Eaton Vance Correlations

EVIBX Fund

USD 5.21 0.01 0.19%

The current 90-days correlation between Eaton Vance Income and Qs Large Cap is 0.34 (i.e., Weak 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

Modest diversification

The correlation between Eaton Vance Income and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Income 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 Income. 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

0.86	EMAIX	Eaton Vance Msschsts	Pair Corr
0.63	EMOAX	Eaton Vance Municipal	Pair Corr
0.65	EMOIX	Eaton Vance Municipal	Pair Corr
0.66	ENYIX	Eaton Vance New	Pair Corr
0.85	ERAMX	Eaton Vance Multi	Pair Corr
0.72	EABLX	Eaton Vance Floating	Pair Corr
0.69	EACPX	Eaton Vance Tax	Pair Corr
0.69	EACAX	Eaton Vance California	Pair Corr
0.61	EAEAX	Eaton Vance Tax	Pair Corr
0.76	EAFHX	Eaton Vance Floating	Pair Corr
0.72	EAFAX	Eaton Vance Floating	Pair Corr
0.68	EALDX	Eaton Vance Short	Pair Corr
0.61	EANAX	Eaton Vance National	Pair Corr
0.68	EASCX	Eaton Vance South	Pair Corr

Moving against Eaton Mutual Fund

0.31

ETGIX

Eaton Vance Greater

Pair Corr

Related Correlations Analysis

	LMUSX	MFTFX	TMVAX	WMCAPX	FFCGX	FPDDJX	FZSVMX
LMUSX		0.19	0.83	0.39	0.79	0.33	0.27	LMUSX
MFTFX	0.19		-0.19	-0.42	-0.05	-0.35	-0.35	MFTFX
TMVAX	0.83	-0.19		0.59	0.8	0.59	0.44	TMVAX
WMCAPX	0.39	-0.42	0.59		0.59	-0.01	0.57	WMCAPX
FFCGX	0.79	-0.05	0.8	0.59		0.5	0.44	FFCGX
FPDDJX	0.33	-0.35	0.59	-0.01	0.5		-0.1	FPDDJX
FZSVMX	0.27	-0.35	0.44	0.57	0.44	-0.1		FZSVMX
	LMUSX	MFTFX	TMVAX	WMCAPX	FFCGX	FPDDJX	FZSVMX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

TMVAX	+ 0.83	LMUSX
FFCGX	+ 0.8	TMVAX
FFCGX	+ 0.79	LMUSX
WMCAPX	+ 0.59	TMVAX
FPDDJX	+ 0.59	TMVAX
FFCGX	+ 0.59	WMCAPX

High negative correlations

WMCAPX	- 0.42	MFTFX
FZSVMX	- 0.35	MFTFX
FPDDJX	- 0.35	MFTFX
TMVAX	- 0.19	MFTFX
FZSVMX	- 0.1	FPDDJX
FFCGX	- 0.05	MFTFX

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
LMUSX	0.71	0.01	0.00	0.03	1.16	(0.67)	1.27	(1.50)	6.30
MFTFX	0.96	0.07	0.03	(1.78)	1.35	(0.92)	1.70	(2.06)	5.15
TMVAX	1.00	(0.07)	0.00	(0.24)	0.00	0.00	1.95	(2.11)	14.59
WMCAPX	0.57	0.11	0.00	0.77	0.00	0.00	1.58	(1.56)	2.61
FFCGX	0.54	(0.03)	0.00	(0.08)	0.00	0.00	1.02	(1.23)	3.92
FPDDJX	0.37	0.44	0.00	6.55	0.00	0.00	1.03	(0.35)	0.93
FZSVMX	0.41	0.07	0.00	1.09	0.00	0.00	0.84	(1.30)	2.14

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