Eaton Vance Correlations

ETJ Fund

USD 8.93 0.03 0.33%

The current 90-days correlation between Eaton Vance Risk and Eaton Vance Tax is 0.75 (i.e., Poor 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

Weak diversification

The correlation between Eaton Vance Risk and DJI is 0.3 (i.e., 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

0.62	ACV	Allianzgi Diversified	Pair Corr
0.67	CSQ	Calamos Strategic Total	Pair Corr

Related Correlations Analysis

	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV
ETB		0.8	0.67	0.73	0.67	0.01	0.19	0.71	0.42	ETB
ETV	0.8		0.81	0.94	0.9	0.23	0.43	0.61	0.68	ETV
EXG	0.67	0.81		0.84	0.94	0.54	0.64	0.78	0.85	EXG
ETY	0.73	0.94	0.84		0.93	0.27	0.59	0.63	0.78	ETY
ETW	0.67	0.9	0.94	0.93		0.45	0.62	0.71	0.85	ETW
MHD	0.01	0.23	0.54	0.27	0.45		0.6	0.35	0.71	MHD
DTF	0.19	0.43	0.64	0.59	0.62	0.6		0.36	0.75	DTF
EFT	0.71	0.61	0.78	0.63	0.71	0.35	0.36		0.66	EFT
EVV	0.42	0.68	0.85	0.78	0.85	0.71	0.75	0.66		EVV
	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV

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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	0.48	0.01	0.02	0.05	0.60	(0.50)	0.97	(1.15)	2.90
ETV	0.59	0.02	0.03	0.09	0.70	(0.61)	1.22	(1.21)	3.63
EXG	0.53	0.02	0.02	0.04	0.68	(0.58)	1.10	(1.10)	3.54
ETY	0.55	0.06	0.07	0.14	0.68	(0.61)	1.18	(1.31)	3.76
ETW	0.46	0.03	0.03	0.09	0.58	(0.46)	1.06	(0.83)	2.52
MHD	0.55	0.01	0.01	0.06	0.73	(0.51)	1.14	(1.06)	2.79
DTF	0.31	0.02	0.02	(0.28)	0.46	(0.31)	0.72	(0.62)	2.06
EFT	0.42	0.02	0.02	0.13	0.61	(0.42)	0.98	(0.76)	3.14
EVV	0.48	0.06	0.07	0.25	0.61	(0.54)	0.99	(1.11)	3.62

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Eaton Vance Correlations

Eaton Vance Correlation With Market

Weak diversification

Moving together with Eaton Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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