Eaton Vance Correlations

ETMBX Fund

USD 8.06 0.01 0.12%

The current 90-days correlation between Eaton Vance Amt and Eaton Vance Msschsts is 0.91 (i.e., Almost no 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

Significant diversification

The correlation between Eaton Vance Amt Free and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Amt Free 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 Amt Free. 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 bureau of labor statistics.

Moving together with Eaton Mutual Fund

0.73	EMAIX	Eaton Vance Msschsts	Pair Corr
0.99	EMOCX	Eaton Vance Municipal	Pair Corr
0.98	EMOAX	Eaton Vance Municipal	Pair Corr
0.97	EMOIX	Eaton Vance Municipal	Pair Corr
0.81	EIM	Eaton Vance Mbf	Pair Corr
0.98	ENYIX	Eaton Vance New	Pair Corr
0.68	ERASX	Eaton Vance Atlanta	Pair Corr
0.69	ERBIX	Eaton Vance Richard	Pair Corr
0.68	ERBCX	Eaton Vance Richard	Pair Corr
0.69	ERBAX	Eaton Vance Richard	Pair Corr
0.75	ERGOX	Eaton Vance Government	Pair Corr
0.77	ERIFX	Eaton Vance Balanced	Pair Corr
0.72	ERLGX	Eaton Vance Atlanta	Pair Corr
0.66	ERLVX	Eaton Vance Large	Pair Corr
0.66	EAALX	Eaton Vance Atlanta	Pair Corr
0.66	ERSTX	Eaton Vance Large	Pair Corr
0.67	ERSMX	Eaton Vance Atlanta	Pair Corr
0.72	ERSGX	Eaton Vance Small	Pair Corr
0.67	EAASX	Eaton Vance Atlanta	Pair Corr
0.62	EACPX	Eaton Vance Tax	Pair Corr
0.94	EACAX	Eaton Vance California	Pair Corr
0.94	EABSX	Eaton Vance Tabs	Pair Corr
0.72	EAERX	Eaton Vance Stock	Pair Corr
0.63	EAEAX	Eaton Vance Tax	Pair Corr
0.65	EAFVX	Eaton Vance Val	Pair Corr

Moving against Eaton Mutual Fund

0.37	ERGMX	Eaton Vance Global	Pair Corr
0.36	EAGMX	Eaton Vance Global	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX
EMAIX		0.81	0.84	0.86	0.61	0.83	0.2	0.66	0.25	0.23	EMAIX
EMOCX	0.81		1.0	0.99	0.81	0.99	0.62	0.15	0.66	0.65	EMOCX
EMOAX	0.84	1.0		1.0	0.81	1.0	0.6	0.21	0.62	0.61	EMOAX
EMOIX	0.86	0.99	1.0		0.8	0.99	0.56	0.25	0.6	0.59	EMOIX
EIM	0.61	0.81	0.81	0.8		0.83	0.46	0.11	0.56	0.56	EIM
ENYIX	0.83	0.99	1.0	0.99	0.83		0.59	0.2	0.62	0.61	ENYIX
ERASX	0.2	0.62	0.6	0.56	0.46	0.59		-0.42	0.83	0.84	ERASX
ERAMX	0.66	0.15	0.21	0.25	0.11	0.2	-0.42		-0.27	-0.3	ERAMX
ERBIX	0.25	0.66	0.62	0.6	0.56	0.62	0.83	-0.27		1.0	ERBIX
ERBCX	0.23	0.65	0.61	0.59	0.56	0.61	0.84	-0.3	1.0		ERBCX
	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

EMOAX	+ 1.0	EMOCX
EMOIX	+ 1.0	EMOAX
ENYIX	+ 1.0	EMOAX
ERBCX	+ 1.0	ERBIX
EMOIX	+ 0.99	EMOCX
ENYIX	+ 0.99	EMOCX

High negative correlations

ERAMX	- 0.42	ERASX
ERBCX	- 0.3	ERAMX
ERBIX	- 0.27	ERAMX

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
EMAIX	0.12	0.01	(0.29)	0.31	0.08	(0.16)	0.30	(0.20)	0.92
EMOCX	0.19	0.00	(0.21)	0.02	0.28	(0.23)	0.44	(0.44)	1.59
EMOAX	0.20	0.00	(0.21)	0.06	0.28	(0.23)	0.45	(0.44)	1.59
EMOIX	0.19	0.00	(0.21)	0.10	0.26	(0.25)	0.44	(0.44)	1.59
EIM	0.49	(0.02)	0.00	(0.12)	0.00	0.00	0.88	(1.06)	2.89
ENYIX	0.19	0.00	(0.20)	0.05	0.28	(0.23)	0.42	(0.52)	1.48
ERASX	0.73	(0.10)	0.00	(0.10)	0.00	0.00	1.42	(1.34)	6.15
ERAMX	0.10	0.02	(0.49)	(1.55)	0.00	(0.20)	0.30	(0.10)	0.92
ERBIX	0.61	(0.07)	0.00	(0.07)	0.00	0.00	1.22	(1.59)	5.77
ERBCX	0.60	(0.07)	0.00	(0.08)	0.00	0.00	1.19	(1.57)	5.85

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC