Eaton Vance Correlations

EIIMX Fund

USD 6.92 0.01 0.14%

The current 90-days correlation between Eaton Vance Diversified and Oil Gas Ultrasector is 0.26 (i.e., Modest 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 Diversified and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Diversified 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 Diversified. 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 industry.

Moving together with Eaton Mutual Fund

0.69	EMAIX	Eaton Vance Msschsts	Pair Corr
0.64	EMOAX	Eaton Vance Municipal	Pair Corr
0.63	EMOIX	Eaton Vance Municipal	Pair Corr
0.77	ERBIX	Eaton Vance Richard	Pair Corr
0.73	ERBCX	Eaton Vance Richard	Pair Corr
0.75	ERBAX	Eaton Vance Richard	Pair Corr
0.78	EREMX	Eaton Vance Parametric	Pair Corr
0.93	ERGMX	Eaton Vance Global	Pair Corr
0.9	ERSIX	Eaton Vance Short	Pair Corr
0.72	EACOX	Eaton Vance Global	Pair Corr
0.61	EACAX	Eaton Vance California	Pair Corr
0.75	EAEMX	Parametric Emerging	Pair Corr
0.69	EALDX	Eaton Vance Short	Pair Corr
0.88	ESBLX	Eaton Vance Floating	Pair Corr
0.89	EAPCX	Parametric Modity	Pair Corr
0.85	EASDX	Eaton Vance Short	Pair Corr
0.63	EASCX	Eaton Vance South	Pair Corr
0.81	EATVX	Eaton Vance Tax	Pair Corr
0.9	ESIIX	Eaton Vance Short	Pair Corr
0.62	ETAZX	Eaton Vance Arizona	Pair Corr
0.68	ETCTX	Eaton Vance Necticut	Pair Corr
0.61	ETGAX	Eaton Vance Georgia	Pair Corr
0.63	ETMOX	Eaton Vance Missouri	Pair Corr
0.63	ETMDX	Eaton Vance Maryland	Pair Corr
0.62	ETNCX	Eaton Vance North	Pair Corr
0.65	ETORX	Eaton Vance Oregon	Pair Corr
0.9	ETSIX	Eaton Vance Short	Pair Corr

Moving against Eaton Mutual Fund

0.62	ERSGX	Eaton Vance Small	Pair Corr
0.58	ERASX	Eaton Vance Atlanta	Pair Corr
0.58	EAASX	Eaton Vance Atlanta	Pair Corr
0.57	ETGIX	Eaton Vance Greater	Pair Corr
0.65	ECSMX	Eaton Vance Small	Pair Corr
0.64	ECASX	Eaton Vance Atlntcptl	Pair Corr
0.62	ECTMX	Eaton Vance Dividend	Pair Corr
0.6	EVCGX	Eaton Vance Greater	Pair Corr

Related Correlations Analysis

	ENPSX	GRHAX	GMOWX	DNLAX	IEFCX	IGNAX	TREIX
ENPSX		0.17	0.55	0.52	0.89	0.27	-0.13	ENPSX
GRHAX	0.17		0.68	0.7	0.31	0.87	0.68	GRHAX
GMOWX	0.55	0.68		0.67	0.8	0.77	0.52	GMOWX
DNLAX	0.52	0.7	0.67		0.61	0.86	0.29	DNLAX
IEFCX	0.89	0.31	0.8	0.61		0.47	0.11	IEFCX
IGNAX	0.27	0.87	0.77	0.86	0.47		0.62	IGNAX
TREIX	-0.13	0.68	0.52	0.29	0.11	0.62		TREIX
	ENPSX	GRHAX	GMOWX	DNLAX	IEFCX	IGNAX	TREIX

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

IEFCX	+ 0.89	ENPSX
IGNAX	+ 0.87	GRHAX
IGNAX	+ 0.86	DNLAX
IEFCX	+ 0.8	GMOWX
IGNAX	+ 0.77	GMOWX
DNLAX	+ 0.7	GRHAX

High negative correlations

TREIX

- 0.13

ENPSX

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
ENPSX	1.29	0.01	(0.01)	0.08	1.54	(1.35)	2.50	(2.15)	7.05
GRHAX	1.32	0.15	0.08	0.21	1.70	(1.38)	2.60	(3.38)	7.76
GMOWX	0.97	0.08	0.06	0.15	1.06	(1.12)	2.02	(1.83)	5.52
DNLAX	0.91	0.11	0.04	0.92	1.18	(0.96)	1.83	(2.29)	5.14
IEFCX	0.81	0.03	(0.01)	0.15	0.96	(0.81)	1.55	(1.29)	4.52
IGNAX	0.84	0.18	0.08	2.49	1.11	(0.86)	1.62	(2.10)	5.41
TREIX	0.05	0.00	(0.34)	0.17	0.00	(0.11)	0.10	(0.20)	0.41

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