Eaton Vance Correlations

EFR Stock

USD 13.15 0.07 0.54%

The current 90-days correlation between Eaton Vance Senior and Blackrock Floating Rate is 0.48 (i.e., Very weak 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 Senior and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Senior 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 Senior. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Eaton Stock

0.67	BN	Brookfield Corp Earnings Call This Week	Pair Corr
0.77	CG	Carlyle Group Earnings Call This Week	Pair Corr
0.62	APO	Apollo Global Management Earnings Call This Week	Pair Corr
0.93	AXP	American Express	Pair Corr
0.69	KKR	KKR Co LP Earnings Call This Week	Pair Corr
0.92	GCMG	GCM Grosvenor	Pair Corr
0.79	GECC	Great Elm Capital	Pair Corr
0.9	MAIN	Main Street Capital	Pair Corr
0.62	PFSI	PennyMac Finl Svcs Normal Trading	Pair Corr
0.72	SNFCA	Security National	Pair Corr
0.91	ARCC	Ares Capital Earnings Call This Week	Pair Corr
0.91	ARES	Ares Management LP Earnings Call This Week	Pair Corr
0.66	COOP	Mr Cooper Group Earnings Call This Week	Pair Corr
0.94	C	Citigroup Earnings Call This Week	Pair Corr
0.67	L	Loews Corp Earnings Call This Week	Pair Corr
0.86	V	Visa Class A	Pair Corr
0.77	BK	Bank of New York	Pair Corr
0.79	DB	Deutsche Bank AG	Pair Corr
0.71	GL	Globe Life Earnings Call This Week	Pair Corr

Moving against Eaton Stock

0.69	RKT	Rocket Companies	Pair Corr
0.65	WD	Walker Dunlop	Pair Corr
0.34	DHIL	Diamond Hill Investment	Pair Corr
0.63	NU	Nu Holdings Buyout Trend	Pair Corr
0.57	CB	Chubb Sell-off Trend	Pair Corr
0.48	KB	KB Financial Group Earnings Call This Week	Pair Corr

Related Correlations Analysis

	FRA	PHD	EVF	DSU	BGX	FCT	NSL	JRO	CBH	EFT
FRA		0.42	-0.33	-0.12	0.17	-0.2	-0.71	-0.72	-0.41	-0.02	FRA
PHD	0.42		0.26	0.33	0.72	0.42	-0.2	-0.34	0.28	0.57	PHD
EVF	-0.33	0.26		0.54	0.58	0.62	0.22	0.09	0.55	0.71	EVF
DSU	-0.12	0.33	0.54		0.71	0.84	0.37	0.22	0.76	0.64	DSU
BGX	0.17	0.72	0.58	0.71		0.8	0.1	-0.08	0.67	0.81	BGX
FCT	-0.2	0.42	0.62	0.84	0.8		0.46	0.27	0.89	0.78	FCT
NSL	-0.71	-0.2	0.22	0.37	0.1	0.46		0.95	0.65	0.23	NSL
JRO	-0.72	-0.34	0.09	0.22	-0.08	0.27	0.95		0.47	0.06	JRO
CBH	-0.41	0.28	0.55	0.76	0.67	0.89	0.65	0.47		0.74	CBH
EFT	-0.02	0.57	0.71	0.64	0.81	0.78	0.23	0.06	0.74		EFT
	FRA	PHD	EVF	DSU	BGX	FCT	NSL	JRO	CBH	EFT

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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

JRO	+ 0.95	NSL
CBH	+ 0.89	FCT
FCT	+ 0.84	DSU
EFT	+ 0.81	BGX
FCT	+ 0.8	BGX
EFT	+ 0.78	FCT

High negative correlations

JRO	- 0.72	FRA
NSL	- 0.71	FRA
CBH	- 0.41	FRA
JRO	- 0.34	PHD
EVF	- 0.33	FRA
NSL	- 0.2	PHD

Risk-Adjusted Indicators

There is a big difference between Eaton Stock performing well and Eaton Vance Company 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
FRA	0.57	(0.07)	0.00	(0.53)	0.00	0.00	1.12	(1.20)	3.28
PHD	0.31	0.01	(0.16)	(0.27)	0.40	(0.30)	0.63	(0.72)	1.77
EVF	0.34	0.03	(0.12)	0.37	0.32	(0.42)	0.82	(0.65)	2.12
DSU	0.44	0.00	(0.11)	0.12	0.49	(0.55)	0.94	(0.94)	2.44
BGX	0.50	0.03	(0.05)	0.34	0.75	(0.51)	0.95	(1.09)	4.24
FCT	0.48	0.06	(0.03)	0.69	0.45	(0.55)	1.00	(0.89)	3.32
NSL	0.45	0.01	(0.12)	0.47	0.49	(0.56)	0.90	(1.09)	2.24
JRO	0.48	0.00	(0.10)	0.32	0.72	(0.45)	0.92	(1.17)	2.86
CBH	0.13	0.03	(0.26)	0.86	0.00	(0.18)	0.22	(0.22)	0.78
EFT	0.44	0.06	(0.04)	0.78	0.47	(0.48)	1.00	(0.75)	3.30

Eaton Vance Corporate Management

James Kirchner	Principal Financial and Accounting and Treasurer	Profile
Mark Fetting	Independent Trustee	Profile
Scott CFA	Portfolio Mang	Profile
Richard Froio	Chief Compliance Officer	Profile
CFA Faust	Chairman Trustee	Profile

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