Eaton Vance Correlations

ETJ Fund

USD 9.23 0.04 0.44%

The current 90-days correlation between Eaton Vance Risk and Eaton Vance Tax is 0.18 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Eaton Vance moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Eaton Vance Risk moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Eaton Vance Correlation With Market

Modest diversification

The correlation between Eaton Vance Risk and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Risk 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 Risk. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Eaton Fund

0.67	GAB	Gabelli Equity Trust	Pair Corr
0.77	BITW	Bitwise 10 Crypto	Pair Corr
0.63	GCPYX	Gateway Equity Call	Pair Corr
0.71	BTCFX	Bitcoin Strategy Profund Steady Growth	Pair Corr
0.66	AOFAX	Alger Small Cap	Pair Corr
0.68	RYIFX	Guggenheim Managed	Pair Corr
0.82	LGLSX	L Abbett Growth	Pair Corr
0.86	FNCMX	Fidelity Nasdaq Posite	Pair Corr
0.83	DRGTX	Allianzgi Technology	Pair Corr
0.85	HSUAX	Rational Defensive Growth	Pair Corr
0.8	MFIRX	Ms Global Fixed	Pair Corr
0.67	IFRRX	Voya Floating Rate	Pair Corr
0.65	BUMGX	Cboe Vest Sp	Pair Corr

Moving against Eaton Fund

0.49

FAX

Aberdeen Asia Pacific

Pair Corr

Related Correlations Analysis

	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV
ETB		0.89	0.25	0.85	0.57	0.01	0.06	0.84	-0.18	ETB
ETV	0.89		0.25	0.96	0.52	0.15	0.08	0.87	-0.12	ETV
EXG	0.25	0.25		0.31	0.87	0.64	0.3	0.32	0.58	EXG
ETY	0.85	0.96	0.31		0.54	0.2	0.14	0.85	0.01	ETY
ETW	0.57	0.52	0.87	0.54		0.43	0.2	0.56	0.4	ETW
MHD	0.01	0.15	0.64	0.2	0.43		0.53	0.22	0.65	MHD
DTF	0.06	0.08	0.3	0.14	0.2	0.53		0.1	0.38	DTF
EFT	0.84	0.87	0.32	0.85	0.56	0.22	0.1		0.05	EFT
EVV	-0.18	-0.12	0.58	0.01	0.4	0.65	0.38	0.05		EVV
	ETB	ETV	EXG	ETY	ETW	MHD	DTF	EFT	EVV

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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

ETY	+ 0.96	ETV
ETV	+ 0.89	ETB
EFT	+ 0.87	ETV
ETW	+ 0.87	EXG
ETY	+ 0.85	ETB
EFT	+ 0.85	ETY

High negative correlations

EVV	- 0.18	ETB
EVV	- 0.12	ETV

Risk-Adjusted Indicators

There is a big difference between Eaton Fund performing well and Eaton Vance 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
ETB	0.42	0.09	0.13	0.24	0.39	(0.48)	1.03	(0.95)	3.11
ETV	0.54	0.08	0.08	0.54	0.54	(0.61)	1.18	(1.21)	3.27
EXG	0.56	(0.01)	(0.02)	0.00	0.78	(0.61)	1.10	(1.22)	4.25
ETY	0.58	0.06	0.05	0.29	0.67	(0.67)	1.48	(1.24)	4.39
ETW	0.54	0.00	(0.02)	0.01	0.72	(0.53)	1.10	(1.32)	3.23
MHD	0.63	(0.07)	0.00	(0.37)	0.00	0.00	1.15	(1.17)	2.75
DTF	0.34	0.00	(0.04)	(0.05)	0.44	(0.44)	0.83	(0.71)	2.78
EFT	0.41	0.05	0.05	0.37	0.56	(0.43)	0.85	(0.75)	3.30
EVV	0.54	(0.04)	0.00	(0.22)	0.00	0.00	1.32	(1.20)	3.30

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