Eaton Vance Correlations

EAERX Fund

USD 24.32 0.15 0.62%

The current 90-days correlation between Eaton Vance Stock and Vanguard Small Cap Index is 0.08 (i.e., Significant 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 Stock and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Stock 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 Stock. 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 metropolitan statistical area.

Moving together with Eaton Mutual Fund

0.96	ERASX	Eaton Vance Atlanta	Pair Corr
0.76	ERAMX	Eaton Vance Multi	Pair Corr
0.95	ERBIX	Eaton Vance Richard	Pair Corr
0.94	ERBCX	Eaton Vance Richard	Pair Corr
0.95	ERBAX	Eaton Vance Richard	Pair Corr
0.7	ERHIX	Eaton Vance High	Pair Corr
0.74	ERGMX	Eaton Vance Global	Pair Corr
0.97	ERIFX	Eaton Vance Balanced	Pair Corr
0.94	ERLVX	Eaton Vance Large	Pair Corr
0.75	EAAMX	Eaton Vance Multi	Pair Corr
0.88	ERSTX	Eaton Vance Large	Pair Corr
0.91	ERSMX	Eaton Vance Atlanta	Pair Corr
0.86	ERSGX	Eaton Vance Small	Pair Corr
0.78	EABLX	Eaton Vance Floating	Pair Corr
0.96	EAASX	Eaton Vance Atlanta	Pair Corr
0.97	EACPX	Eaton Vance Tax	Pair Corr
0.87	EADOX	Eaton Vance Emerging	Pair Corr
0.91	EAEAX	Eaton Vance Tax	Pair Corr
0.94	EAFVX	Eaton Vance Val	Pair Corr
0.76	EAFHX	Eaton Vance Floating	Pair Corr
0.92	EAFGX	Eaton Vance Focused	Pair Corr

Moving against Eaton Mutual Fund

0.71	ERGOX	Eaton Vance Government	Pair Corr
0.69	ERHSX	Eaton Vance Worldwide	Pair Corr
0.54	ERSIX	Eaton Vance Short	Pair Corr
0.51	ERISX	Parametric Intl Equity	Pair Corr
0.39	EABSX	Eaton Vance Tabs	Pair Corr
0.31	EACOX	Eaton Vance Global	Pair Corr
0.64	EAGIX	Eaton Vance Core	Pair Corr
0.62	EALDX	Eaton Vance Short	Pair Corr
0.6	EASDX	Eaton Vance Short	Pair Corr
0.49	EAISX	Parametric International	Pair Corr
0.49	ESIIX	Eaton Vance Short	Pair Corr

Related Correlations Analysis

	VSCIX	VMCIX	AAVXF	SCRYY	444859BR2	AQUI	SCRYX	MSTSX	LBHIX	ID
VSCIX		0.94	0.0	0.55	-0.71	0.0	0.97	0.62	0.64	0.69	VSCIX
VMCIX	0.94		0.0	0.64	-0.79	0.0	0.88	0.75	0.7	0.69	VMCIX
AAVXF	0.0	0.0		0.0	0.0	-1.0	0.0	0.0	0.0	0.0	AAVXF
SCRYY	0.55	0.64	0.0		-0.44	0.0	0.44	0.47	0.5	0.45	SCRYY
444859BR2	-0.71	-0.79	0.0	-0.44		0.0	-0.63	-0.62	-0.59	-0.65	444859BR2
AQUI	0.0	0.0	-1.0	0.0	0.0		0.0	0.0	0.0	0.0	AQUI
SCRYX	0.97	0.88	0.0	0.44	-0.63	0.0		0.58	0.6	0.62	SCRYX
MSTSX	0.62	0.75	0.0	0.47	-0.62	0.0	0.58		0.72	0.4	MSTSX
LBHIX	0.64	0.7	0.0	0.5	-0.59	0.0	0.6	0.72		0.32	LBHIX
ID	0.69	0.69	0.0	0.45	-0.65	0.0	0.62	0.4	0.32		ID
	VSCIX	VMCIX	AAVXF	SCRYY	444859BR2	AQUI	SCRYX	MSTSX	LBHIX	ID

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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

SCRYX	+ 0.97	VSCIX
VMCIX	+ 0.94	VSCIX
SCRYX	+ 0.88	VMCIX
MSTSX	+ 0.75	VMCIX
LBHIX	+ 0.72	MSTSX
LBHIX	+ 0.7	VMCIX

High negative correlations

AQUI	- 1.0	AAVXF
444859BR2	- 0.79	VMCIX
444859BR2	- 0.71	VSCIX
ID	- 0.65	444859BR2
SCRYX	- 0.63	444859BR2
MSTSX	- 0.62	444859BR2

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
VSCIX	0.76	0.12	0.05	4.63	0.77	(0.85)	1.76	(1.24)	5.35
VMCIX	0.56	0.06	0.08	0.16	0.42	(0.67)	1.30	(0.94)	3.54
AAVXF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SCRYY	2.12	0.43	0.13	(1.15)	2.05	(2.81)	5.61	(4.09)	12.99
444859BR2	1.32	0.04	0.00	0.04	0.00	0.00	5.93	(4.60)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SCRYX	0.97	0.09	0.01	0.99	0.96	(1.10)	2.39	(1.69)	7.88
MSTSX	0.49	(0.03)	(0.09)	0.05	0.52	(0.59)	1.21	(1.02)	2.80
LBHIX	0.11	0.00	(0.27)	0.00	0.00	(0.29)	0.24	(0.24)	0.96
ID	3.81	0.25	0.03	1.85	4.78	(4.93)	7.69	(7.69)	23.97

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