Parametric Tax Correlations

ETIGX Fund

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The current 90-days correlation between Parametric Tax Managed and Eaton Vance Msschsts is 0.06 (i.e., Significant diversification). The correlation of Parametric Tax 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 Tax Correlation With Market

Significant diversification

The correlation between Parametric Tax Managed Interna and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Tax Managed Interna 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 Tax Managed International. 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 price.

Moving together with Parametric Mutual Fund

0.68	EREMX	Eaton Vance Parametric	Pair Corr
0.78	ERGOX	Eaton Vance Government	Pair Corr
0.89	ERHSX	Eaton Vance Worldwide	Pair Corr
0.93	ERISX	Parametric Intl Equity	Pair Corr
0.69	EAEMX	Parametric Emerging	Pair Corr
0.64	EAGIX	Eaton Vance Core	Pair Corr

Moving against Parametric Mutual Fund

0.84	ERAMX	Eaton Vance Multi	Pair Corr
0.76	ERGMX	Eaton Vance Global	Pair Corr
0.6	ERBIX	Eaton Vance Richard	Pair Corr
0.6	ERHIX	Eaton Vance High	Pair Corr
0.59	ERBAX	Eaton Vance Richard	Pair Corr
0.58	ERASX	Eaton Vance Atlanta	Pair Corr
0.57	ERBCX	Eaton Vance Richard	Pair Corr
0.54	ERIBX	Eaton Vance Income	Pair Corr
0.48	ERIFX	Eaton Vance Balanced	Pair Corr
0.88	EABLX	Eaton Vance Floating	Pair Corr
0.84	EAAMX	Eaton Vance Multi	Pair Corr
0.83	EACPX	Eaton Vance Tax	Pair Corr
0.81	ERSGX	Eaton Vance Small	Pair Corr
0.79	EADOX	Eaton Vance Emerging	Pair Corr
0.69	ERLVX	Eaton Vance Large	Pair Corr
0.66	ERSTX	Eaton Vance Large	Pair Corr
0.55	EAASX	Eaton Vance Atlanta	Pair Corr
0.53	ERSMX	Eaton Vance Atlanta	Pair Corr
0.91	EAFAX	Eaton Vance Floating	Pair Corr
0.9	EAFHX	Eaton Vance Floating	Pair Corr
0.81	EAEAX	Eaton Vance Tax	Pair Corr
0.79	EAERX	Eaton Vance Stock	Pair Corr
0.78	EAGMX	Eaton Vance Global	Pair Corr
0.72	EAFGX	Eaton Vance Focused	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX
EMAIX		0.98	0.98	0.9	0.79	0.99	0.16	0.29	0.24	0.24	EMAIX
EMOCX	0.98		0.99	0.9	0.82	0.99	0.09	0.16	0.16	0.16	EMOCX
EMOAX	0.98	0.99		0.9	0.8	0.99	0.1	0.15	0.15	0.15	EMOAX
EMOIX	0.9	0.9	0.9		0.79	0.88	0.04	0.16	0.18	0.18	EMOIX
EIM	0.79	0.82	0.8	0.79		0.79	0.0	0.04	0.18	0.18	EIM
ENYIX	0.99	0.99	0.99	0.88	0.79		0.16	0.24	0.21	0.21	ENYIX
ERASX	0.16	0.09	0.1	0.04	0.0	0.16		0.67	0.82	0.82	ERASX
ERAMX	0.29	0.16	0.15	0.16	0.04	0.24	0.67		0.74	0.72	ERAMX
ERBIX	0.24	0.16	0.15	0.18	0.18	0.21	0.82	0.74		1.0	ERBIX
ERBCX	0.24	0.16	0.15	0.18	0.18	0.21	0.82	0.72	1.0		ERBCX
	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX

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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

ERBCX	+ 1.0	ERBIX
ENYIX	+ 0.99	EMAIX
EMOAX	+ 0.99	EMOCX
ENYIX	+ 0.99	EMOCX
ENYIX	+ 0.99	EMOAX
EMOCX	+ 0.98	EMAIX

High negative correlations

ERASX

- 0.0

EIM

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Tax 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 Tax'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
EMAIX	0.08	(0.01)	(0.37)	0.19	0.14	(0.14)	0.20	(0.30)	0.91
EMOCX	0.17	(0.01)	0.00	0.15	0.00	0.00	0.35	(0.43)	1.59
EMOAX	0.17	(0.01)	0.00	0.17	0.00	0.00	0.35	(0.43)	1.58
EMOIX	0.15	(0.01)	(0.25)	(0.12)	0.25	(0.23)	0.35	(0.43)	1.58
EIM	0.46	(0.01)	(0.16)	(0.08)	0.55	(0.51)	1.03	(1.02)	2.47
ENYIX	0.16	(0.01)	0.00	0.14	0.00	0.00	0.32	(0.52)	1.47
ERASX	0.65	(0.06)	(0.07)	0.03	0.81	(0.71)	1.42	(1.12)	6.15
ERAMX	0.08	0.01	(0.74)	1.00	0.00	(0.15)	0.10	(0.10)	0.71
ERBIX	0.47	0.01	(0.04)	0.10	0.45	(0.54)	0.95	(0.88)	3.45
ERBCX	0.47	0.00	(0.05)	0.09	0.43	(0.53)	0.92	(0.91)	3.39

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