Eaton Vance Correlations

EXG Fund

USD 8.41 0.02 0.24%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Tax is 0.76 (i.e., Poor 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.

Eaton Vance Correlation With Market

Poor diversification

The correlation between Eaton Vance Tax Managed and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed 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 Tax Managed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Eaton Fund

0.73	ETV	Eaton Vance Tax	Pair Corr
0.8	ETJ	Eaton Vance Risk	Pair Corr
0.68	GAB	Gabelli Equity Trust	Pair Corr
0.8	ETY	Eaton Vance Tax	Pair Corr
0.7	ADX	Adams Diversified Equity	Pair Corr
0.83	RIV	Rivernorth Opportunities	Pair Corr
0.75	FBALX	Fidelity Balanced	Pair Corr
0.79	FEMDX	Franklin Emerging Market	Pair Corr
0.66	SCRYX	Small Cap Core	Pair Corr
0.81	LLPFX	Longleaf Partners	Pair Corr
0.69	RQECX	Resq Dynamic Allocation	Pair Corr
0.68	LTFOX	Lord Abbett Affiliated	Pair Corr
0.77	VTSMX	Vanguard Total Stock	Pair Corr
0.75	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.69	HPQ	HP Inc	Pair Corr
0.88	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.68	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.8	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.68	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.67	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr
0.66	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.76	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.76	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr

Moving against Eaton Fund

0.7	GUT	Gabelli Utility Closed	Pair Corr
0.48	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	ETV	ETW	ETJ	ETB	ETY	JQC	EAD	FPF
ETV		0.87	0.87	0.99	0.97	0.48	-0.18	0.33	ETV
ETW	0.87		0.92	0.85	0.92	0.32	0.17	0.67	ETW
ETJ	0.87	0.92		0.85	0.93	0.42	0.08	0.62	ETJ
ETB	0.99	0.85	0.85		0.97	0.55	-0.16	0.3	ETB
ETY	0.97	0.92	0.93	0.97		0.47	-0.04	0.46	ETY
JQC	0.48	0.32	0.42	0.55	0.47		-0.12	0.0	JQC
EAD	-0.18	0.17	0.08	-0.16	-0.04	-0.12		0.66	EAD
FPF	0.33	0.67	0.62	0.3	0.46	0.0	0.66		FPF
	ETV	ETW	ETJ	ETB	ETY	JQC	EAD	FPF

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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

ETB	+ 0.99	ETV
ETY	+ 0.97	ETV
ETY	+ 0.97	ETB
ETY	+ 0.93	ETJ
ETJ	+ 0.92	ETW
ETY	+ 0.92	ETW

High negative correlations

EAD	- 0.18	ETV
EAD	- 0.16	ETB
EAD	- 0.12	JQC
EAD	- 0.04	ETY
FPF	- 0.0	JQC

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
ETV	0.58	0.07	0.03	0.22	0.66	(0.65)	1.39	(1.14)	4.25
ETW	0.61	0.01	(0.03)	0.11	0.72	(0.64)	1.24	(1.30)	4.11
ETJ	0.50	0.01	(0.06)	0.13	0.49	(0.56)	1.10	(0.87)	3.37
ETB	0.42	0.06	0.01	0.21	0.34	(0.44)	0.92	(0.95)	2.42
ETY	0.62	0.05	0.02	0.17	0.57	(0.73)	1.60	(1.22)	3.51
JQC	0.57	0.04	(0.08)	0.79	0.67	(0.58)	0.89	(1.05)	3.37
EAD	0.38	(0.01)	(0.19)	0.00	0.43	(0.46)	0.73	(0.86)	2.47
FPF	0.37	0.00	(0.13)	0.12	0.50	(0.36)	0.78	(0.78)	2.53

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