Eaton Vance Correlations

EGRSX Fund

USD 10.64 0.02 0.19%

The current 90-days correlation between Eaton Vance Global and Baron Real Estate is 0.23 (i.e., Modest 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

Good diversification

The correlation between Eaton Vance Global and DJI is -0.1 (i.e., Good 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 state.

Moving together with Eaton Mutual Fund

0.66	ERHIX	Eaton Vance High	Pair Corr
0.63	EABLX	Eaton Vance Floating	Pair Corr

Moving against Eaton Mutual Fund

0.49	ERIFX	Eaton Vance Balanced	Pair Corr
0.44	ERASX	Eaton Vance Atlanta Potential Growth	Pair Corr
0.44	ERBCX	Eaton Vance Richard	Pair Corr
0.43	ERBIX	Eaton Vance Richard	Pair Corr
0.43	ERBAX	Eaton Vance Richard	Pair Corr
0.36	ENYIX	Eaton Vance New	Pair Corr
0.34	EMOCX	Eaton Vance Municipal	Pair Corr
0.61	ERHSX	Eaton Vance Worldwide	Pair Corr
0.46	ERSMX	Eaton Vance Atlanta Potential Growth	Pair Corr
0.45	ERISX	Parametric Intl Equity	Pair Corr
0.45	ERSTX	Eaton Vance Large	Pair Corr
0.45	EAASX	Eaton Vance Atlanta Potential Growth	Pair Corr
0.44	ERSGX	Eaton Vance Small	Pair Corr
0.43	ERLGX	Eaton Vance Atlanta	Pair Corr
0.43	ERLVX	Eaton Vance Large	Pair Corr
0.37	EAALX	Eaton Vance Atlanta	Pair Corr
0.49	EAFVX	Eaton Vance Val	Pair Corr
0.48	EALCX	Eaton Vance Growth	Pair Corr
0.47	EAERX	Eaton Vance Stock	Pair Corr
0.45	EAGCX	Eaton Vance Atlant	Pair Corr
0.44	EAISX	Parametric International	Pair Corr
0.4	EAFGX	Eaton Vance Focused	Pair Corr

Related Correlations Analysis

	BREUX	NRSAX	MRESX	NRSCX	FORFX	SRPIX
BREUX		0.01	0.92	0.05	-0.48	-0.91	BREUX
NRSAX	0.01		-0.16	1.0	0.47	0.22	NRSAX
MRESX	0.92	-0.16		-0.11	-0.72	-0.99	MRESX
NRSCX	0.05	1.0	-0.11		0.42	0.17	NRSCX
FORFX	-0.48	0.47	-0.72	0.42		0.72	FORFX
SRPIX	-0.91	0.22	-0.99	0.17	0.72		SRPIX
	BREUX	NRSAX	MRESX	NRSCX	FORFX	SRPIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

NRSCX	+ 1.0	NRSAX
MRESX	+ 0.92	BREUX
SRPIX	+ 0.72	FORFX
FORFX	+ 0.47	NRSAX
FORFX	+ 0.42	NRSCX
SRPIX	+ 0.22	NRSAX

High negative correlations

SRPIX	- 0.99	MRESX
SRPIX	- 0.91	BREUX
FORFX	- 0.72	MRESX
FORFX	- 0.48	BREUX
MRESX	- 0.16	NRSAX
NRSCX	- 0.11	MRESX

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
BREUX	0.90	(0.07)	0.00	(0.04)	0.00	0.00	1.65	(1.83)	7.09
NRSAX	0.24	(0.04)	0.00	(0.54)	0.00	0.00	0.44	(0.38)	3.04
MRESX	0.87	(0.12)	0.00	(0.19)	0.00	0.00	1.43	(1.74)	5.43
NRSCX	0.24	(0.04)	0.00	(0.49)	0.00	0.00	0.43	(0.43)	3.00
FORFX	0.06	0.02	0.00	11.35	0.00	0.00	0.11	0.00	0.83
SRPIX	0.92	0.12	0.02	(0.17)	0.91	(1.08)	1.79	(1.71)	6.06

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC