Eaton Vance Correlations

EGRIX Fund

USD 10.82 0.01 0.09%

The current 90-days correlation between Eaton Vance Global and Eaton Vance Msschsts is -0.01 (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

Average diversification

The correlation between Eaton Vance Global and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Global 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 Global. 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 gross domestic product.

Moving together with Eaton Mutual Fund

0.75	ERGMX	Eaton Vance Global	Pair Corr
0.72	ERIBX	Eaton Vance Income	Pair Corr
0.61	ERSGX	Eaton Vance Small	Pair Corr

Moving against Eaton Mutual Fund

0.43	ERHSX	Eaton Vance Worldwide	Pair Corr
0.32	ERISX	Parametric Intl Equity	Pair Corr
0.37	EAISX	Parametric International	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX
EMAIX		0.96	0.98	0.98	0.72	0.98	0.09	0.16	0.03	0.03	EMAIX
EMOCX	0.96		0.99	0.99	0.76	0.98	-0.1	-0.07	-0.13	-0.13	EMOCX
EMOAX	0.98	0.99		0.99	0.75	0.99	-0.03	0.0	-0.07	-0.07	EMOAX
EMOIX	0.98	0.99	0.99		0.74	0.98	0.01	0.07	-0.04	-0.04	EMOIX
EIM	0.72	0.76	0.75	0.74		0.71	0.09	-0.07	0.1	0.11	EIM
ENYIX	0.98	0.98	0.99	0.98	0.71		-0.03	0.01	-0.09	-0.09	ENYIX
ERASX	0.09	-0.1	-0.03	0.01	0.09	-0.03		0.81	0.93	0.93	ERASX
ERAMX	0.16	-0.07	0.0	0.07	-0.07	0.01	0.81		0.7	0.69	ERAMX
ERBIX	0.03	-0.13	-0.07	-0.04	0.1	-0.09	0.93	0.7		1.0	ERBIX
ERBCX	0.03	-0.13	-0.07	-0.04	0.11	-0.09	0.93	0.69	1.0		ERBCX
	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX

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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

ERBCX	+ 1.0	ERBIX
EMOAX	+ 0.99	EMOCX
EMOIX	+ 0.99	EMOCX
EMOIX	+ 0.99	EMOAX
ENYIX	+ 0.99	EMOAX
EMOAX	+ 0.98	EMAIX

High negative correlations

ERBCX	- 0.13	EMOCX
ERBIX	- 0.13	EMOCX
ERASX	- 0.1	EMOCX
ERBCX	- 0.09	ENYIX
ERBIX	- 0.09	ENYIX
ERAMX	- 0.07	EIM

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
EMAIX	0.09	0.01	(0.43)	(0.11)	0.03	(0.15)	0.20	(0.20)	0.91
EMOCX	0.16	0.02	(0.30)	(0.10)	0.22	(0.20)	0.35	(0.35)	1.58
EMOAX	0.16	0.03	(0.26)	(0.15)	0.22	(0.20)	0.35	(0.35)	1.58
EMOIX	0.16	0.03	(0.26)	(0.14)	0.21	(0.22)	0.35	(0.35)	1.58
EIM	0.46	0.05	(0.13)	6.45	0.47	(0.53)	1.06	(0.95)	2.41
ENYIX	0.16	0.03	(0.26)	(0.13)	0.21	(0.22)	0.32	(0.42)	1.47
ERASX	0.63	(0.01)	(0.03)	0.12	0.54	(0.70)	1.42	(1.12)	4.10
ERAMX	0.09	0.02	(1.02)	(0.91)	0.00	(0.18)	0.10	(0.10)	0.72
ERBIX	0.55	(0.05)	(0.09)	0.07	0.69	(0.60)	1.11	(0.98)	3.45
ERBCX	0.55	(0.05)	(0.10)	0.07	0.69	(0.60)	1.09	(0.97)	3.39

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