Eaton Vance Correlations

ETJ Fund

USD 8.83 0.11 1.26%

The current 90-days correlation between Eaton Vance Risk and Cohen Steers Limited is 0.54 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Eaton Vance moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Eaton Vance Risk moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Eaton Vance Correlation With Market

Very poor diversification

The correlation between Eaton Vance Risk and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Risk 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 Risk. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in poverty.

Moving together with Eaton Fund

0.63	PEO	Adams Natural Resources	Pair Corr
0.87	CRF	Cornerstone Total Return	Pair Corr
0.82	CLM	Cornerstone Strategic	Pair Corr
0.61	PCQ	Pimco California Mun	Pair Corr
0.71	GUT	Gabelli Utility Closed	Pair Corr
0.8	RIV	Rivernorth Opportunities	Pair Corr
0.91	ETV	Eaton Vance Tax	Pair Corr
0.82	RBLAX	Balanced Strategy	Pair Corr
0.74	EMSQX	Shelton Emerging Markets	Pair Corr
0.72	JOMEX	Johcm Emerging Markets	Pair Corr
0.85	FHRVX	Fidelity Managed Ret	Pair Corr
0.67	TGIAX	Timothy Plan Growth	Pair Corr
0.77	VQNPX	Vanguard Growth And	Pair Corr
0.8	PBHAX	Prudential High Yield	Pair Corr
0.89	FCNKX	Fidelity Trafund Class	Pair Corr
0.83	USPRX	Sp 500 Index	Pair Corr
0.8	GLVIX	Glg Intl Small	Pair Corr
0.82	QGRYX	Oppenheimer Gbl Alloc	Pair Corr
0.81	DBICX	Deutsche Global Macro	Pair Corr
0.66	SCAAX	Conservative Balanced	Pair Corr
0.85	TRRBX	Trowe Price Retirement	Pair Corr
0.75	STEZX	International Strategic	Pair Corr
0.77	PGGYX	Putnam Global Incm	Pair Corr
0.79	PHIAX	Pace High Yield	Pair Corr
0.88	GPSTX	Guidepath Growth All	Pair Corr
0.68	SUICX	Deutsche Croci Inter	Pair Corr
0.72	IOLZX	Icon Long/short Steady Growth	Pair Corr
0.84	STIRX	Pioneer Strategic Income	Pair Corr
0.74	CFJAX	Calvert Large Cap	Pair Corr
0.82	TADGX	T Rowe Price	Pair Corr
0.89	CALCX	Calvert Conservative	Pair Corr
0.73	SCYVX	Ab Small Cap	Pair Corr
0.88	DTDRX	Dimensional 2065 Target	Pair Corr
0.82	ANZCX	Allianzgi Convertible	Pair Corr
0.72	JOMMX	Johcm Emerging Markets	Pair Corr

Related Correlations Analysis

	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT
LDP		0.41	0.66	0.12	0.5	0.46	0.35	0.72	0.36	0.46	LDP
NKX	0.41		0.5	0.04	0.26	0.37	0.0	0.54	0.22	0.66	NKX
CCD	0.66	0.5		0.58	0.88	0.88	0.72	0.94	0.81	0.57	CCD
ASGI	0.12	0.04	0.58		0.74	0.77	0.48	0.5	0.78	0.41	ASGI
ETB	0.5	0.26	0.88	0.74		0.91	0.81	0.86	0.86	0.51	ETB
AAIEX	0.46	0.37	0.88	0.77	0.91		0.73	0.8	0.95	0.56	AAIEX
ALZFX	0.35	0.0	0.72	0.48	0.81	0.73		0.68	0.82	0.11	ALZFX
STK	0.72	0.54	0.94	0.5	0.86	0.8	0.68		0.7	0.58	STK
LVAQX	0.36	0.22	0.81	0.78	0.86	0.95	0.82	0.7		0.41	LVAQX
PDT	0.46	0.66	0.57	0.41	0.51	0.56	0.11	0.58	0.41		PDT
	LDP	NKX	CCD	ASGI	ETB	AAIEX	ALZFX	STK	LVAQX	PDT

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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

LVAQX	+ 0.95	AAIEX
STK	+ 0.94	CCD
AAIEX	+ 0.91	ETB
ETB	+ 0.88	CCD
AAIEX	+ 0.88	CCD
STK	+ 0.86	ETB

High negative correlations

ALZFX

- 0.0

NKX

Risk-Adjusted Indicators

There is a big difference between Eaton Fund performing well and Eaton Vance 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
LDP	0.31	(0.04)	0.00	(0.04)	0.00	0.00	0.66	(0.68)	2.24
NKX	0.33	0.00	(0.09)	0.10	0.57	(0.31)	0.47	(0.78)	3.53
CCD	0.80	0.01	0.00	0.09	0.91	(0.86)	1.73	(1.57)	5.33
ASGI	0.74	0.23	0.15	0.63	0.92	(0.85)	1.79	(1.95)	4.76
ETB	0.50	0.00	(0.06)	0.07	0.57	(0.52)	1.20	(0.96)	2.92
AAIEX	0.58	0.14	0.16	0.29	0.37	(0.71)	1.53	(1.13)	3.37
ALZFX	1.12	(0.06)	(0.04)	0.01	1.62	(0.99)	2.65	(2.76)	8.08
STK	1.26	(0.03)	(0.01)	0.06	1.57	(1.26)	2.92	(2.74)	7.38
LVAQX	0.87	0.21	0.25	0.32	0.41	(1.04)	2.49	(0.92)	7.90
PDT	0.47	0.03	(0.04)	0.15	0.48	(0.53)	0.94	(0.93)	2.59

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