Parametric Intl Correlations

ESISX Fund

USD 13.82 0.05 0.36%

The current 90-days correlation between Parametric Intl Equity and Blackstone Secured Lending is 0.14 (i.e., Average 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

Modest diversification

The correlation between Parametric Intl Equity and DJI is 0.2 (i.e., Modest 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

0.64	ERASX	Eaton Vance Atlanta	Pair Corr
0.95	EREMX	Eaton Vance Parametric	Pair Corr
0.81	ERGOX	Eaton Vance Government	Pair Corr
0.64	ERIFX	Eaton Vance Balanced	Pair Corr
0.88	ERHSX	Eaton Vance Worldwide	Pair Corr
0.97	ERISX	Parametric Intl Equity	Pair Corr
0.77	ERLGX	Eaton Vance Atlanta	Pair Corr
0.74	EAALX	Eaton Vance Atlanta	Pair Corr
0.69	ERSMX	Eaton Vance Atlanta	Pair Corr
0.68	EAASX	Eaton Vance Atlanta	Pair Corr
0.8	EADIX	Eaton Vance Tax	Pair Corr
0.73	EAERX	Eaton Vance Stock	Pair Corr
0.95	EAEMX	Parametric Emerging	Pair Corr

Moving against Parametric Mutual Fund

0.84	ERGMX	Eaton Vance Global	Pair Corr
0.52	ERAMX	Eaton Vance Multi	Pair Corr
0.83	EADOX	Eaton Vance Emerging	Pair Corr
0.79	EABLX	Eaton Vance Floating	Pair Corr
0.62	EAAMX	Eaton Vance Multi	Pair Corr
0.82	EAGMX	Eaton Vance Global	Pair Corr
0.79	EAFAX	Eaton Vance Floating	Pair Corr
0.74	EAFHX	Eaton Vance Floating	Pair Corr

Related Correlations Analysis

	BXSL	BTO	FNPIX	RMBLX	PGFMX	XFINX	MCBXX	PSSRX
BXSL		0.32	0.25	0.07	-0.33	0.29	0.0	-0.29	BXSL
BTO	0.32		0.91	0.94	0.53	0.61	0.0	0.75	BTO
FNPIX	0.25	0.91		0.89	0.63	0.53	0.0	0.76	FNPIX
RMBLX	0.07	0.94	0.89		0.65	0.52	0.0	0.89	RMBLX
PGFMX	-0.33	0.53	0.63	0.65		0.42	0.0	0.83	PGFMX
XFINX	0.29	0.61	0.53	0.52	0.42		0.0	0.35	XFINX
MCBXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	MCBXX
PSSRX	-0.29	0.75	0.76	0.89	0.83	0.35	0.0		PSSRX
	BXSL	BTO	FNPIX	RMBLX	PGFMX	XFINX	MCBXX	PSSRX

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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

RMBLX	+ 0.94	BTO
FNPIX	+ 0.91	BTO
RMBLX	+ 0.89	FNPIX
PSSRX	+ 0.89	RMBLX
PSSRX	+ 0.83	PGFMX
PSSRX	+ 0.76	FNPIX

High negative correlations

PGFMX	- 0.33	BXSL
PSSRX	- 0.29	BXSL
PSSRX	- 0.0	MCBXX
MCBXX	- 0.0	XFINX
MCBXX	- 0.0	PGFMX
MCBXX	- 0.0	RMBLX

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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BXSL	0.76	0.17	0.18	0.62	0.72	(0.80)	1.43	(1.14)	4.08
BTO	1.13	0.18	0.12	0.28	1.23	(1.23)	2.32	(1.91)	13.54
FNPIX	1.16	0.16	0.10	4.45	1.38	(1.22)	2.10	(2.50)	13.82
RMBLX	1.18	0.06	0.04	0.11	1.37	(1.33)	2.60	(2.31)	15.68
PGFMX	0.37	(0.02)	0.00	(0.58)	0.00	0.00	0.78	(0.85)	3.70
XFINX	0.12	0.00	0.00	(0.15)	0.21	(0.15)	0.21	(0.28)	1.14
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PSSRX	0.88	(0.01)	0.00	(0.03)	0.00	0.00	1.51	(1.79)	11.81

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