Eaton Vance Correlations

ETG Fund

USD 18.55 0.03 0.16%

The current 90-days correlation between Eaton Vance Tax and John Hancock Tax is 0.35 (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.

Eaton Vance Correlation With Market

Poor diversification

The correlation between Eaton Vance Tax and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax 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 Tax. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Eaton Fund

0.63	NEA	Nuveen Amt Free	Pair Corr
0.68	NVG	Nuveen Amt Free	Pair Corr
0.75	NZF	Nuveen Municipal Credit	Pair Corr
0.62	UTF	Cohen And Steers	Pair Corr
0.7	XSWZX	Swiss Helvetia	Pair Corr
0.61	PUGCX	Putnam Global Equity	Pair Corr
0.64	TEDPX	Tiaa Cref Emerging	Pair Corr
0.72	CITEX	American High Income	Pair Corr
0.89	IFACX	Income Fund	Pair Corr
0.68	MINFX	Mfs International Value	Pair Corr
0.76	TIDDX	T Rowe Price	Pair Corr
0.88	BACPX	Blackrock Conservative	Pair Corr
0.88	PCCFX	Prudential Income Builder	Pair Corr
0.81	CBURX	Columbia Income Builder	Pair Corr
0.65	JSEAX	Jpmorgan International	Pair Corr
0.83	MNCIX	Pro-blend(r) Conservative	Pair Corr
0.82	JTOIX	Multimanager Lifestyle	Pair Corr
0.75	MCTAX	Massmutual Retiresmart	Pair Corr
0.81	RBBCX	Columbia Income Builder	Pair Corr
0.81	RIRFX	Capital Income Builder	Pair Corr
0.91	LBSAX	Columbia Dividend Income	Pair Corr
0.63	HEMZX	Virtus Emerging Markets	Pair Corr
0.74	DURIX	Deutsche European Equity	Pair Corr

Moving against Eaton Fund

0.68	ABQYX	Ab Intermediate Bond	Pair Corr
0.34	RYUHX	Inverse Sp 500	Pair Corr

Related Correlations Analysis

	HTD	CSQ	ETO	ETV	MYD	EVT	ETB	NXC	ETW	ETY
HTD		-0.24	0.42	-0.17	0.7	-0.04	-0.41	0.51	0.54	0.18	HTD
CSQ	-0.24		0.69	0.97	0.06	0.91	0.97	0.22	0.6	0.89	CSQ
ETO	0.42	0.69		0.68	0.52	0.78	0.56	0.47	0.94	0.86	ETO
ETV	-0.17	0.97	0.68		0.12	0.84	0.94	0.25	0.62	0.91	ETV
MYD	0.7	0.06	0.52	0.12		0.21	-0.05	0.68	0.58	0.39	MYD
EVT	-0.04	0.91	0.78	0.84	0.21		0.86	0.34	0.71	0.85	EVT
ETB	-0.41	0.97	0.56	0.94	-0.05	0.86		0.1	0.45	0.79	ETB
NXC	0.51	0.22	0.47	0.25	0.68	0.34	0.1		0.57	0.47	NXC
ETW	0.54	0.6	0.94	0.62	0.58	0.71	0.45	0.57		0.84	ETW
ETY	0.18	0.89	0.86	0.91	0.39	0.85	0.79	0.47	0.84		ETY
	HTD	CSQ	ETO	ETV	MYD	EVT	ETB	NXC	ETW	ETY

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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

ETV	+ 0.97	CSQ
ETB	+ 0.97	CSQ
ETW	+ 0.94	ETO
ETB	+ 0.94	ETV
EVT	+ 0.91	CSQ
ETY	+ 0.91	ETV

High negative correlations

ETB	- 0.41	HTD
CSQ	- 0.24	HTD
ETV	- 0.17	HTD
ETB	- 0.05	MYD
EVT	- 0.04	HTD

Risk-Adjusted Indicators

There is a big difference between Eaton Fund performing well and Eaton Vance 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
HTD	0.67	0.14	0.26	0.36	0.59	(0.82)	1.68	(1.21)	3.71
CSQ	0.80	(0.06)	0.00	(0.14)	0.00	0.00	1.22	(1.65)	5.19
ETO	0.59	0.04	0.10	0.02	0.69	(0.65)	1.37	(1.24)	3.23
ETV	0.67	(0.06)	0.00	(0.17)	0.00	0.00	1.12	(1.59)	3.51
MYD	0.47	(0.04)	0.00	(0.30)	0.00	0.00	0.97	(1.06)	2.63
EVT	0.57	0.03	0.08	(0.01)	0.69	(0.66)	1.49	(1.29)	3.45
ETB	0.62	(0.08)	0.00	(0.21)	0.00	0.00	0.89	(1.31)	3.93
NXC	0.36	0.01	0.13	(0.02)	0.43	(0.38)	0.78	(0.68)	1.98
ETW	0.60	0.05	0.10	0.02	0.72	(0.64)	1.19	(1.18)	3.59
ETY	0.69	0.01	0.00	(0.05)	0.00	0.00	1.27	(1.33)	5.10

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