Eaton Vance Correlations

EXG Fund

USD 8.30 0.03 0.36%

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

Eaton Vance Correlation With Market

Poor diversification

The correlation between Eaton Vance Tax Managed and DJI is 0.66 (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 Managed 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 Managed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Eaton Fund

0.84	EMO	Clearbridge Energy Mlp	Pair Corr
0.84	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.84	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.84	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.75	LSHEX	Kinetics Spin Off	Pair Corr
0.91	DODGX	Dodge Stock Fund	Pair Corr
0.93	HWACX	Hotchkis Wiley Value	Pair Corr
0.66	HTD	John Hancock Tax	Pair Corr
0.65	MRCZX	Massmutual Retiresmart	Pair Corr
0.61	SGDLX	Sprott Gold Equity	Pair Corr
0.73	DBIWX	Dws Global Macro	Pair Corr
0.9	RXRPX	American Funds Retirement	Pair Corr
0.88	RNCIX	Rivernorth E Opportunity	Pair Corr
0.67	EBSIX	Campbell Systematic Macro	Pair Corr
0.88	PGLSX	Global Multi Strategy	Pair Corr

Related Correlations Analysis

	ETV	ETW	ETJ	ETB	ETY	JQC	EAD	FPF
ETV		0.6	0.9	0.94	0.9	0.22	0.38	0.12	ETV
ETW	0.6		0.32	0.41	0.84	-0.37	0.8	0.77	ETW
ETJ	0.9	0.32		0.96	0.71	0.41	0.05	-0.21	ETJ
ETB	0.94	0.41	0.96		0.77	0.3	0.2	-0.09	ETB
ETY	0.9	0.84	0.71	0.77		-0.06	0.65	0.48	ETY
JQC	0.22	-0.37	0.41	0.3	-0.06		-0.53	-0.65	JQC
EAD	0.38	0.8	0.05	0.2	0.65	-0.53		0.89	EAD
FPF	0.12	0.77	-0.21	-0.09	0.48	-0.65	0.89		FPF
	ETV	ETW	ETJ	ETB	ETY	JQC	EAD	FPF

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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	+ 0.96	ETJ
ETB	+ 0.94	ETV
ETJ	+ 0.9	ETV
ETY	+ 0.9	ETV
FPF	+ 0.89	EAD
ETY	+ 0.84	ETW

High negative correlations

FPF	- 0.65	JQC
EAD	- 0.53	JQC
JQC	- 0.37	ETW
FPF	- 0.21	ETJ
FPF	- 0.09	ETB
JQC	- 0.06	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
ETV	0.72	(0.04)	0.00	(0.11)	0.00	0.00	1.52	(1.59)	3.67
ETW	0.64	0.03	0.05	0.01	0.78	(0.67)	1.23	(1.19)	3.59
ETJ	0.62	(0.07)	0.00	(0.17)	0.00	0.00	1.22	(1.25)	4.67
ETB	0.66	(0.07)	0.00	(0.15)	0.00	0.00	1.33	(1.49)	3.93
ETY	0.74	0.00	0.00	(0.04)	0.00	0.00	1.44	(1.68)	5.10
JQC	0.52	(0.11)	0.00	(0.99)	0.00	0.00	0.91	(1.09)	3.08
EAD	0.36	0.02	0.07	0.03	0.49	(0.37)	0.72	(0.73)	2.22
FPF	0.45	0.03	0.09	0.08	0.57	(0.48)	0.99	(1.02)	2.71

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