Eaton Vance Correlations

ETJ Fund

USD 8.90 0.04 0.45%

The current 90-days correlation between Eaton Vance Risk and Cohen Steers Limited is 0.19 (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

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

0.76	PFN	Pimco Income Strategy	Pair Corr
0.69	TASVX	Prudential Qma Small	Pair Corr
0.79	MFFSX	Mfs Lifetime 2050	Pair Corr
0.74	FMQRX	Franklin Mutual Quest	Pair Corr
0.77	SPDCX	Deutsche Multi Asset	Pair Corr
0.82	CAAMX	Invesco Servative	Pair Corr
0.61	GSIIX	Goldman Sachs Growth	Pair Corr
0.8	AAANX	Horizon Active Asset	Pair Corr
0.74	TINCX	Templeton Global Balanced	Pair Corr
0.87	CHAIX	Chase Growth	Pair Corr
0.78	IFAIX	Infrastructure Fund	Pair Corr
0.73	VIVIX	Vanguard Value Index	Pair Corr
0.77	MDISX	Franklin Mutual Global	Pair Corr
0.85	VIMSX	Vanguard Mid Cap	Pair Corr
0.76	AIVFX	American Funds Inter	Pair Corr
0.74	DWTNX	Arrow Dwa Tactical	Pair Corr
0.88	JRTIX	Multi Index 2030	Pair Corr
0.74	EILBX	Eaton Vance Tabs	Pair Corr
0.74	CNSIX	Invesco Vertible Sec	Pair Corr
0.84	FMRFX	Fidelity Managed Ret	Pair Corr
0.77	RXRPX	American Funds Retirement	Pair Corr
0.7	ESISX	Parametric Intl Equity	Pair Corr
0.85	CMAAX	Calvert Moderate All	Pair Corr
0.72	PSDTX	Putnam Short Duration	Pair Corr
0.81	MXQLX	Great West Lifetime	Pair Corr
0.63	JDMAX	Janus Enterprise	Pair Corr
0.77	RBCTX	American Funds 2020	Pair Corr
0.67	USBOX	Pear Tree Quality	Pair Corr
0.76	GBCIX	Gabelli Blue	Pair Corr

Moving against Eaton Fund

0.43	NXJ	Nuveen New Jersey	Pair Corr
0.34	XNBHX	Neuberger Berman Int	Pair Corr

Related Correlations Analysis

	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT
LDP		0.34	0.54	-0.16	0.32	0.28	0.27	0.61	0.15	0.34	LDP
NKX	0.34		0.43	-0.14	0.16	0.23	0.02	0.48	0.09	0.5	NKX
CCD	0.54	0.43		0.51	0.86	0.87	0.77	0.94	0.77	0.48	CCD
ASGI	-0.16	-0.14	0.51		0.7	0.72	0.56	0.41	0.76	0.02	ASGI
ETB	0.32	0.16	0.86	0.7		0.91	0.86	0.84	0.84	0.38	ETB
AAIEX	0.28	0.23	0.87	0.72	0.91		0.84	0.77	0.95	0.3	AAIEX
ALZFX	0.27	0.02	0.77	0.56	0.86	0.84		0.72	0.88	0.16	ALZFX
STK	0.61	0.48	0.94	0.41	0.84	0.77	0.72		0.64	0.5	STK
LVAQX	0.15	0.09	0.77	0.76	0.84	0.95	0.88	0.64		0.12	LVAQX
PDT	0.34	0.5	0.48	0.02	0.38	0.3	0.16	0.5	0.12		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

LVAQX	+ 0.95	AAIEX
STK	+ 0.94	CCD
AAIEX	+ 0.91	ETB
LVAQX	+ 0.88	ALZFX
AAIEX	+ 0.87	CCD
ETB	+ 0.86	CCD

High negative correlations

ASGI	- 0.16	LDP
ASGI	- 0.14	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	0.34	0.00	(0.06)	0.05	0.40	(0.38)	0.82	(0.68)	2.92
NKX	0.34	0.03	0.00	0.17	0.57	(0.33)	0.56	(0.78)	3.53
CCD	0.75	0.07	0.06	0.12	0.82	(0.81)	1.66	(1.57)	4.60
ASGI	0.73	0.17	0.12	0.46	0.94	(0.78)	1.62	(1.95)	4.76
ETB	0.47	0.02	0.01	0.07	0.51	(0.50)	1.11	(0.86)	2.80
AAIEX	0.56	0.11	0.16	0.20	0.42	(0.68)	1.47	(0.99)	3.37
ALZFX	1.05	0.03	0.02	0.08	1.47	(0.96)	2.24	(2.63)	8.01
STK	1.14	0.11	0.07	0.15	1.40	(1.14)	2.24	(2.28)	7.32
LVAQX	0.82	0.16	0.19	0.22	0.54	(0.97)	2.49	(1.35)	7.90
PDT	0.45	(0.01)	(0.05)	0.01	0.52	(0.51)	0.78	(0.93)	2.59

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