Parametric Emerging Correlations

EIEMX Fund

USD 14.57 0.02 0.14%

The current 90-days correlation between Parametric Emerging and Ivy Natural Resources is 0.1 (i.e., Average diversification). The correlation of Parametric Emerging 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.

Parametric Emerging Correlation With Market

Good diversification

The correlation between Parametric Emerging Markets and DJI is -0.03 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Emerging Markets 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 Parametric Emerging Markets. 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 population.

Moving together with Parametric Mutual Fund

1.0	EREMX	Eaton Vance Parametric	Pair Corr
0.72	EADIX	Eaton Vance Tax	Pair Corr
0.95	EAEMX	Parametric Emerging	Pair Corr

Related Correlations Analysis

	IGNCX	RSNYX	RYVIX	XEMOX	SNPIX	CGAEX	XGNTX
IGNCX		0.8	0.52	0.47	-0.67	0.37	0.65	IGNCX
RSNYX	0.8		0.32	0.64	-0.71	0.16	0.38	RSNYX
RYVIX	0.52	0.32		0.54	-0.78	-0.05	-0.04	RYVIX
XEMOX	0.47	0.64	0.54		-0.82	-0.49	-0.26	XEMOX
SNPIX	-0.67	-0.71	-0.78	-0.82		0.25	0.04	SNPIX
CGAEX	0.37	0.16	-0.05	-0.49	0.25		0.78	CGAEX
XGNTX	0.65	0.38	-0.04	-0.26	0.04	0.78		XGNTX
	IGNCX	RSNYX	RYVIX	XEMOX	SNPIX	CGAEX	XGNTX

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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

RSNYX	+ 0.8	IGNCX
XGNTX	+ 0.78	CGAEX
XGNTX	+ 0.65	IGNCX
XEMOX	+ 0.64	RSNYX
XEMOX	+ 0.54	RYVIX
RYVIX	+ 0.52	IGNCX

High negative correlations

SNPIX	- 0.82	XEMOX
SNPIX	- 0.78	RYVIX
SNPIX	- 0.71	RSNYX
SNPIX	- 0.67	IGNCX
CGAEX	- 0.49	XEMOX
XGNTX	- 0.26	XEMOX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Emerging 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 Parametric Emerging'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
IGNCX	0.77	0.01	(0.09)	0.18	1.11	(0.77)	1.68	(1.58)	4.39
RSNYX	1.03	0.22	0.11	0.48	1.23	(1.13)	2.35	(1.94)	6.63
RYVIX	1.41	(0.17)	(0.07)	0.00	1.76	(1.51)	2.63	(3.08)	10.74
XEMOX	0.72	0.19	0.10	1.79	0.54	(0.84)	1.68	(1.01)	4.31
SNPIX	0.91	0.00	0.00	0.11	0.00	0.00	2.11	(1.71)	6.81
CGAEX	0.75	(0.09)	0.00	(0.10)	0.00	0.00	1.46	(1.90)	4.70
XGNTX	0.54	(0.05)	0.00	(0.64)	0.00	0.00	1.23	(1.26)	3.30

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