Eaton Vance Correlations

EGRIX Fund

USD 10.85 0.03 0.28%

The current 90-days correlation between Eaton Vance Global and Eaton Vance Richard is 0.39 (i.e., 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

Average diversification

The correlation between Eaton Vance Global and DJI is 0.1 (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

0.87	BSIKX	Blackrock Strategic	Pair Corr
0.71	CSRSX	Cohen Steers Realty	Pair Corr
0.87	GE	GE Aerospace	Pair Corr
0.62	PG	Procter Gamble	Pair Corr
0.72	CVX	Chevron Corp	Pair Corr
0.83	VZ	Verizon Communications	Pair Corr
0.71	CSCO	Cisco Systems	Pair Corr
0.71	TRV	The Travelers Companies	Pair Corr
0.84	KO	Coca Cola	Pair Corr
0.91	JNJ	Johnson Johnson	Pair Corr

Moving against Eaton Mutual Fund

0.77	MSFT	Microsoft	Pair Corr
0.5	HPQ	HP Inc	Pair Corr
0.46	DIS	Walt Disney	Pair Corr
0.33	HD	Home Depot	Pair Corr
0.32	IVHIX	Ivy High Income	Pair Corr

Related Correlations Analysis

	ECRAX	ECSMX	ECSIX	ECSCX	ECRRX	ECTMX	ECTGX	ECSTX	ECTVX
ECRAX		0.75	0.14	0.27	0.07	0.95	0.81	0.88	0.86	ECRAX
ECSMX	0.75		-0.3	0.03	-0.33	0.82	0.92	0.76	0.85	ECSMX
ECSIX	0.14	-0.3		0.6	0.97	0.08	-0.13	0.13	-0.04	ECSIX
ECSCX	0.27	0.03	0.6		0.55	0.19	0.23	0.12	0.07	ECSCX
ECRRX	0.07	-0.33	0.97	0.55		0.05	-0.15	0.1	-0.07	ECRRX
ECTMX	0.95	0.82	0.08	0.19	0.05		0.86	0.94	0.94	ECTMX
ECTGX	0.81	0.92	-0.13	0.23	-0.15	0.86		0.74	0.8	ECTGX
ECSTX	0.88	0.76	0.13	0.12	0.1	0.94	0.74		0.98	ECSTX
ECTVX	0.86	0.85	-0.04	0.07	-0.07	0.94	0.8	0.98		ECTVX
	ECRAX	ECSMX	ECSIX	ECSCX	ECRRX	ECTMX	ECTGX	ECSTX	ECTVX

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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

ECTVX	+ 0.98	ECSTX
ECRRX	+ 0.97	ECSIX
ECTMX	+ 0.95	ECRAX
ECSTX	+ 0.94	ECTMX
ECTVX	+ 0.94	ECTMX
ECTGX	+ 0.92	ECSMX

High negative correlations

ECRRX	- 0.33	ECSMX
ECSIX	- 0.3	ECSMX
ECTGX	- 0.15	ECRRX
ECTGX	- 0.13	ECSIX
ECTVX	- 0.07	ECRRX
ECTVX	- 0.04	ECSIX

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
ECRAX	0.35	(0.01)	0.13	0.31	0.45	(0.38)	0.71	(0.71)	2.07
ECSMX	0.75	(0.04)	0.00	(0.12)	0.00	0.00	1.46	(1.78)	3.86
ECSIX	0.16	0.05	0.51	1.46	0.00	(0.25)	0.32	(0.16)	1.14
ECSCX	0.17	0.00	0.18	(0.16)	0.24	(0.21)	0.33	(0.44)	1.21
ECRRX	0.08	0.02	0.61	3.66	0.00	(0.12)	0.20	(0.10)	0.50
ECTMX	0.66	(0.01)	0.08	0.17	0.80	(0.69)	1.12	(1.32)	3.08
ECTGX	0.77	(0.02)	0.00	(0.10)	0.00	0.00	1.65	(1.77)	4.72
ECSTX	0.57	0.01	0.10	(0.43)	0.77	(0.57)	1.29	(1.21)	3.10
ECTVX	0.62	(0.01)	0.00	0.62	0.00	0.00	1.31	(1.30)	3.33

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