Eaton Vance Correlations

EVCGX Fund

USD 15.66 0.16 1.01%

The current 90-days correlation between Eaton Vance Greater and Columbia Greater China is 0.98 (i.e., Almost no 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

Average diversification

The correlation between Eaton Vance Greater and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Greater 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 Greater. 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 Eaton Mutual Fund

0.64	EMAIX	Eaton Vance Msschsts	Pair Corr
0.69	ERAMX	Eaton Vance Multi	Pair Corr
0.68	EREMX	Eaton Vance Parametric	Pair Corr
0.69	ERISX	Parametric Intl Equity	Pair Corr
0.8	EACOX	Eaton Vance Global	Pair Corr
0.68	EADIX	Eaton Vance Tax	Pair Corr
0.75	EAEMX	Parametric Emerging	Pair Corr
0.69	EAISX	Parametric International	Pair Corr
0.63	EAIIX	Eaton Vance Diversified	Pair Corr

Moving against Eaton Mutual Fund

0.5	ERSMX	Eaton Vance Atlanta	Pair Corr
0.5	EAASX	Eaton Vance Atlanta	Pair Corr

Related Correlations Analysis

	NGCAX	ICHKX	USCOX	GOPAX	ETGIX
NGCAX		0.81	0.0	0.65	-0.6	NGCAX
ICHKX	0.81		0.0	0.76	-0.34	ICHKX
USCOX	0.0	0.0		0.0	0.0	USCOX
GOPAX	0.65	0.76	0.0		-0.14	GOPAX
ETGIX	-0.6	-0.34	0.0	-0.14		ETGIX
	NGCAX	ICHKX	USCOX	GOPAX	ETGIX

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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

ICHKX	+ 0.81	NGCAX
GOPAX	+ 0.76	ICHKX
GOPAX	+ 0.65	NGCAX
USCOX	+ 0.0	NGCAX
USCOX	+ 0.0	ICHKX
GOPAX	+ 0.0	USCOX

High negative correlations

ETGIX	- 0.6	NGCAX
ETGIX	- 0.34	ICHKX
ETGIX	- 0.14	GOPAX
ETGIX	- 0.0	USCOX
GOPAX	- 0.0	USCOX
USCOX	- 0.0	ICHKX

Risk-Adjusted Indicators

There is a big difference between Eaton Mutual Fund performing well and Eaton Vance 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 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
NGCAX	1.21	0.21	0.17	0.48	1.22	(1.46)	2.34	(2.09)	9.83
ICHKX	1.10	0.09	0.12	(1.36)	1.23	(1.33)	2.47	(2.51)	8.55
USCOX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GOPAX	0.88	0.02	0.06	0.07	1.08	(1.06)	1.97	(2.08)	6.80
ETGIX	0.74	(0.32)	0.00	(1.77)	0.00	0.00	1.07	(1.93)	4.09

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