Eaton Vance Correlations

ERSTX Fund

USD 26.53 0.15 0.56%

The current 90-days correlation between Eaton Vance Large and Energy Basic Materials is -0.07 (i.e., Good 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

Good diversification

The correlation between Eaton Vance Large Cap and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Large 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 Large 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 estimate.

Moving together with Eaton Mutual Fund

0.93	AFMFX	American Mutual	Pair Corr
0.93	FFMMX	American Funds American	Pair Corr
0.93	FFFMX	American Funds American	Pair Corr
0.93	AMRMX	American Mutual	Pair Corr
0.93	VIVAX	Vanguard Value Index	Pair Corr
0.76	LIIAX	Columbia Porate Income	Pair Corr
0.88	WRHIX	Ivy High Income	Pair Corr
0.88	WHIAX	Ivy High Income	Pair Corr
0.87	IHIFX	Ivy High Income	Pair Corr
0.88	IVHIX	Ivy High Income	Pair Corr
0.65	CAT	Caterpillar	Pair Corr
0.65	CVX	Chevron Corp	Pair Corr
0.62	IBM	International Business	Pair Corr
0.64	AA	Alcoa Corp Earnings Call This Week	Pair Corr

Moving against Eaton Mutual Fund

0.64	MCD	McDonalds	Pair Corr
0.43	PG	Procter Gamble	Pair Corr
0.32	VZ	Verizon Communications Earnings Call This Week	Pair Corr

Related Correlations Analysis

	SEPIX	ICBAX	IEFCX	GRHAX	FIKAX	IGNAX	DNLAX	HNRGX
SEPIX		0.96	0.98	0.93	0.98	0.97	0.98	0.97	SEPIX
ICBAX	0.96		0.92	0.92	0.93	0.96	0.97	0.92	ICBAX
IEFCX	0.98	0.92		0.95	0.99	0.97	0.98	0.99	IEFCX
GRHAX	0.93	0.92	0.95		0.94	0.99	0.97	0.94	GRHAX
FIKAX	0.98	0.93	0.99	0.94		0.96	0.98	0.99	FIKAX
IGNAX	0.97	0.96	0.97	0.99	0.96		0.99	0.97	IGNAX
DNLAX	0.98	0.97	0.98	0.97	0.98	0.99		0.98	DNLAX
HNRGX	0.97	0.92	0.99	0.94	0.99	0.97	0.98		HNRGX
	SEPIX	ICBAX	IEFCX	GRHAX	FIKAX	IGNAX	DNLAX	HNRGX

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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
SEPIX	1.03	0.05	0.01	0.29	1.11	(1.21)	2.07	(1.43)	13.70
ICBAX	1.14	0.09	0.09	0.32	0.98	(1.32)	2.43	(2.10)	12.89
IEFCX	1.15	0.09	0.01	0.36	1.37	(1.31)	2.04	(2.14)	13.39
GRHAX	1.23	0.37	0.26	0.82	0.58	(1.54)	2.67	(1.51)	12.01
FIKAX	1.27	0.09	0.03	0.33	1.54	(1.54)	2.72	(2.32)	15.27
IGNAX	0.99	0.20	0.13	0.50	0.59	(1.27)	1.94	(1.09)	11.60
DNLAX	1.22	0.14	0.10	0.37	1.30	(1.51)	2.54	(1.90)	16.76
HNRGX	1.22	0.06	0.01	0.31	1.43	(1.34)	2.53	(2.56)	14.60

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