Eaton Vance Correlations

EVV Fund

USD 10.12 0.01 0.1%

The current 90-days correlation between Eaton Vance Limited and Eaton Vance Tax is 0.41 (i.e., Very 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 Limited and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Limited 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 Limited. 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
0.68	PHK	Pimco High Income	Pair Corr
0.73	RIV	Rivernorth Opportunities	Pair Corr
0.71	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.61	HD	Home Depot	Pair Corr
0.73	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr

Moving against Eaton Fund

0.5

VVR

Invesco Senior Income

Pair Corr

Related Correlations Analysis

	ETY	ETW	ETV	ETJ	JFR	NSL	FTF	PHT	ERC	EOD
ETY		0.91	0.97	0.93	0.75	0.52	0.07	0.47	-0.36	0.74	ETY
ETW	0.91		0.85	0.91	0.57	0.25	0.22	0.56	-0.07	0.86	ETW
ETV	0.97	0.85		0.86	0.78	0.62	-0.04	0.35	-0.49	0.62	ETV
ETJ	0.93	0.91	0.86		0.71	0.35	0.25	0.55	-0.19	0.84	ETJ
JFR	0.75	0.57	0.78	0.71		0.6	-0.04	0.29	-0.58	0.37	JFR
NSL	0.52	0.25	0.62	0.35	0.6		-0.49	-0.19	-0.86	-0.01	NSL
FTF	0.07	0.22	-0.04	0.25	-0.04	-0.49		0.72	0.68	0.57	FTF
PHT	0.47	0.56	0.35	0.55	0.29	-0.19	0.72		0.47	0.76	PHT
ERC	-0.36	-0.07	-0.49	-0.19	-0.58	-0.86	0.68	0.47		0.28	ERC
EOD	0.74	0.86	0.62	0.84	0.37	-0.01	0.57	0.76	0.28		EOD
	ETY	ETW	ETV	ETJ	JFR	NSL	FTF	PHT	ERC	EOD

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

ETV	+ 0.97	ETY
ETJ	+ 0.93	ETY
ETW	+ 0.91	ETY
ETJ	+ 0.91	ETW
EOD	+ 0.86	ETW
ETJ	+ 0.86	ETV

High negative correlations

ERC	- 0.86	NSL
ERC	- 0.58	JFR
FTF	- 0.49	NSL
ERC	- 0.49	ETV
ERC	- 0.36	ETY
PHT	- 0.19	NSL

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
ETY	0.60	0.03	(0.02)	0.16	0.57	(0.69)	1.60	(1.22)	3.51
ETW	0.56	(0.01)	(0.09)	0.09	0.68	(0.57)	1.19	(1.18)	3.31
ETV	0.56	0.06	0.00	0.23	0.65	(0.63)	1.17	(1.14)	3.77
ETJ	0.48	0.00	(0.10)	0.13	0.50	(0.52)	0.88	(0.87)	3.26
JFR	0.42	0.07	(0.09)	2.40	0.33	(0.52)	0.92	(0.91)	2.30
NSL	0.45	0.02	(0.16)	(0.35)	0.49	(0.56)	0.90	(1.09)	2.24
FTF	0.33	0.00	(0.21)	0.10	0.35	(0.40)	0.62	(0.62)	1.82
PHT	0.36	0.02	(0.17)	0.24	0.33	(0.41)	0.65	(0.64)	2.70
ERC	0.32	(0.03)	0.00	(0.30)	0.00	0.00	0.65	(0.77)	1.87
EOD	0.49	(0.02)	(0.12)	0.07	0.53	(0.62)	1.21	(1.01)	3.05

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