Eaton Vance Correlations

EVFHX Fund

USD 8.82 0.01 0.11%

The current 90-days correlation between Eaton Vance Floating and Invesco Technology Fund is 0.07 (i.e., Significant 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

Good diversification

The correlation between Eaton Vance Floating Rate and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Floating Rate 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 Floating Rate. 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 rate.

Moving together with EATON Mutual Fund

0.98	ERAMX	Eaton Vance Multi	Pair Corr
0.89	ERGMX	Eaton Vance Global	Pair Corr
0.75	ERIBX	Eaton Vance Income	Pair Corr
0.98	EAAMX	Eaton Vance Multi	Pair Corr
0.81	ERSIX	Eaton Vance Short	Pair Corr
0.97	EABLX	Eaton Vance Floating	Pair Corr
0.82	EACOX	Eaton Vance Global	Pair Corr
0.91	EADOX	Eaton Vance Emerging	Pair Corr
1.0	EAFHX	Eaton Vance Floating	Pair Corr
0.99	EAFAX	Eaton Vance Floating	Pair Corr

Moving against EATON Mutual Fund

0.74	ERHSX	Eaton Vance Worldwide	Pair Corr
0.53	ERASX	Eaton Vance Atlanta	Pair Corr
0.5	EREMX	Eaton Vance Parametric	Pair Corr
0.49	ERIFX	Eaton Vance Balanced	Pair Corr
0.42	ERBCX	Eaton Vance Richard	Pair Corr
0.4	ERBAX	Eaton Vance Richard	Pair Corr
0.39	ERBIX	Eaton Vance Richard	Pair Corr
0.56	ERSMX	Eaton Vance Atlanta	Pair Corr
0.56	EAASX	Eaton Vance Atlanta	Pair Corr
0.54	EAERX	Eaton Vance Stock	Pair Corr
0.52	ERISX	Parametric Intl Equity	Pair Corr
0.45	ERSTX	Eaton Vance Large	Pair Corr
0.44	ERLVX	Eaton Vance Large	Pair Corr
0.41	EAALX	Eaton Vance Atlanta	Pair Corr
0.58	EAFVX	Eaton Vance Val	Pair Corr
0.51	EAEMX	Parametric Emerging	Pair Corr
0.51	EAISX	Parametric International	Pair Corr
0.47	EAGCX	Eaton Vance Atlant	Pair Corr
0.45	EAIIX	Eaton Vance Diversified	Pair Corr
0.41	EALCX	Eaton Vance Growth	Pair Corr

Related Correlations Analysis

	ITYYX	WFSTX	DTEYX	VITAX	ROGSX	USTCX	RAGTX	ICTEX
ITYYX		0.89	0.69	0.28	0.54	0.35	0.13	0.58	ITYYX
WFSTX	0.89		0.57	-0.01	0.38	0.08	-0.17	0.71	WFSTX
DTEYX	0.69	0.57		0.68	0.72	0.77	0.63	0.51	DTEYX
VITAX	0.28	-0.01	0.68		0.67	0.94	0.95	-0.11	VITAX
ROGSX	0.54	0.38	0.72	0.67		0.63	0.58	0.35	ROGSX
USTCX	0.35	0.08	0.77	0.94	0.63		0.95	-0.01	USTCX
RAGTX	0.13	-0.17	0.63	0.95	0.58	0.95		-0.17	RAGTX
ICTEX	0.58	0.71	0.51	-0.11	0.35	-0.01	-0.17		ICTEX
	ITYYX	WFSTX	DTEYX	VITAX	ROGSX	USTCX	RAGTX	ICTEX

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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

RAGTX	+ 0.95	VITAX
RAGTX	+ 0.95	USTCX
USTCX	+ 0.94	VITAX
WFSTX	+ 0.89	ITYYX
USTCX	+ 0.77	DTEYX
ROGSX	+ 0.72	DTEYX

High negative correlations

ICTEX	- 0.17	RAGTX
RAGTX	- 0.17	WFSTX
ICTEX	- 0.11	VITAX
ICTEX	- 0.01	USTCX
VITAX	- 0.01	WFSTX

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
ITYYX	1.39	(0.07)	(0.03)	0.00	2.67	(1.22)	2.50	(2.91)	12.95
WFSTX	0.94	(0.08)	0.00	(0.06)	0.00	0.00	1.46	(2.14)	10.00
DTEYX	1.05	0.03	(0.01)	0.17	1.32	(1.13)	1.98	(2.49)	6.39
VITAX	1.09	0.02	(0.02)	0.12	1.58	(1.03)	2.04	(2.39)	8.39
ROGSX	1.06	0.00	(0.03)	0.08	1.72	(1.01)	1.70	(3.18)	8.31
USTCX	1.19	0.08	0.03	0.24	1.51	(1.20)	2.71	(2.89)	7.48
RAGTX	1.17	0.10	0.03	0.38	1.61	(1.19)	2.51	(2.47)	7.83
ICTEX	0.88	(0.03)	(0.05)	0.03	1.38	(0.85)	1.78	(2.12)	7.14

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