Eaton Vance Correlations

ERSGX Fund

USD 15.59 0.21 1.37%

The current 90-days correlation between Eaton Vance Small and Janus Enterprise Fund is 0.89 (i.e., Very poor 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

Very poor diversification

The correlation between Eaton Vance Small Cap and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Small Cap 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 Small Cap. 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 price.

Moving together with Eaton Mutual Fund

0.88	ERASX	Eaton Vance Atlanta	Pair Corr
0.69	ERAMX	Eaton Vance Multi	Pair Corr
0.8	ERBIX	Eaton Vance Richard	Pair Corr
0.79	ERBCX	Eaton Vance Richard	Pair Corr
0.8	ERBAX	Eaton Vance Richard	Pair Corr
0.64	ERHIX	Eaton Vance High	Pair Corr
0.77	ERGMX	Eaton Vance Global	Pair Corr
0.84	ERIFX	Eaton Vance Balanced	Pair Corr
0.93	ERLVX	Eaton Vance Large	Pair Corr
0.7	EAAMX	Eaton Vance Multi	Pair Corr
0.87	ERSTX	Eaton Vance Large	Pair Corr
0.83	ERSMX	Eaton Vance Atlanta	Pair Corr
0.71	EABLX	Eaton Vance Floating	Pair Corr
0.88	EAASX	Eaton Vance Atlanta	Pair Corr
0.92	EACPX	Eaton Vance Tax	Pair Corr
0.78	EADOX	Eaton Vance Emerging	Pair Corr
0.86	EAERX	Eaton Vance Stock	Pair Corr
0.88	EAEAX	Eaton Vance Tax	Pair Corr
0.92	EAFVX	Eaton Vance Val	Pair Corr
0.82	EAFGX	Eaton Vance Focused	Pair Corr
0.72	EAFAX	Eaton Vance Floating	Pair Corr
0.76	EAGMX	Eaton Vance Global	Pair Corr

Moving against Eaton Mutual Fund

0.7	ERHSX	Eaton Vance Worldwide	Pair Corr
0.69	ERGOX	Eaton Vance Government	Pair Corr
0.62	ERISX	Parametric Intl Equity	Pair Corr
0.46	ERSIX	Eaton Vance Short	Pair Corr
0.62	ESISX	Parametric Intl Equity	Pair Corr
0.6	EAISX	Parametric International	Pair Corr
0.59	EAGIX	Eaton Vance Core	Pair Corr
0.55	EALDX	Eaton Vance Short	Pair Corr
0.54	EASDX	Eaton Vance Short	Pair Corr
0.42	ESIIX	Eaton Vance Short	Pair Corr
0.34	EALTX	Ev Tab Lad	Pair Corr
0.34	ETCTX	Eaton Vance Necticut	Pair Corr

Related Correlations Analysis

	JDMNX	MPHQX	AEDMX	RNWGX	BTMKX
JDMNX		-0.59	0.44	0.4	-0.36	JDMNX
MPHQX	-0.59		-0.02	0.05	0.71	MPHQX
AEDMX	0.44	-0.02		0.98	0.39	AEDMX
RNWGX	0.4	0.05	0.98		0.48	RNWGX
BTMKX	-0.36	0.71	0.39	0.48		BTMKX
	JDMNX	MPHQX	AEDMX	RNWGX	BTMKX

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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

RNWGX	+ 0.98	AEDMX
BTMKX	+ 0.71	MPHQX
BTMKX	+ 0.48	RNWGX
AEDMX	+ 0.44	JDMNX
RNWGX	+ 0.4	JDMNX
BTMKX	+ 0.39	AEDMX

High negative correlations

MPHQX	- 0.59	JDMNX
BTMKX	- 0.36	JDMNX
AEDMX	- 0.02	MPHQX

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
JDMNX	0.58	0.00	(0.02)	0.08	0.68	(0.59)	1.24	(1.23)	3.56
MPHQX	0.22	(0.03)	0.00	0.64	0.00	0.00	0.40	(0.59)	1.32
AEDMX	0.79	(0.04)	(0.08)	0.01	1.00	(0.85)	1.59	(1.86)	4.74
RNWGX	0.56	(0.06)	0.00	(0.04)	0.00	0.00	1.26	(1.31)	3.80
BTMKX	0.70	(0.07)	0.00	0.87	0.00	0.00	1.42	(1.72)	4.25

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