Eaton Vance Correlations

ECASX Fund

USD 27.48 0.22 0.81%

The current 90-days correlation between Eaton Vance Atlntcptl and Neuberger Berman Real is -0.04 (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

Modest diversification

The correlation between Eaton Vance Atlntcptl and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Atlntcptl 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 Atlntcptl. 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 state.

Moving together with Eaton Mutual Fund

1.0	ERASX	Eaton Vance Atlanta	Pair Corr
0.72	ERBIX	Eaton Vance Richard	Pair Corr
0.67	ERIFX	Eaton Vance Balanced	Pair Corr
0.65	ERSTX	Eaton Vance Large	Pair Corr
0.81	ERSGX	Eaton Vance Small	Pair Corr
0.73	EACPX	Eaton Vance Tax	Pair Corr
0.72	EAERX	Eaton Vance Stock	Pair Corr
0.74	EAFVX	Eaton Vance Val	Pair Corr
0.7	EAFGX	Eaton Vance Focused	Pair Corr

Moving against Eaton Mutual Fund

0.58	ERGMX	Eaton Vance Global	Pair Corr
0.48	EABLX	Eaton Vance Floating	Pair Corr
0.37	EAAMX	Eaton Vance Multi	Pair Corr
0.35	ERAMX	Eaton Vance Multi	Pair Corr
0.32	ERSIX	Eaton Vance Short	Pair Corr
0.65	EAGMX	Eaton Vance Global	Pair Corr
0.54	EADOX	Eaton Vance Emerging	Pair Corr
0.51	ESBLX	Eaton Vance Floating	Pair Corr
0.48	EAFAX	Eaton Vance Floating	Pair Corr
0.44	EAFHX	Eaton Vance Floating	Pair Corr
0.42	EAPCX	Parametric Commodity	Pair Corr
0.39	EARRX	Eaton Vance Short	Pair Corr
0.36	ESHIX	Eaton Vance Short	Pair Corr
0.35	ESIIX	Eaton Vance Short	Pair Corr

Related Correlations Analysis

	NBRFX	TIREX	FIKMX	REPIX	CREMX	SRPIX	MRESX
NBRFX		1.0	0.79	1.0	-0.34	-1.0	1.0	NBRFX
TIREX	1.0		0.81	1.0	-0.3	-1.0	1.0	TIREX
FIKMX	0.79	0.81		0.8	0.24	-0.82	0.77	FIKMX
REPIX	1.0	1.0	0.8		-0.32	-1.0	1.0	REPIX
CREMX	-0.34	-0.3	0.24	-0.32		0.28	-0.38	CREMX
SRPIX	-1.0	-1.0	-0.82	-1.0	0.28		-0.99	SRPIX
MRESX	1.0	1.0	0.77	1.0	-0.38	-0.99		MRESX
	NBRFX	TIREX	FIKMX	REPIX	CREMX	SRPIX	MRESX

Click cells to compare fundamentals

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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

TIREX	+ 1.0	NBRFX
REPIX	+ 1.0	NBRFX
MRESX	+ 1.0	NBRFX
REPIX	+ 1.0	TIREX
MRESX	+ 1.0	TIREX
MRESX	+ 1.0	REPIX

High negative correlations

SRPIX	- 1.0	REPIX
SRPIX	- 1.0	TIREX
SRPIX	- 1.0	NBRFX
MRESX	- 0.99	SRPIX
SRPIX	- 0.82	FIKMX
MRESX	- 0.38	CREMX

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
NBRFX	0.80	(0.01)	0.00	(0.03)	0.00	0.00	1.44	(1.57)	5.19
TIREX	0.76	(0.01)	0.00	(0.04)	0.00	0.00	1.49	(1.52)	4.93
FIKMX	0.25	0.03	0.13	0.14	0.24	(0.30)	0.59	(0.42)	1.59
REPIX	1.22	(0.01)	0.00	(0.03)	0.00	0.00	2.36	(2.56)	7.82
CREMX	0.04	0.01	0.00	0.88	0.00	0.00	0.08	0.00	0.72
SRPIX	0.80	0.00	0.04	(0.03)	0.87	(0.94)	1.73	(1.51)	6.06
MRESX	0.80	(0.01)	0.00	(0.04)	0.00	0.00	1.41	(1.57)	5.24

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