Parametric Intl Correlations

ERISX Fund

USD 15.39 0.11 0.72%

The current 90-days correlation between Parametric Intl Equity and Eaton Vance Msschsts is 0.08 (i.e., Significant diversification). The correlation of Parametric Intl 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.

Parametric Intl Correlation With Market

Modest diversification

The correlation between Parametric Intl Equity and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Intl Equity 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 Parametric Intl Equity. 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 real.

Moving together with Parametric Mutual Fund

0.67	EIM	Eaton Vance Mbf	Pair Corr
0.71	EACPX	Eaton Vance Tax	Pair Corr

Moving against Parametric Mutual Fund

0.43	ERASX	Eaton Vance Atlanta	Pair Corr
0.42	ERIFX	Eaton Vance Balanced	Pair Corr
0.34	ERGMX	Eaton Vance Global	Pair Corr
0.33	ERBIX	Eaton Vance Richard	Pair Corr
0.33	ERBCX	Eaton Vance Richard	Pair Corr
0.33	ERBAX	Eaton Vance Richard	Pair Corr
0.46	ERLVX	Eaton Vance Large	Pair Corr
0.37	EACOX	Eaton Vance Global	Pair Corr
0.37	EADOX	Eaton Vance Emerging	Pair Corr
0.36	ERHSX	Eaton Vance Worldwide	Pair Corr
0.32	ERSIX	Eaton Vance Short	Pair Corr
0.4	EAIIX	Eaton Vance Diversified	Pair Corr
0.38	EALCX	Eaton Vance Growth	Pair Corr
0.34	EAGMX	Eaton Vance Global	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ENYIX	ERASX	ERAMX	ERBIX	ERBCX
EMAIX		0.92	0.94	0.95	-0.02	0.95	0.34	0.71	0.62	0.59	EMAIX
EMOCX	0.92		0.99	0.99	0.09	0.98	0.1	0.47	0.49	0.47	EMOCX
EMOAX	0.94	0.99		0.99	0.06	0.99	0.14	0.52	0.52	0.5	EMOAX
EMOIX	0.95	0.99	0.99		0.07	0.99	0.15	0.56	0.53	0.51	EMOIX
EIM	-0.02	0.09	0.06	0.07		0.03	-0.57	-0.05	-0.24	-0.24	EIM
ENYIX	0.95	0.98	0.99	0.99	0.03		0.22	0.54	0.56	0.54	ENYIX
ERASX	0.34	0.1	0.14	0.15	-0.57	0.22		0.54	0.69	0.69	ERASX
ERAMX	0.71	0.47	0.52	0.56	-0.05	0.54	0.54		0.77	0.75	ERAMX
ERBIX	0.62	0.49	0.52	0.53	-0.24	0.56	0.69	0.77		1.0	ERBIX
ERBCX	0.59	0.47	0.5	0.51	-0.24	0.54	0.69	0.75	1.0		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

ERBCX	+ 1.0	ERBIX
EMOAX	+ 0.99	EMOCX
EMOIX	+ 0.99	EMOCX
EMOIX	+ 0.99	EMOAX
ENYIX	+ 0.99	EMOAX
ENYIX	+ 0.99	EMOIX

High negative correlations

ERASX	- 0.57	EIM
ERBCX	- 0.24	EIM
ERBIX	- 0.24	EIM
ERAMX	- 0.05	EIM
EIM	- 0.02	EMAIX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Intl 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 Parametric Intl'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	0.05	0.01	(0.62)	0.86	0.00	(0.14)	0.20	(0.10)	0.40
EMOCX	0.08	0.02	(0.44)	(11.74)	0.00	(0.12)	0.18	(0.09)	0.53
EMOAX	0.08	0.02	(0.41)	0.93	0.00	(0.14)	0.26	(0.17)	0.44
EMOIX	0.08	0.02	(0.37)	1.60	0.00	(0.14)	0.26	(0.09)	0.70
EIM	0.26	(0.03)	0.00	(0.67)	0.00	0.00	0.61	(0.51)	1.54
ENYIX	0.08	0.01	(0.40)	0.68	0.00	(0.14)	0.21	(0.11)	0.64
ERASX	0.74	0.13	0.04	(0.65)	0.71	(0.77)	1.67	(1.27)	7.05
ERAMX	0.07	0.00	(0.53)	0.12	0.00	(0.23)	0.21	(0.10)	0.72
ERBIX	0.56	0.07	0.00	0.97	0.83	(0.53)	1.13	(1.23)	3.33
ERBCX	0.56	0.07	0.00	1.36	0.85	(0.52)	1.12	(1.22)	3.28

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