Parametric Intl Correlations
| ESISX Fund | USD 16.74 0.10 0.60% |
The current 90-days correlation between Parametric Intl Equity and Transamerica Emerging Markets is 0.28 (i.e., Modest 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 |
Moving together with Parametric Mutual Fund
| 0.95 | ERBAX | Eaton Vance Richard | PairCorr |
| 0.94 | ERIFX | Eaton Vance Balanced | PairCorr |
| 0.92 | EAALX | Eaton Vance Atlanta | PairCorr |
| 0.93 | EAFAX | Eaton Vance Floating | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TEOJX | 0.82 | 0.11 | 0.04 | 0.31 | 1.17 | 2.39 | 6.04 | |||
| GMAQX | 0.84 | 0.20 | 0.03 | (1.56) | 1.23 | 1.77 | 5.75 | |||
| REMVX | 0.93 | 0.21 | 0.03 | (2.25) | 1.33 | 2.77 | 7.41 | |||
| DODEX | 0.75 | 0.16 | 0.00 | (2.51) | 1.31 | 1.93 | 5.61 | |||
| EPEIX | 0.58 | 0.09 | 0.00 | 0.36 | 0.96 | 1.15 | 4.60 | |||
| WESNX | 0.79 | 0.23 | 0.07 | 6.19 | 1.13 | 1.72 | 4.54 | |||
| TEMMX | 0.72 | 0.18 | 0.03 | (104.10) | 1.01 | 1.66 | 3.85 |