Eaton Vance Correlations

ETV Fund

USD 13.32 0.04 0.30%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Tax Managed is -0.17 (i.e., Good 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Eaton Vance Correlation With Market

Poor diversification

The correlation between Eaton Vance Tax and DJI is 0.61 (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

0.81

IAF

Aberdeen Australia

Pair Corr

Moving against Eaton Fund

0.61	HIO	Western Asset High	Pair Corr
0.5	TRIGX	T Rowe Price	Pair Corr
0.48	NECRX	Loomis Sayles E	Pair Corr
0.41	ABCVX	American Beacon	Pair Corr
0.36	LIFAX	Lord Abbett Inflation	Pair Corr
0.36	WLATTX	Wlattx	Pair Corr
0.35	OSIIX	Oppenheimer Global Strtgc	Pair Corr
0.57	FSUGX	American Funds Government	Pair Corr
0.53	BRAMX	Bats Series M	Pair Corr
0.51	HIMZX	Virtus Low Duration	Pair Corr
0.4	MIPIX	Matthews Asia Dividend	Pair Corr
0.4	ACCSX	Access Capital Munity	Pair Corr
0.4	NWJJX	Nationwide Highmark Bond	Pair Corr
0.39	MINFX	Mfs International Value	Pair Corr
0.37	REMVX	Rbc Emerging Markets	Pair Corr
0.36	PRAPX	Pimco Total Return	Pair Corr
0.35	ABQYX	Ab Intermediate Bond	Pair Corr
0.32	VTMGX	Vanguard Developed	Pair Corr
0.31	FHKCX	Fidelity China Region	Pair Corr

Related Correlations Analysis

	EXG	ETW	ETJ	ETB	ETY	EVV	MHD	DTF	EFT
EXG		0.79	0.19	0.31	0.69	-0.47	0.72	0.58	0.55	EXG
ETW	0.79		0.38	0.38	0.76	-0.25	0.74	0.52	0.62	ETW
ETJ	0.19	0.38		0.9	0.73	-0.49	0.04	-0.03	0.62	ETJ
ETB	0.31	0.38	0.9		0.79	-0.66	0.12	-0.09	0.66	ETB
ETY	0.69	0.76	0.73	0.79		-0.47	0.59	0.37	0.71	ETY
EVV	-0.47	-0.25	-0.49	-0.66	-0.47		-0.16	-0.08	-0.56	EVV
MHD	0.72	0.74	0.04	0.12	0.59	-0.16		0.74	0.5	MHD
DTF	0.58	0.52	-0.03	-0.09	0.37	-0.08	0.74		0.39	DTF
EFT	0.55	0.62	0.62	0.66	0.71	-0.56	0.5	0.39		EFT
	EXG	ETW	ETJ	ETB	ETY	EVV	MHD	DTF	EFT

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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

ETB	+ 0.9	ETJ
ETW	+ 0.79	EXG
ETY	+ 0.79	ETB
ETY	+ 0.76	ETW
MHD	+ 0.74	ETW
DTF	+ 0.74	MHD

High negative correlations

EVV	- 0.66	ETB
EFT	- 0.56	EVV
EVV	- 0.49	ETJ
EVV	- 0.47	ETY
EVV	- 0.47	EXG
EVV	- 0.25	ETW

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
EXG	0.62	0.05	0.15	1.86	0.68	(0.70)	1.20	(1.18)	3.06
ETW	0.61	0.06	0.11	0.03	0.73	(0.64)	1.46	(1.19)	3.59
ETJ	0.60	(0.07)	0.00	(0.21)	0.00	0.00	1.22	(1.37)	4.10
ETB	0.62	(0.12)	0.00	(8.20)	0.00	0.00	0.89	(1.31)	3.93
ETY	0.69	(0.03)	0.00	(0.68)	0.00	0.00	1.27	(1.33)	5.10
EVV	0.50	0.08	0.23	1.32	0.52	(0.58)	1.02	(0.80)	3.54
MHD	0.45	0.04	0.19	0.42	0.48	(0.49)	1.51	(0.92)	2.80
DTF	0.27	0.05	0.33	25.63	0.19	(0.31)	0.72	(0.45)	1.72
EFT	0.47	(0.06)	0.00	(0.44)	0.00	0.00	1.06	(0.97)	3.09

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