Eaton Vance Correlations

ETG Fund

USD 19.14 0.09 0.47%

The current 90-days correlation between Eaton Vance Tax and John Hancock Tax is 0.51 (i.e., Very 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

Very weak diversification

The correlation between Eaton Vance Tax and DJI is 0.44 (i.e., Very weak 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

0.84	PTY	Pimco Corporate Income	Pair Corr
0.85	PHK	Pimco High Income	Pair Corr
0.77	PCN	Pimco Corporate Income	Pair Corr
0.67	FFC	Flaherty Crumrine	Pair Corr
0.78	NUV	Nuveen Municipal Value	Pair Corr
0.87	TEDNX	Tiaa Cref Emerging	Pair Corr
0.87	LBDFX	Lord Abbett Bond	Pair Corr
0.98	FDFQX	Fidelity Advisor Freedom	Pair Corr
0.8	TAHYX	Pioneer High Yield	Pair Corr
0.76	PDI	Pimco Dynamic Income	Pair Corr
0.94	ABWYX	Ab All Market	Pair Corr
0.62	RFXAX	Rational Special Sit	Pair Corr
0.76	CGAFX	Calvert Green Bond	Pair Corr
0.63	RPIHX	T Rowe Price	Pair Corr
0.96	FIOFX	Fidelity Freedom Index	Pair Corr
0.94	ICELX	Mainstay Epoch Inter	Pair Corr
0.86	SDIVX	Stock Dividend Fd	Pair Corr
0.67	NLSIX	Neuberger Berman Long	Pair Corr
0.73	FGORX	Franklin Government	Pair Corr
0.69	ZEMAX	Investec Emerging Markets	Pair Corr
0.77	PHYRX	High Yield Fund	Pair Corr
0.75	NPSRX	Nuveen Preferred Sec	Pair Corr
0.78	AMTZX	Ab All Market	Pair Corr
0.89	MXECX	Great-west Core	Pair Corr
0.92	TRERX	Tiaa Cref International	Pair Corr
0.69	TROSX	T Rowe Price	Pair Corr
0.87	BMRRX	Blackrock Mid Cap	Pair Corr

Moving against Eaton Fund

0.32

CHY

Calamos Convertible And

Pair Corr

Related Correlations Analysis

	HTD	CSQ	ETO	ETV	MYD	EVT	ETB	NXC	ETW	ETY
HTD		0.57	0.62	0.4	0.71	0.79	0.12	0.62	0.58	0.47	HTD
CSQ	0.57		0.89	0.89	0.23	0.45	0.66	0.09	0.95	0.89	CSQ
ETO	0.62	0.89		0.73	0.5	0.59	0.49	0.17	0.86	0.72	ETO
ETV	0.4	0.89	0.73		-0.05	0.16	0.68	-0.14	0.9	0.93	ETV
MYD	0.71	0.23	0.5	-0.05		0.86	-0.27	0.72	0.2	-0.03	MYD
EVT	0.79	0.45	0.59	0.16	0.86		0.04	0.77	0.37	0.15	EVT
ETB	0.12	0.66	0.49	0.68	-0.27	0.04		-0.23	0.61	0.63	ETB
NXC	0.62	0.09	0.17	-0.14	0.72	0.77	-0.23		0.03	-0.09	NXC
ETW	0.58	0.95	0.86	0.9	0.2	0.37	0.61	0.03		0.93	ETW
ETY	0.47	0.89	0.72	0.93	-0.03	0.15	0.63	-0.09	0.93		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

ETW	+ 0.95	CSQ
ETY	+ 0.93	ETV
ETY	+ 0.93	ETW
ETW	+ 0.9	ETV
ETO	+ 0.89	CSQ
ETV	+ 0.89	CSQ

High negative correlations

ETB	- 0.27	MYD
NXC	- 0.23	ETB
NXC	- 0.14	ETV
ETY	- 0.09	NXC
MYD	- 0.05	ETV
ETY	- 0.03	MYD

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	0.73	0.05	0.05	0.10	0.87	(0.81)	1.46	(1.30)	4.40
CSQ	0.60	0.07	0.08	0.15	0.77	(0.65)	1.12	(1.22)	3.70
ETO	0.53	0.06	0.07	0.15	0.70	(0.52)	1.08	(1.27)	3.45
ETV	0.59	0.07	0.09	0.20	0.60	(0.65)	1.22	(1.21)	3.63
MYD	0.52	(0.03)	0.00	(0.20)	0.00	0.00	0.97	(1.07)	3.34
EVT	0.50	(0.02)	0.00	(0.05)	0.00	0.00	1.03	(1.01)	3.93
ETB	0.46	0.05	0.07	0.35	0.56	(0.51)	0.97	(1.15)	2.90
NXC	0.41	(0.03)	0.00	(0.46)	0.00	0.00	0.85	(0.96)	4.06
ETW	0.48	0.06	0.08	0.18	0.59	(0.51)	1.08	(0.83)	2.64
ETY	0.54	0.11	0.13	0.30	0.59	(0.64)	1.18	(1.13)	3.76

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