Parametric Commodity Correlations

EIPCX Fund

USD 6.42 0.02 0.31%

The current 90-days correlation between Parametric Commodity and Fwnhtx is 0.02 (i.e., Significant diversification). The correlation of Parametric Commodity 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 Commodity Correlation With Market

Significant diversification

The correlation between Parametric Modity Strategy and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Modity Strategy 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 Modity Strategy. 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 main economic indicators.

Moving together with Parametric Mutual Fund

0.67	ERAMX	Eaton Vance Multi	Pair Corr
0.66	EAAMX	Eaton Vance Multi	Pair Corr
0.83	EADOX	Eaton Vance Emerging	Pair Corr
0.7	EAFHX	Eaton Vance Floating	Pair Corr
0.71	EAFAX	Eaton Vance Floating	Pair Corr

Moving against Parametric Mutual Fund

0.47	ERBCX	Eaton Vance Richard	Pair Corr
0.46	EIM	Eaton Vance Mbf	Pair Corr
0.45	ERBAX	Eaton Vance Richard	Pair Corr
0.4	ERBIX	Eaton Vance Richard	Pair Corr
0.34	ERIFX	Eaton Vance Balanced	Pair Corr
0.31	ENYIX	Eaton Vance New	Pair Corr
0.31	ERASX	Eaton Vance Atlanta	Pair Corr
0.38	ERSMX	Eaton Vance Atlanta	Pair Corr
0.37	EAASX	Eaton Vance Atlanta	Pair Corr
0.31	ERSGX	Eaton Vance Small	Pair Corr
0.43	EAERX	Eaton Vance Stock	Pair Corr
0.41	EALCX	Eaton Vance Growth	Pair Corr
0.36	EAFGX	Eaton Vance Focused	Pair Corr
0.32	EAFVX	Eaton Vance Val	Pair Corr
0.32	EALTX	Ev Tab Lad	Pair Corr

Related Correlations Analysis

	FWNHTX	FKHEMX	FBJYGX	OPTCX	FLKYPX	FTUFOX	VOLJX
FWNHTX		0.24	0.63	-0.36	0.11	0.58	0.29	FWNHTX
FKHEMX	0.24		0.77	-0.23	0.95	0.31	0.49	FKHEMX
FBJYGX	0.63	0.77		-0.35	0.67	0.59	0.43	FBJYGX
OPTCX	-0.36	-0.23	-0.35		-0.16	-0.27	0.58	OPTCX
FLKYPX	0.11	0.95	0.67	-0.16		0.17	0.46	FLKYPX
FTUFOX	0.58	0.31	0.59	-0.27	0.17		0.4	FTUFOX
VOLJX	0.29	0.49	0.43	0.58	0.46	0.4		VOLJX
	FWNHTX	FKHEMX	FBJYGX	OPTCX	FLKYPX	FTUFOX	VOLJX

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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

FLKYPX	+ 0.95	FKHEMX
FBJYGX	+ 0.77	FKHEMX
FLKYPX	+ 0.67	FBJYGX
FBJYGX	+ 0.63	FWNHTX
FTUFOX	+ 0.59	FBJYGX
FTUFOX	+ 0.58	FWNHTX

High negative correlations

OPTCX	- 0.36	FWNHTX
OPTCX	- 0.35	FBJYGX
FTUFOX	- 0.27	OPTCX
OPTCX	- 0.23	FKHEMX
FLKYPX	- 0.16	OPTCX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Commodity 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 Commodity'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
FWNHTX	0.02	(0.01)	(2.58)	(4.53)	0.00	(0.03)	0.07	(0.04)	0.12
FKHEMX	0.62	0.21	0.00	1.39	0.00	0.00	1.38	(1.13)	3.83
FBJYGX	0.49	0.16	0.14	2.32	0.33	(0.59)	1.27	(0.76)	2.57
OPTCX	0.14	0.03	(0.18)	0.62	0.00	(0.22)	0.31	(0.21)	1.35
FLKYPX	0.85	0.22	0.00	1.97	0.00	0.00	1.80	(1.14)	6.36
FTUFOX	0.09	0.00	(0.51)	0.18	0.00	(0.10)	0.22	(0.11)	0.57
VOLJX	0.65	0.06	0.03	0.20	0.80	(0.71)	1.52	(1.39)	6.07

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