Eaton Vance Correlations

ETJ Fund

USD 8.95 0.04 0.45%

The current 90-days correlation between Eaton Vance Risk and Cohen Steers Limited is 0.59 (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

Poor diversification

The correlation between Eaton Vance Risk and DJI is 0.69 (i.e., 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 real.

Moving together with Eaton Fund

0.67	TDF	Templeton Dragon Closed	Pair Corr
0.67	RYHOX	Nasdaq 100 Fund	Pair Corr
0.69	VGRLX	Vanguard Global Ex	Pair Corr
0.66	RRTCX	T Rowe Price	Pair Corr
0.65	LAFAX	Columbia Acorn Inter	Pair Corr
0.73	VFIAX	Vanguard 500 Index	Pair Corr
0.82	VSGAX	Vanguard Small Cap	Pair Corr
0.73	FTCOX	Franklin Efolio Allo	Pair Corr
0.78	IRONX	Ironclad Managed Risk	Pair Corr
0.69	TEAF	Ecofin Sustainable And	Pair Corr
0.75	LOCFX	Lord Abbett Convertible	Pair Corr
0.72	BSPGX	Ishares Sp 500	Pair Corr
0.73	VFINX	Vanguard 500 Index	Pair Corr
0.66	MISFX	Matthews Asia Esg	Pair Corr

Related Correlations Analysis

	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT
LDP		0.21	0.61	-0.16	0.39	0.21	0.29	0.67	0.17	0.14	LDP
NKX	0.21		-0.18	-0.22	0.17	-0.06	-0.23	0.38	-0.12	-0.17	NKX
CCD	0.61	-0.18		0.22	0.6	0.58	0.71	0.71	0.46	0.02	CCD
ASGI	-0.16	-0.22	0.22		0.61	0.67	0.54	0.25	0.79	-0.52	ASGI
ETB	0.39	0.17	0.6	0.61		0.85	0.8	0.8	0.71	-0.35	ETB
AAIEX	0.21	-0.06	0.58	0.67	0.85		0.83	0.59	0.82	-0.43	AAIEX
ALZFX	0.29	-0.23	0.71	0.54	0.8	0.83		0.61	0.61	-0.28	ALZFX
STK	0.67	0.38	0.71	0.25	0.8	0.59	0.61		0.41	-0.15	STK
LVAQX	0.17	-0.12	0.46	0.79	0.71	0.82	0.61	0.41		-0.51	LVAQX
PDT	0.14	-0.17	0.02	-0.52	-0.35	-0.43	-0.28	-0.15	-0.51		PDT
	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT

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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

AAIEX	+ 0.85	ETB
ALZFX	+ 0.83	AAIEX
LVAQX	+ 0.82	AAIEX
ALZFX	+ 0.8	ETB
STK	+ 0.8	ETB
LVAQX	+ 0.79	ASGI

High negative correlations

PDT	- 0.52	ASGI
PDT	- 0.51	LVAQX
PDT	- 0.43	AAIEX
PDT	- 0.35	ETB
PDT	- 0.28	ALZFX
ALZFX	- 0.23	NKX

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	0.36	(0.05)	0.00	(0.03)	0.00	0.00	0.81	(0.72)	2.90
NKX	0.29	0.05	(0.04)	0.63	0.40	(0.32)	0.63	(0.70)	2.71
CCD	0.90	(0.01)	(0.01)	0.07	1.07	(0.93)	1.87	(2.08)	4.60
ASGI	0.73	0.02	(0.03)	0.13	1.09	(0.68)	1.30	(1.98)	4.72
ETB	0.53	0.01	(0.03)	0.10	0.57	(0.56)	1.22	(0.86)	2.90
AAIEX	0.54	0.06	0.05	0.17	0.48	(0.60)	1.42	(0.99)	3.32
ALZFX	1.12	0.07	0.04	0.16	1.39	(1.09)	2.65	(2.63)	6.33
STK	1.16	0.08	0.06	0.15	1.42	(1.16)	2.92	(2.74)	7.32
LVAQX	0.75	(0.03)	(0.02)	0.06	0.94	(0.76)	1.82	(1.70)	4.92
PDT	0.45	(0.06)	0.00	(0.86)	0.00	0.00	0.71	(0.94)	2.58

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