLMSTX
QSERX	- 0.09	DFUKX
DFUKX	- 0.05	VSFSX
DFUKX	- 0.02	CIPNX

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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
CIPNX	1.03	(0.21)	(0.25)	1.52	(2.00)	10.86
HSCVX	0.82	(0.08)	(0.13)	1.45	(1.78)	3.38
QLMSTX	1.05	(0.09)	(0.12)	1.75	(2.77)	5.65
VSFSX	0.87	(0.16)	1.54	1.48	(2.07)	5.18
DFUKX	0.80	(0.04)	0.12	1.96	(2.04)	6.05
QSERX	1.18	(0.24)	(0.19)	1.89	(2.52)	11.52

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC