Eaton Vance Correlations

ECSMX Fund

USD 11.05 0.06 0.54%

The current 90-days correlation between Eaton Vance Small and Ambrus Core Bond is 0.13 (i.e., Average 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

Poor diversification

The correlation between Eaton Vance Small Cap and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Small Cap 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 Small Cap. 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 population.

Moving together with Eaton Mutual Fund

0.71	EMAIX	Eaton Vance Msschsts	Pair Corr
0.82	ERASX	Eaton Vance Atlanta	Pair Corr
0.81	ERBCX	Eaton Vance Richard	Pair Corr
0.85	ERBAX	Eaton Vance Richard	Pair Corr
0.7	ERHIX	Eaton Vance High	Pair Corr
0.84	ERIFX	Eaton Vance Balanced	Pair Corr
0.79	ERLVX	Eaton Vance Large	Pair Corr
0.85	EAALX	Eaton Vance Atlanta	Pair Corr
0.82	ERSMX	Eaton Vance Atlanta	Pair Corr
1.0	ERSGX	Eaton Vance Small	Pair Corr
0.82	EABLX	Eaton Vance Floating	Pair Corr
0.95	EAASX	Eaton Vance Atlanta	Pair Corr
0.82	EADOX	Eaton Vance Emerging	Pair Corr
0.86	EADIX	Eaton Vance Tax	Pair Corr
0.82	EAEMX	Parametric Emerging	Pair Corr
0.89	EAEAX	Eaton Vance Tax	Pair Corr
0.92	EAFVX	Eaton Vance Val	Pair Corr
0.83	EAFHX	Eaton Vance Floating	Pair Corr

Related Correlations Analysis

	TTRBX	SGYAX	TSDUX	TPYYX	ANBIX	BXHCX
TTRBX		0.97	0.94	0.8	0.85	0.95	TTRBX
SGYAX	0.97		0.97	0.88	0.82	0.98	SGYAX
TSDUX	0.94	0.97		0.87	0.81	0.97	TSDUX
TPYYX	0.8	0.88	0.87		0.6	0.91	TPYYX
ANBIX	0.85	0.82	0.81	0.6		0.79	ANBIX
BXHCX	0.95	0.98	0.97	0.91	0.79		BXHCX
	TTRBX	SGYAX	TSDUX	TPYYX	ANBIX	BXHCX

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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
TTRBX	0.15	0.02	(0.71)	0.55	0.00	(0.21)	0.40	(0.20)	0.82
SGYAX	0.17	0.05	(0.47)	0.56	0.00	(0.29)	0.59	(0.14)	0.99
TSDUX	0.04	0.00	0.00	0.00	0.00	0.00	0.10	0.00	0.10
TPYYX	0.67	0.10	0.05	0.34	0.43	(0.84)	1.93	(1.10)	3.81
ANBIX	0.14	0.03	(0.53)	(1.85)	0.00	(0.16)	0.29	(0.29)	0.97
BXHCX	0.15	0.08	(0.45)	(3.56)	0.00	(0.25)	0.50	(0.13)	1.02

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Eaton Vance Correlations

Eaton Vance Correlation With Market

Poor diversification

Moving together with Eaton Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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