Eaton Vance Correlations

ECSCX Fund

USD 8.71 0.01 0.11%

The current 90-days correlation between Eaton Vance South and Eaton Vance Richard is 0.43 (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 South and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance South 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 South. 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 main economic indicators.

Moving together with Eaton Mutual Fund

0.81	EMOCX	Eaton Vance Municipal	Pair Corr
0.76	EMOAX	Eaton Vance Municipal	Pair Corr
0.75	EMOIX	Eaton Vance Municipal	Pair Corr
0.74	EIM	Eaton Vance Mbf	Pair Corr
0.92	ENYIX	Eaton Vance New	Pair Corr
0.85	EACAX	Eaton Vance California	Pair Corr

Moving against Eaton Mutual Fund

0.33	ERAMX	Eaton Vance Multi	Pair Corr
0.39	EAFGX	Eaton Vance Focused	Pair Corr

Related Correlations Analysis

	ECRAX	ECSMX	ECSIX	ECSCX	ECRRX	ECTMX	ECTGX	ECSTX	ECTVX
ECRAX		0.87	0.93	0.15	0.82	0.99	0.99	0.98	0.98	ECRAX
ECSMX	0.87		0.72	0.18	0.61	0.89	0.91	0.91	0.9	ECSMX
ECSIX	0.93	0.72		0.07	0.89	0.92	0.9	0.89	0.91	ECSIX
ECSCX	0.15	0.18	0.07		-0.03	0.11	0.1	0.12	0.11	ECSCX
ECRRX	0.82	0.61	0.89	-0.03		0.81	0.79	0.76	0.79	ECRRX
ECTMX	0.99	0.89	0.92	0.11	0.81		0.99	0.99	1.0	ECTMX
ECTGX	0.99	0.91	0.9	0.1	0.79	0.99		0.99	0.99	ECTGX
ECSTX	0.98	0.91	0.89	0.12	0.76	0.99	0.99		1.0	ECSTX
ECTVX	0.98	0.9	0.91	0.11	0.79	1.0	0.99	1.0		ECTVX
	ECRAX	ECSMX	ECSIX	ECSCX	ECRRX	ECTMX	ECTGX	ECSTX	ECTVX

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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

ECTVX	+ 1.0	ECTMX
ECTVX	+ 1.0	ECSTX
ECTMX	+ 0.99	ECRAX
ECTGX	+ 0.99	ECRAX
ECTGX	+ 0.99	ECTMX
ECSTX	+ 0.99	ECTMX

High negative correlations

ECRRX

- 0.03

ECSCX

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
ECRAX	0.30	0.04	(0.11)	0.27	0.15	(0.35)	0.85	(0.61)	2.21
ECSMX	0.75	0.13	(0.05)	(0.74)	0.93	(0.79)	1.91	(1.82)	5.47
ECSIX	0.15	0.03	(0.54)	0.98	0.00	(0.22)	0.32	(0.31)	0.81
ECSCX	0.15	(0.03)	0.00	(0.33)	0.00	0.00	0.34	(0.34)	1.14
ECRRX	0.09	0.03	(0.70)	(0.88)	0.00	(0.13)	0.20	(0.10)	0.81
ECTMX	0.53	0.05	0.02	0.23	0.36	(0.61)	1.60	(0.91)	4.10
ECTGX	0.62	0.12	0.12	0.30	0.28	(0.72)	1.93	(0.78)	4.72
ECSTX	0.58	0.04	0.01	0.22	0.46	(0.65)	1.65	(1.03)	4.49
ECTVX	0.59	0.07	0.05	0.25	0.45	(0.69)	1.70	(1.02)	4.45

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