Eaton Vance Correlations
| EAALX Fund | USD 21.91 0.03 0.14% |
The current 90-days correlation between Eaton Vance Atlanta and Eaton Vance Atlanta is 0.78 (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. If the correlation is 0, the equities are not correlated; they are entirely random.
Eaton Vance Correlation With Market
Poor diversification
The correlation between Eaton Vance Atlanta and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Atlanta and DJI in the same portfolio, assuming nothing else is changed.
Eaton |
Moving together with Eaton Mutual Fund
| 0.62 | EIM | Eaton Vance Mbf | PairCorr |
| 1.0 | ERLGX | Eaton Vance Atlanta | PairCorr |
| 0.64 | EADIX | Eaton Vance Tax | PairCorr |
Related Correlations Analysis
| 0.59 | 0.87 | 0.88 | 0.95 | EAASX | ||
| 0.59 | 0.36 | 0.53 | 0.53 | CSIEX | ||
| 0.87 | 0.36 | 0.74 | 0.92 | SAGAX | ||
| 0.88 | 0.53 | 0.74 | 0.78 | PFPFX | ||
| 0.95 | 0.53 | 0.92 | 0.78 | BAWAX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EAASX | 0.62 | (0.01) | (0.03) | 0.11 | 0.55 | 1.33 | 4.09 | |||
| CSIEX | 0.48 | (0.06) | (0.17) | 0.02 | 0.62 | 0.90 | 2.96 | |||
| SAGAX | 1.03 | 0.14 | 0.09 | 0.24 | 1.21 | 2.10 | 5.92 | |||
| PFPFX | 0.57 | (0.05) | (0.11) | 0.07 | 0.52 | 1.12 | 4.21 | |||
| BAWAX | 0.73 | (0.03) | (0.02) | 0.09 | 0.96 | 1.64 | 5.11 |