Parametric Commodity Correlations

EAPCX Fund

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The current 90-days correlation between Parametric Commodity and Nasdaq 100 Fund Class is 0.11 (i.e., Average diversification). The correlation of Parametric Commodity 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.

Parametric Commodity Correlation With Market

Weak diversification

The correlation between Parametric Modity Strategy and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Modity Strategy 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 Parametric Modity Strategy. 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 unemployment.

Moving together with Parametric Mutual Fund

0.78	ERASX	Eaton Vance Atlanta	Pair Corr
0.73	ERHIX	Eaton Vance High	Pair Corr
0.72	ERIBX	Eaton Vance Income	Pair Corr
0.88	ERHSX	Eaton Vance Worldwide	Pair Corr
0.68	ERISX	Parametric Intl Equity	Pair Corr
0.79	ERLVX	Eaton Vance Large	Pair Corr
0.8	EAALX	Eaton Vance Atlanta	Pair Corr
0.67	ERSTX	Eaton Vance Large	Pair Corr
0.64	ERSMX	Eaton Vance Atlanta	Pair Corr
0.66	EAASX	Eaton Vance Atlanta	Pair Corr
0.68	EACPX	Eaton Vance Tax	Pair Corr
0.68	EACOX	Eaton Vance Global	Pair Corr
0.61	EACAX	Eaton Vance California	Pair Corr
0.76	EABSX	Eaton Vance Tabs	Pair Corr
0.74	EADIX	Eaton Vance Tax	Pair Corr
0.88	EAEMX	Parametric Emerging	Pair Corr
0.71	EAFVX	Eaton Vance Val	Pair Corr
0.79	EAFGX	Eaton Vance Focused	Pair Corr

Moving against Parametric Mutual Fund

0.47	ERBAX	Eaton Vance Richard	Pair Corr
0.43	ERBIX	Eaton Vance Richard	Pair Corr
0.54	ERLGX	Eaton Vance Atlanta	Pair Corr
0.57	EAERX	Eaton Vance Stock	Pair Corr

Related Correlations Analysis

	RYCOX	NOMIX	HSVRX	PKSAX	OILGX	ACINX	FCVSX	TRPBX
RYCOX		0.91	0.83	0.68	0.49	0.73	-0.37	0.93	RYCOX
NOMIX	0.91		0.92	0.77	0.29	0.74	-0.45	0.97	NOMIX
HSVRX	0.83	0.92		0.81	0.28	0.66	-0.33	0.86	HSVRX
PKSAX	0.68	0.77	0.81		0.18	0.69	-0.2	0.71	PKSAX
OILGX	0.49	0.29	0.28	0.18		0.47	0.22	0.24	OILGX
ACINX	0.73	0.74	0.66	0.69	0.47		-0.15	0.7	ACINX
FCVSX	-0.37	-0.45	-0.33	-0.2	0.22	-0.15		-0.55	FCVSX
TRPBX	0.93	0.97	0.86	0.71	0.24	0.7	-0.55		TRPBX
	RYCOX	NOMIX	HSVRX	PKSAX	OILGX	ACINX	FCVSX	TRPBX

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

TRPBX	+ 0.97	NOMIX
TRPBX	+ 0.93	RYCOX
HSVRX	+ 0.92	NOMIX
NOMIX	+ 0.91	RYCOX
TRPBX	+ 0.86	HSVRX
HSVRX	+ 0.83	RYCOX

High negative correlations

TRPBX	- 0.55	FCVSX
FCVSX	- 0.45	NOMIX
FCVSX	- 0.37	RYCOX
FCVSX	- 0.33	HSVRX
FCVSX	- 0.2	PKSAX
FCVSX	- 0.15	ACINX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Commodity 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 Parametric Commodity'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
RYCOX	0.88	0.12	0.07	0.31	0.96	(0.97)	1.82	(1.95)	9.14
NOMIX	0.83	0.12	0.12	0.23	0.67	(0.98)	1.84	(1.29)	7.36
HSVRX	0.87	0.14	0.13	0.22	0.75	(1.02)	2.37	(1.60)	5.28
PKSAX	0.70	0.11	0.02	(2.50)	0.68	(0.82)	1.99	(1.33)	3.80
OILGX	0.76	(0.02)	(0.04)	0.06	1.04	(0.74)	1.59	(1.91)	4.73
ACINX	0.61	0.06	0.02	0.20	0.70	(0.64)	1.13	(1.49)	3.89
FCVSX	0.95	(0.16)	0.00	(0.13)	0.00	0.00	1.56	(1.99)	10.48
TRPBX	0.41	0.14	0.17	0.58	0.00	(0.49)	0.75	(0.60)	5.81

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