Eaton Vance Correlations

ECGIX Fund

USD 29.51 0.07 0.24%

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

Very weak diversification

The correlation between Eaton Vance Greater and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Greater 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 Greater. 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 gross domestic product.

Moving against Eaton Mutual Fund

0.41	EMAIX	Eaton Vance Msschsts	Pair Corr
0.4	EMOCX	Eaton Vance Municipal	Pair Corr
0.38	ENYIX	Eaton Vance New	Pair Corr
0.35	EMOAX	Eaton Vance Municipal	Pair Corr
0.32	EMOIX	Eaton Vance Municipal	Pair Corr
0.32	ERGOX	Eaton Vance Government	Pair Corr
0.5	EABSX	Eaton Vance Tabs	Pair Corr
0.4	EACAX	Eaton Vance California	Pair Corr
0.32	ERSIX	Eaton Vance Short	Pair Corr
0.5	EALBX	Eaton Vance Tabs	Pair Corr
0.47	EALTX	Ev Tab Lad	Pair Corr
0.44	EAGIX	Eaton Vance Core	Pair Corr

Related Correlations Analysis

	PBHAX	AGDYX	RYIHX	RIMOX	CRDOX	BHYRX	ACHFX
PBHAX		0.93	-0.84	0.94	0.9	0.87	0.99	PBHAX
AGDYX	0.93		-0.94	0.97	0.97	0.98	0.95	AGDYX
RYIHX	-0.84	-0.94		-0.88	-0.91	-0.96	-0.88	RYIHX
RIMOX	0.94	0.97	-0.88		0.97	0.93	0.95	RIMOX
CRDOX	0.9	0.97	-0.91	0.97		0.97	0.93	CRDOX
BHYRX	0.87	0.98	-0.96	0.93	0.97		0.92	BHYRX
ACHFX	0.99	0.95	-0.88	0.95	0.93	0.92		ACHFX
	PBHAX	AGDYX	RYIHX	RIMOX	CRDOX	BHYRX	ACHFX

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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

ACHFX	+ 0.99	PBHAX
BHYRX	+ 0.98	AGDYX
RIMOX	+ 0.97	AGDYX
CRDOX	+ 0.97	AGDYX
CRDOX	+ 0.97	RIMOX
BHYRX	+ 0.97	CRDOX

High negative correlations

BHYRX	- 0.96	RYIHX
RYIHX	- 0.94	AGDYX
CRDOX	- 0.91	RYIHX
ACHFX	- 0.88	RYIHX
RIMOX	- 0.88	RYIHX
RYIHX	- 0.84	PBHAX

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
PBHAX	0.20	(0.01)	0.00	(2.05)	0.00	0.00	0.43	(0.42)	2.11
AGDYX	0.21	0.00	0.00	(0.17)	0.00	0.00	0.57	(0.44)	1.90
RYIHX	0.36	(0.03)	0.25	(0.03)	0.55	(0.40)	0.99	(0.62)	3.68
RIMOX	0.11	(0.01)	0.00	(0.37)	0.00	0.00	0.16	(0.37)	1.10
CRDOX	0.18	0.00	0.35	(0.20)	0.29	(0.21)	0.35	(0.35)	1.26
BHYRX	0.22	0.00	0.00	(0.12)	0.00	0.00	0.57	(0.43)	1.86
ACHFX	0.23	(0.01)	0.00	(1.34)	0.00	0.00	0.58	(0.58)	1.99

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