Eaton Vance Correlations

XETJX Fund

USD 9.32 0.02 0.22%

The current 90-days correlation between Eaton Vance Risk and Wells Fargo Diversified 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

Average diversification

The correlation between Eaton Vance Risk Managed 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 Risk Managed and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Eaton Vance Risk Managed. 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 inflation.

Moving against Eaton Mutual Fund

0.62	SRBFX	Columbia Total Return	Pair Corr
0.56	BAGIX	Baird Aggregate Bond	Pair Corr
0.53	CPBFX	Invesco E Plus	Pair Corr
0.53	SWFCX	Sentinel International	Pair Corr
0.47	GGBEX	Global Bond Fund	Pair Corr
0.47	CWXCX	Catalyst/warrington	Pair Corr
0.46	DPIGX	Intermediate Government	Pair Corr
0.44	FIASX	Fidelity International	Pair Corr
0.43	VMLTX	Vanguard Limited Term	Pair Corr
0.4	FPIPEX	Fpipex	Pair Corr
0.4	BTMSX	Baird Short Term	Pair Corr
0.39	GILHX	Guggenheim Limited	Pair Corr
0.36	NHS	Neuberger Berman High	Pair Corr
0.36	PRMDX	Maryland Short Term	Pair Corr
0.34	FEMBX	Fidelity Emerging Europe	Pair Corr
0.33	BDKNX	Braddock Multi Strategy	Pair Corr
0.32	VGTSX	Vanguard Total Inter	Pair Corr
0.32	VTIAX	Vanguard Total Inter	Pair Corr
0.32	FRIMX	Fidelity Income Repl	Pair Corr
0.77	NALFX	New Alternatives	Pair Corr
0.59	RGVJX	Us Government Securities	Pair Corr
0.58	CANFX	American Funds Strategic	Pair Corr
0.58	TGROX	Tiaa Cref Green	Pair Corr
0.56	CTRIX	Calamos Total Return	Pair Corr
0.55	SAUFX	Sa Fixed Incme	Pair Corr
0.54	ASGI	Aberdeen Standard Global	Pair Corr
0.51	ANGIX	Angel Oak Multi	Pair Corr
0.5	TAVZX	Third Avenue Value	Pair Corr
0.47	VFSTX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	EKSYX	FZABX	SRDAX	BDVFX	PHTMX	CDBCX	FARIX
EKSYX		0.82	-0.02	0.52	0.84	0.64	0.39	EKSYX
FZABX	0.82		-0.37	0.77	0.86	0.78	0.39	FZABX
SRDAX	-0.02	-0.37		-0.64	-0.23	-0.59	0.13	SRDAX
BDVFX	0.52	0.77	-0.64		0.68	0.93	0.17	BDVFX
PHTMX	0.84	0.86	-0.23	0.68		0.67	0.65	PHTMX
CDBCX	0.64	0.78	-0.59	0.93	0.67		0.06	CDBCX
FARIX	0.39	0.39	0.13	0.17	0.65	0.06		FARIX
	EKSYX	FZABX	SRDAX	BDVFX	PHTMX	CDBCX	FARIX

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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

CDBCX	+ 0.93	BDVFX
PHTMX	+ 0.86	FZABX
PHTMX	+ 0.84	EKSYX
FZABX	+ 0.82	EKSYX
CDBCX	+ 0.78	FZABX
BDVFX	+ 0.77	FZABX

High negative correlations

BDVFX	- 0.64	SRDAX
CDBCX	- 0.59	SRDAX
SRDAX	- 0.37	FZABX
PHTMX	- 0.23	SRDAX
SRDAX	- 0.02	EKSYX

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
EKSYX	0.31	0.02	0.23	(0.03)	0.38	(0.35)	0.52	(0.51)	1.70
FZABX	0.82	0.04	0.00	(0.05)	0.00	0.00	1.45	(1.50)	6.16
SRDAX	0.16	0.00	0.40	0.46	0.18	(0.20)	0.29	(0.37)	0.95
BDVFX	0.27	(0.02)	0.00	(0.25)	0.00	0.00	0.54	(0.54)	1.59
PHTMX	0.31	(0.01)	0.00	(0.13)	0.00	0.00	0.61	(0.69)	1.67
CDBCX	0.25	(0.01)	0.00	(0.38)	0.00	0.00	0.56	(0.44)	1.34
FARIX	0.31	(0.05)	0.00	(0.73)	0.00	0.00	0.54	(0.63)	1.81

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