Eaton Vance Correlations

ETY Fund

USD 14.47 0.06 0.42%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Tax is -0.1 (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

Significant diversification

The correlation between Eaton Vance Tax and DJI is 0.05 (i.e., Significant 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

0.89	IAF	Aberdeen Australia	Pair Corr
0.61	JULMX	Multimanager Lifestyle	Pair Corr

Moving against Eaton Fund

0.53	WLATTX	Wlattx	Pair Corr
0.42	HIO	Western Asset High	Pair Corr
0.33	FXIDX	Fixed Income Shares	Pair Corr
0.32	TDF	Templeton Dragon Closed	Pair Corr
0.74	ABQYX	Ab Intermediate Bond	Pair Corr
0.37	FSUGX	American Funds Government	Pair Corr
0.31	BRAMX	Bats Series M	Pair Corr

Related Correlations Analysis

	ETW	EXG	ETJ	ETB	ETV	EVV	MHD	DTF	EFT
ETW		0.79	0.38	0.38	0.63	-0.25	0.68	0.48	0.62	ETW
EXG	0.79		0.19	0.31	0.41	-0.47	0.7	0.56	0.55	EXG
ETJ	0.38	0.19		0.9	0.91	-0.49	-0.02	-0.21	0.62	ETJ
ETB	0.38	0.31	0.9		0.85	-0.66	0.01	-0.19	0.66	ETB
ETV	0.63	0.41	0.91	0.85		-0.46	0.24	0.09	0.77	ETV
EVV	-0.25	-0.47	-0.49	-0.66	-0.46		-0.12	0.01	-0.56	EVV
MHD	0.68	0.7	-0.02	0.01	0.24	-0.12		0.83	0.3	MHD
DTF	0.48	0.56	-0.21	-0.19	0.09	0.01	0.83		0.2	DTF
EFT	0.62	0.55	0.62	0.66	0.77	-0.56	0.3	0.2		EFT
	ETW	EXG	ETJ	ETB	ETV	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

ETV	+ 0.91	ETJ
ETB	+ 0.9	ETJ
ETV	+ 0.85	ETB
DTF	+ 0.83	MHD
EXG	+ 0.79	ETW
EFT	+ 0.77	ETV

High negative correlations

EVV	- 0.66	ETB
EFT	- 0.56	EVV
EVV	- 0.49	ETJ
EVV	- 0.47	EXG
EVV	- 0.46	ETV
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
ETW	0.61	0.06	0.11	0.03	0.73	(0.64)	1.46	(1.19)	3.59
EXG	0.62	0.05	0.15	1.86	0.68	(0.70)	1.20	(1.18)	3.06
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
ETV	0.68	(0.05)	0.00	(0.17)	0.00	0.00	1.50	(1.61)	3.51
EVV	0.50	0.08	0.23	1.32	0.52	(0.58)	1.02	(0.80)	3.54
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	0.47	(0.06)	0.00	(0.44)	0.00	0.00	1.06	(0.97)	3.09

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