Eaton Vance Correlations

EVT Fund

USD 25.54 0.17 0.67%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Tax is 0.57 (i.e., Very weak 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 Tax and DJI is 0.12 (i.e., Average 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 real.

Moving together with Eaton Fund

0.74	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.68	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.68	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.62	HPQ	HP Inc	Pair Corr
0.63	WMT	Walmart Aggressive Push	Pair Corr
0.71	BAC	Bank of America Aggressive Push	Pair Corr
0.71	DIS	Walt Disney Aggressive Push	Pair Corr

Moving against Eaton Fund

0.69	JNJ	Johnson Johnson Fiscal Year End 28th of January 2025	Pair Corr
0.67	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.59	KO	Coca Cola Sell-off Trend	Pair Corr
0.42	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	ETO	ETJ	ETY	ETW	PDT	HPS	HPI	HPF	CHY	CHW
ETO		0.64	0.62	0.75	0.33	0.25	0.54	0.67	0.57	0.85	ETO
ETJ	0.64		0.88	0.9	0.11	-0.13	0.34	0.54	0.91	0.69	ETJ
ETY	0.62	0.88		0.86	-0.05	-0.34	0.12	0.32	0.9	0.59	ETY
ETW	0.75	0.9	0.86		0.2	0.02	0.45	0.63	0.85	0.71	ETW
PDT	0.33	0.11	-0.05	0.2		0.7	0.66	0.51	0.05	0.28	PDT
HPS	0.25	-0.13	-0.34	0.02	0.7		0.82	0.67	-0.3	0.27	HPS
HPI	0.54	0.34	0.12	0.45	0.66	0.82		0.91	0.15	0.58	HPI
HPF	0.67	0.54	0.32	0.63	0.51	0.67	0.91		0.35	0.79	HPF
CHY	0.57	0.91	0.9	0.85	0.05	-0.3	0.15	0.35		0.58	CHY
CHW	0.85	0.69	0.59	0.71	0.28	0.27	0.58	0.79	0.58		CHW
	ETO	ETJ	ETY	ETW	PDT	HPS	HPI	HPF	CHY	CHW

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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

CHY	+ 0.91	ETJ
HPF	+ 0.91	HPI
ETW	+ 0.9	ETJ
CHY	+ 0.9	ETY
ETY	+ 0.88	ETJ
ETW	+ 0.86	ETY

High negative correlations

HPS	- 0.34	ETY
CHY	- 0.3	HPS
HPS	- 0.13	ETJ
PDT	- 0.05	ETY

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
ETO	0.55	(0.05)	(0.10)	0.03	0.91	(0.47)	1.06	(1.49)	3.50
ETJ	0.43	0.08	(0.06)	2.10	0.39	(0.49)	0.88	(0.85)	3.26
ETY	0.57	0.12	0.02	1.70	0.44	(0.70)	1.60	(1.04)	3.51
ETW	0.55	0.09	(0.05)	(1.55)	0.59	(0.60)	1.19	(1.12)	3.31
PDT	0.72	0.01	(0.12)	0.55	0.80	(0.81)	1.41	(1.51)	3.98
HPS	0.58	(0.05)	0.00	(8.76)	0.00	0.00	1.17	(1.48)	3.29
HPI	0.72	0.01	(0.10)	0.27	0.89	(0.78)	1.79	(1.54)	5.00
HPF	0.60	0.02	(0.08)	0.26	0.91	(0.59)	0.97	(1.03)	5.43
CHY	0.63	0.15	0.02	(1.31)	0.64	(0.71)	1.20	(1.23)	4.19
CHW	0.65	(0.06)	(0.09)	0.03	0.93	(0.63)	1.43	(1.58)	3.70

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