Eaton Vance Correlations

ETJ Fund

USD 8.74 0.04 0.46%

The current 90-days correlation between Eaton Vance Risk and Cohen Steers Limited is 0.5 (i.e., Very weak 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

Very poor diversification

The correlation between Eaton Vance Risk and DJI is 0.83 (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 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 population.

Moving together with Eaton Fund

0.86	SMPIX	Semiconductor Ultrasector	Pair Corr
0.84	SMPSX	Semiconductor Ultrasector	Pair Corr
0.74	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.74	PMPSX	Precious Metals Ultr Steady Growth	Pair Corr
0.74	EKWAX	Wells Fargo Advantage	Pair Corr
0.77	UJPIX	Ultrajapan Profund	Pair Corr
0.74	INIVX	International Investors Potential Growth	Pair Corr
0.74	EKWYX	Wells Fargo Advantage Steady Growth	Pair Corr
0.77	FGPMX	Franklin Gold And Steady Growth	Pair Corr
0.77	FGADX	Franklin Gold Precious Steady Growth	Pair Corr
0.8	BRLVX	American Beacon Bridgeway	Pair Corr
0.76	AMGIX	Income Growth	Pair Corr
0.75	AMDWX	Amana Developing World	Pair Corr
0.78	AMFFX	American Mutual	Pair Corr
0.73	FMNEX	Free Market International	Pair Corr
0.73	CDDRX	Columbia Dividend Income	Pair Corr
0.72	TRVRX	Tiaa-cref Mid-cap	Pair Corr
0.68	CLDZX	Columbia Limited Duration	Pair Corr
0.8	NFFFX	New World Fund	Pair Corr
0.88	FTGMX	Salient Tactical Growth	Pair Corr
0.73	PAMCX	T Rowe Price	Pair Corr
0.85	TWSMX	Strategic Allocation	Pair Corr
0.71	PELAX	Pimco Emerging Local	Pair Corr
0.76	RTIUX	Tax-managed International	Pair Corr
0.69	DRISX	Foundry Partners Fun	Pair Corr
0.69	EMLKX	Mfs Emerging Markets	Pair Corr
0.83	LYRNX	Lyrical International	Pair Corr
0.85	FIHFX	Fidelity Freedom Index	Pair Corr
0.72	DEMCX	Delaware Emerging Markets Steady Growth	Pair Corr
0.93	GCTSX	Goldman Sachs Tax	Pair Corr
0.66	TWADX	Value Fund A	Pair Corr
0.75	NPNRX	Neuberger Berman Large	Pair Corr
0.85	ALFRX	Lord Abbett Alpha	Pair Corr
0.82	THPGX	Thompson Largecap	Pair Corr
0.83	ISKIX	Voya Index Solution	Pair Corr
0.66	HISFX	Hennessy Small Cap	Pair Corr

Related Correlations Analysis

	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT
LDP		0.65	0.88	0.75	0.83	0.88	0.43	0.87	0.82	0.72	LDP
NKX	0.65		0.68	0.56	0.48	0.67	0.01	0.67	0.51	0.82	NKX
CCD	0.88	0.68		0.76	0.9	0.95	0.58	0.95	0.9	0.74	CCD
ASGI	0.75	0.56	0.76		0.7	0.83	0.22	0.68	0.75	0.83	ASGI
ETB	0.83	0.48	0.9	0.7		0.89	0.72	0.93	0.88	0.63	ETB
AAIEX	0.88	0.67	0.95	0.83	0.89		0.54	0.89	0.95	0.8	AAIEX
ALZFX	0.43	0.01	0.58	0.22	0.72	0.54		0.61	0.7	0.06	ALZFX
STK	0.87	0.67	0.95	0.68	0.93	0.89	0.61		0.83	0.68	STK
LVAQX	0.82	0.51	0.9	0.75	0.88	0.95	0.7	0.83		0.64	LVAQX
PDT	0.72	0.82	0.74	0.83	0.63	0.8	0.06	0.68	0.64		PDT
	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT

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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
LDP	0.27	0.01	(0.13)	0.11	0.22	(0.33)	0.63	(0.47)	1.38
NKX	0.33	0.01	(0.07)	0.13	0.55	(0.34)	0.62	(0.79)	3.63
CCD	0.73	0.14	0.14	0.25	0.65	(0.85)	1.74	(1.45)	5.23
ASGI	0.94	0.27	0.13	0.79	1.32	(1.03)	2.17	(2.31)	8.55
ETB	0.45	0.01	(0.02)	0.10	0.46	(0.48)	1.11	(0.91)	2.88
AAIEX	0.54	0.16	0.19	0.31	0.30	(0.64)	1.47	(1.13)	3.23
ALZFX	1.00	0.05	0.03	0.13	1.34	(0.94)	2.24	(2.33)	8.08
STK	1.17	0.12	0.08	0.18	1.34	(1.21)	2.92	(2.28)	7.38
LVAQX	0.85	0.21	0.25	0.30	0.37	(1.04)	2.49	(1.31)	7.90
PDT	0.47	0.03	(0.03)	0.17	0.45	(0.56)	1.00	(0.87)	2.61

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Eaton Vance Correlations

Eaton Vance Correlation With Market

Very poor diversification

Moving together with Eaton Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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