Eaton Vance Risk Fund Market Value
| ETJ Fund | USD 9.26 0.07 0.76% |
| Symbol | Eaton |
Eaton Vance 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Eaton Vance's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Eaton Vance.
| 10/20/2024 |
| 11/19/2024 |
If you would invest 0.00 in Eaton Vance on October 20, 2024 and sell it all today you would earn a total of 0.00 from holding Eaton Vance Risk or generate 0.0% return on investment in Eaton Vance over 30 days. Eaton Vance is related to or competes with Neuberger Berman, Morningstar Unconstrained, Thrivent High, Via Renewables, T Rowe, 70082LAB3, and Sitka Gold. Eaton Vance Risk-Managed Diversified Equity Income Fund is a closed ended equity mutual fund launched and managed by Eat... More
Eaton Vance Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Eaton Vance's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Eaton Vance Risk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6155 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 3.23 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 1.09 |
Eaton Vance Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Eaton Vance's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Eaton Vance's standard deviation. In reality, there are many statistical measures that can use Eaton Vance historical prices to predict the future Eaton Vance's volatility.| Risk Adjusted Performance | 0.0783 | |||
| Jensen Alpha | 0.0146 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.1227 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Eaton Vance's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Eaton Vance Risk Backtested Returns
Eaton Vance is very steady at the moment. Eaton Vance Risk secures Sharpe Ratio (or Efficiency) of 0.11, which denotes the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Eaton Vance Risk, which you can use to evaluate the volatility of the entity. Please confirm Eaton Vance's Coefficient Of Variation of 939.94, downside deviation of 0.6155, and Mean Deviation of 0.4972 to check if the risk estimate we provide is consistent with the expected return of 0.071%. The fund shows a Beta (market volatility) of 0.47, which means possible diversification benefits within a given portfolio. As returns on the market increase, Eaton Vance's returns are expected to increase less than the market. However, during the bear market, the loss of holding Eaton Vance is expected to be smaller as well.
Auto-correlation | -0.48 |
Modest reverse predictability
Eaton Vance Risk has modest reverse predictability. Overlapping area represents the amount of predictability between Eaton Vance time series from 20th of October 2024 to 4th of November 2024 and 4th of November 2024 to 19th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Eaton Vance Risk price movement. The serial correlation of -0.48 indicates that about 48.0% of current Eaton Vance price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Eaton Vance Risk lagged returns against current returns
Autocorrelation, which is Eaton Vance fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Eaton Vance's fund expected returns. We can calculate the autocorrelation of Eaton Vance returns to help us make a trade decision. For example, suppose you find that Eaton Vance has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Eaton Vance regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Eaton Vance fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Eaton Vance fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Eaton Vance fund over time.
Current vs Lagged Prices |
| Timeline |
Eaton Vance Lagged Returns
When evaluating Eaton Vance's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Eaton Vance fund have on its future price. Eaton Vance autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Eaton Vance autocorrelation shows the relationship between Eaton Vance fund current value and its past values and can show if there is a momentum factor associated with investing in Eaton Vance Risk.
Regressed Prices |
| Timeline |
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Eaton Vance financial ratios help investors to determine whether Eaton Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Eaton with respect to the benefits of owning Eaton Vance security.
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