Eaton Vance Correlations

ETJ Fund

USD 8.62 0.01 0.12%

The current 90-days correlation between Eaton Vance Risk and Eaton Vance Tax is -0.23 (i.e., Very good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Eaton Vance moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Eaton Vance Risk moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Eaton Vance Correlation With Market

Very weak diversification

The correlation between Eaton Vance Risk and DJI is 0.54 (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 Risk 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 Risk. 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

0.89	TWN	Taiwan Closed	Pair Corr
0.68	AEF	Abrdn Emerging Markets	Pair Corr

Moving against Eaton Fund

0.77	HIMZX	Virtus Low Duration	Pair Corr
0.76	JOF	Japan Smaller Capita	Pair Corr
0.74	ACCSX	Access Capital Munity	Pair Corr
0.73	NWJJX	Nationwide Highmark Bond	Pair Corr
0.73	PRAPX	Pimco Total Return	Pair Corr
0.71	FXIDX	Fixed Income Shares	Pair Corr
0.68	GQJPX	Gqg Partners Interna	Pair Corr
0.64	CHN	China Fund	Pair Corr
0.61	CAF	Morgan Stanley China	Pair Corr
0.61	VTMGX	Vanguard Developed	Pair Corr
0.6	MFIRX	Ms Global Fixed	Pair Corr
0.58	REMVX	Rbc Emerging Markets	Pair Corr
0.58	FPPAX	Mfs Prudent Investor	Pair Corr
0.56	NEZYX	Loomis Sayles Strategic	Pair Corr
0.55	FHKCX	Fidelity China Region	Pair Corr
0.51	ISD	Pgim High Yield	Pair Corr
0.48	FMY	First Trust Mortgage	Pair Corr
0.44	KF	Korea Closed	Pair Corr
0.44	LAIIX	Lord Abbett Intermediate	Pair Corr
0.44	TEDMX	Templeton Developing	Pair Corr
0.44	MINFX	Mfs International Value	Pair Corr
0.43	HSXIX	Hartford Schroders	Pair Corr
0.33	EGF	Blackrock Enhanced	Pair Corr
0.32	CITAX	American High Income	Pair Corr
0.79	FSUGX	American Funds Government	Pair Corr
0.75	BRAMX	Bats Series M	Pair Corr
0.75	HIO	Western Asset High	Pair Corr
0.75	TRIGX	T Rowe Price	Pair Corr
0.64	OSIIX	Oppenheimer Global Strtgc	Pair Corr
0.63	LIFAX	Lord Abbett Inflation	Pair Corr
0.62	VMSAX	Vanguard Multi Sector	Pair Corr
0.61	NSITX	Northern Short-intermedia	Pair Corr
0.59	VMSIX	Vanguard Multi Sector	Pair Corr
0.5	OWCIX	Old Westbury Credit	Pair Corr
0.47	MIPIX	Matthews Asia Dividend	Pair Corr

Related Correlations Analysis

	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV
ETB		0.9	0.27	0.74	0.38	0.24	-0.08	0.74	-0.08	ETB
ETV	0.9		0.45	0.91	0.63	0.38	0.06	0.72	0.13	ETV
EXG	0.27	0.45		0.72	0.93	0.68	0.58	0.51	0.78	EXG
ETY	0.74	0.91	0.72		0.85	0.61	0.34	0.7	0.48	ETY
ETW	0.38	0.63	0.93	0.85		0.69	0.52	0.56	0.73	ETW
MHD	0.24	0.38	0.68	0.61	0.69		0.83	0.5	0.83	MHD
DTF	-0.08	0.06	0.58	0.34	0.52	0.83		0.23	0.8	DTF
EFT	0.74	0.72	0.51	0.7	0.56	0.5	0.23		0.33	EFT
EVV	-0.08	0.13	0.78	0.48	0.73	0.83	0.8	0.33		EVV
	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV

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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	+ 0.93	EXG
ETY	+ 0.91	ETV
ETV	+ 0.9	ETB
ETW	+ 0.85	ETY
DTF	+ 0.83	MHD
EVV	+ 0.83	MHD

High negative correlations

EVV	- 0.08	ETB
DTF	- 0.08	ETB

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
ETB	0.64	(0.12)	0.00	0.63	0.00	0.00	1.01	(1.49)	3.93
ETV	0.70	(0.05)	0.00	(0.16)	0.00	0.00	1.50	(1.59)	3.67
EXG	0.64	0.05	0.09	0.02	0.80	(0.70)	1.20	(1.20)	3.06
ETY	0.72	0.01	0.00	(0.06)	0.00	0.00	1.27	(1.68)	5.10
ETW	0.63	0.03	0.08	(0.01)	0.79	(0.65)	1.23	(1.19)	3.59
MHD	0.51	(0.06)	0.00	(0.52)	0.00	0.00	0.94	(1.04)	2.80
DTF	0.32	(0.02)	0.00	(0.83)	0.00	0.00	0.72	(0.62)	1.72
EFT	0.46	(0.07)	0.00	(2.61)	0.00	0.00	1.02	(0.77)	3.09
EVV	0.50	0.02	0.10	0.01	0.69	(0.53)	1.00	(1.22)	3.54

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