Eaton Vance Correlations

ETGIX Fund

USD 33.90 0.07 0.21%

The current 90-days correlation between Eaton Vance Greater and Boston Trust Midcap is -0.05 (i.e., Good 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

Good diversification

The correlation between Eaton Vance Greater and DJI is -0.03 (i.e., Good 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

0.52	ERAMX	Eaton Vance Multi	Pair Corr
0.43	ERHIX	Eaton Vance High	Pair Corr
0.4	ERIBX	Eaton Vance Income	Pair Corr
0.35	ERBIX	Eaton Vance Richard	Pair Corr
0.33	ERGMX	Eaton Vance Global	Pair Corr
0.31	ERBCX	Eaton Vance Richard	Pair Corr
0.35	EACOX	Eaton Vance Global	Pair Corr
0.35	EADOX	Eaton Vance Emerging	Pair Corr
0.32	EADIX	Eaton Vance Tax	Pair Corr
0.51	EAMLX	Eaton Vance National	Pair Corr
0.49	EAIIX	Eaton Vance Diversified	Pair Corr
0.33	EAGMX	Eaton Vance Global	Pair Corr

Related Correlations Analysis

	BTMFX	WBGSX	SMUYX	FFTGX	WSEFX	TNBIX	FLSPX	FUND	GVCAX	EMFIX
BTMFX		0.35	0.22	0.0	0.21	0.45	0.38	0.4	0.45	0.12	BTMFX
WBGSX	0.35		0.26	0.0	0.19	0.53	0.5	0.31	0.11	0.55	WBGSX
SMUYX	0.22	0.26		0.0	0.94	0.54	0.83	0.7	0.65	0.69	SMUYX
FFTGX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	FFTGX
WSEFX	0.21	0.19	0.94	0.0		0.54	0.86	0.63	0.65	0.69	WSEFX
TNBIX	0.45	0.53	0.54	0.0	0.54		0.63	0.77	0.77	0.59	TNBIX
FLSPX	0.38	0.5	0.83	0.0	0.86	0.63		0.6	0.59	0.8	FLSPX
FUND	0.4	0.31	0.7	0.0	0.63	0.77	0.6		0.84	0.46	FUND
GVCAX	0.45	0.11	0.65	0.0	0.65	0.77	0.59	0.84		0.49	GVCAX
EMFIX	0.12	0.55	0.69	0.0	0.69	0.59	0.8	0.46	0.49		EMFIX
	BTMFX	WBGSX	SMUYX	FFTGX	WSEFX	TNBIX	FLSPX	FUND	GVCAX	EMFIX

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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

WSEFX	+ 0.94	SMUYX
FLSPX	+ 0.86	WSEFX
GVCAX	+ 0.84	FUND
FLSPX	+ 0.83	SMUYX
EMFIX	+ 0.8	FLSPX
FUND	+ 0.77	TNBIX

High negative correlations

EMFIX	- 0.0	FFTGX
GVCAX	- 0.0	FFTGX
FUND	- 0.0	FFTGX
FLSPX	- 0.0	FFTGX
TNBIX	- 0.0	FFTGX
WSEFX	- 0.0	FFTGX

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
BTMFX	0.57	(0.06)	(0.11)	0.02	0.65	(0.68)	1.35	(1.06)	3.56
WBGSX	0.74	(0.08)	(0.06)	0.02	1.19	(0.68)	1.73	(1.94)	4.93
SMUYX	0.24	0.02	(0.18)	0.17	0.00	(0.34)	0.49	(0.48)	1.27
FFTGX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
WSEFX	0.51	0.05	0.05	0.16	0.44	(0.57)	1.27	(0.81)	3.20
TNBIX	0.38	0.01	(0.14)	0.20	0.48	(0.39)	0.87	(0.80)	2.36
FLSPX	0.63	(0.05)	(0.06)	0.03	1.09	(0.58)	1.18	(1.45)	3.95
FUND	0.69	0.09	0.01	0.63	0.87	(0.74)	1.76	(1.44)	4.23
GVCAX	0.59	0.08	0.00	0.54	0.59	(0.71)	1.34	(1.51)	3.60
EMFIX	0.71	0.03	0.00	0.14	0.83	(0.79)	1.50	(1.43)	4.19

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