Eaton Vance Correlations

ERSMX Fund

USD 33.31 0.02 0.06%

The current 90-days correlation between Eaton Vance Atlanta and Transamerica Capital Growth is 0.61 (i.e., 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

Weak diversification

The correlation between Eaton Vance Atlanta and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Atlanta 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 Atlanta. 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 Eaton Mutual Fund

0.62	EMOAX	Eaton Vance Municipal	Pair Corr
0.97	ERASX	Eaton Vance Atlanta	Pair Corr
0.75	ERBIX	Eaton Vance Richard	Pair Corr
0.76	ERBCX	Eaton Vance Richard	Pair Corr
0.75	ERBAX	Eaton Vance Richard	Pair Corr
0.94	ERIFX	Eaton Vance Balanced	Pair Corr
0.76	ERHSX	Eaton Vance Worldwide	Pair Corr
0.71	ERISX	Parametric Intl Equity	Pair Corr
0.97	ERLGX	Eaton Vance Atlanta	Pair Corr
0.97	ERLVX	Eaton Vance Large	Pair Corr
0.95	EAALX	Eaton Vance Atlanta	Pair Corr
0.97	ERSTX	Eaton Vance Large	Pair Corr
0.85	ERSGX	Eaton Vance Small	Pair Corr
1.0	EAASX	Eaton Vance Atlanta	Pair Corr
0.74	EADIX	Eaton Vance Tax	Pair Corr
0.9	EAERX	Eaton Vance Stock	Pair Corr
0.63	EAEAX	Eaton Vance Tax	Pair Corr
0.94	EAFVX	Eaton Vance Val	Pair Corr

Moving against Eaton Mutual Fund

0.75	ERGMX	Eaton Vance Global	Pair Corr
0.68	EADOX	Eaton Vance Emerging	Pair Corr
0.57	EABLX	Eaton Vance Floating	Pair Corr
0.42	EAAMX	Eaton Vance Multi	Pair Corr
0.76	EAGMX	Eaton Vance Global	Pair Corr
0.58	EAFAX	Eaton Vance Floating	Pair Corr
0.53	EAFHX	Eaton Vance Floating	Pair Corr

Related Correlations Analysis

	TAAEX	LGLSX	HGOFX	NEAIX	TEGAX	LMLRX
TAAEX		0.97	0.92	0.73	0.75	0.34	TAAEX
LGLSX	0.97		0.95	0.73	0.73	0.36	LGLSX
HGOFX	0.92	0.95		0.73	0.58	0.28	HGOFX
NEAIX	0.73	0.73	0.73		0.73	0.73	NEAIX
TEGAX	0.75	0.73	0.58	0.73		0.73	TEGAX
LMLRX	0.34	0.36	0.28	0.73	0.73		LMLRX
	TAAEX	LGLSX	HGOFX	NEAIX	TEGAX	LMLRX

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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
TAAEX	1.35	0.36	0.21	1.43	1.28	(1.57)	3.16	(1.92)	12.35
LGLSX	1.04	0.17	0.11	0.35	1.33	(1.03)	2.43	(2.37)	7.49
HGOFX	0.88	0.09	0.07	0.28	1.23	(0.85)	1.92	(1.93)	5.92
NEAIX	1.10	0.05	0.04	0.08	1.22	(1.22)	2.28	(1.60)	8.12
TEGAX	0.96	0.08	0.06	0.81	1.19	(0.99)	2.13	(1.66)	7.72
LMLRX	0.28	(0.01)	0.00	(0.08)	0.00	0.00	0.54	(0.54)	2.14

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