Eaton Vance Correlations

ERAMX Fund

USD 9.89 0.01 0.10%

The current 90-days correlation between Eaton Vance Multi and Eaton Vance Msschsts is 0.14 (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

Average diversification

The correlation between Eaton Vance Multi Asset and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Multi Asset 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 Multi Asset. 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

0.94	EMAIX	Eaton Vance Msschsts	Pair Corr
0.87	ERASX	Eaton Vance Atlanta	Pair Corr
0.98	ERBCX	Eaton Vance Richard	Pair Corr
0.98	EREMX	Eaton Vance Parametric	Pair Corr
0.64	ERGOX	Eaton Vance Government	Pair Corr
0.98	ERIBX	Eaton Vance Income	Pair Corr
0.97	ERISX	Parametric Intl Equity	Pair Corr
0.93	ERLGX	Eaton Vance Atlanta	Pair Corr
1.0	EAAMX	Eaton Vance Multi	Pair Corr
0.97	ERSTX	Eaton Vance Large	Pair Corr
0.97	EACOX	Eaton Vance Global	Pair Corr
0.97	EABSX	Eaton Vance Tabs	Pair Corr
0.98	EAERX	Eaton Vance Stock	Pair Corr
0.98	EAFGX	Eaton Vance Focused	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX
EMAIX		0.55	0.76	0.78	0.33	0.42	0.85	0.94	0.43	0.92	EMAIX
EMOCX	0.55		0.86	0.87	0.7	0.88	0.44	0.35	0.02	0.35	EMOCX
EMOAX	0.76	0.86		0.99	0.63	0.72	0.59	0.54	-0.01	0.54	EMOAX
EMOIX	0.78	0.87	0.99		0.61	0.73	0.6	0.57	0.03	0.56	EMOIX
EIM	0.33	0.7	0.63	0.61		0.56	0.5	0.21	-0.37	0.25	EIM
ENYIX	0.42	0.88	0.72	0.73	0.56		0.33	0.24	-0.08	0.23	ENYIX
ERASX	0.85	0.44	0.59	0.6	0.5	0.33		0.87	0.36	0.88	ERASX
ERAMX	0.94	0.35	0.54	0.57	0.21	0.24	0.87		0.49	0.98	ERAMX
ERBIX	0.43	0.02	-0.01	0.03	-0.37	-0.08	0.36	0.49		0.44	ERBIX
ERBCX	0.92	0.35	0.54	0.56	0.25	0.23	0.88	0.98	0.44		ERBCX
	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX

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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

EMOIX	+ 0.99	EMOAX
ERBCX	+ 0.98	ERAMX
ERAMX	+ 0.94	EMAIX
ERBCX	+ 0.92	EMAIX
ENYIX	+ 0.88	EMOCX
ERBCX	+ 0.88	ERASX

High negative correlations

ERBIX	- 0.37	EIM
ERBIX	- 0.08	ENYIX
ERBIX	- 0.01	EMOAX

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
EMAIX	0.11	0.00	(0.98)	0.00	0.00	(0.16)	0.21	(0.20)	0.72
EMOCX	0.15	(0.02)	0.00	(0.39)	0.00	0.00	0.36	(0.27)	1.18
EMOAX	0.18	0.00	(0.59)	0.08	0.22	(0.23)	0.37	(0.36)	1.28
EMOIX	0.17	0.00	(0.57)	0.17	0.21	(0.22)	0.37	(0.36)	1.10
EIM	0.42	(0.05)	(0.21)	0.04	0.64	(0.46)	0.86	(1.02)	3.21
ENYIX	0.13	(0.01)	(0.80)	(0.25)	0.15	(0.18)	0.33	(0.33)	0.98
ERASX	0.74	0.00	0.00	0.17	0.78	(0.82)	1.60	(1.57)	5.35
ERAMX	0.12	0.05	(0.94)	2.94	0.00	(0.21)	0.42	(0.10)	0.81
ERBIX	0.43	0.10	0.02	0.39	0.11	(0.52)	1.11	(0.82)	3.26
ERBCX	0.53	0.21	0.04	(2.59)	0.34	(0.62)	1.73	(1.10)	3.30

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