Eaton Vance Correlations

EGMSX Fund

USD 8.46 0.01 0.12%

The current 90-days correlation between Eaton Vance Global and Origin Emerging Markets is -0.1 (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 Global and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Global 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 Global. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Eaton Mutual Fund

0.65	ERAMX	Eaton Vance Multi	Pair Corr
0.97	ERGMX	Eaton Vance Global	Pair Corr
0.67	EAAMX	Eaton Vance Multi	Pair Corr
0.78	EABLX	Eaton Vance Floating	Pair Corr
0.89	EADOX	Eaton Vance Emerging	Pair Corr
0.68	EAFHX	Eaton Vance Floating	Pair Corr

Moving against Eaton Mutual Fund

0.7	EREMX	Eaton Vance Parametric	Pair Corr
0.55	ERGOX	Eaton Vance Government	Pair Corr
0.38	ERIFX	Eaton Vance Balanced	Pair Corr
0.33	ERASX	Eaton Vance Atlanta	Pair Corr
0.9	ERHSX	Eaton Vance Worldwide	Pair Corr
0.79	ERISX	Parametric Intl Equity	Pair Corr
0.56	ERLGX	Eaton Vance Atlanta	Pair Corr
0.49	EAALX	Eaton Vance Atlanta	Pair Corr
0.41	ERSMX	Eaton Vance Atlanta	Pair Corr
0.39	EAASX	Eaton Vance Atlanta	Pair Corr
0.35	EABSX	Eaton Vance Tabs	Pair Corr
0.79	EAISX	Parametric International	Pair Corr
0.7	EAEMX	Parametric Emerging	Pair Corr
0.62	EAIIX	Eaton Vance Diversified	Pair Corr
0.59	EAGCX	Eaton Vance Atlant	Pair Corr
0.53	EADIX	Eaton Vance Tax	Pair Corr
0.43	EAFVX	Eaton Vance Val	Pair Corr

Related Correlations Analysis

	POEIX	EMCIX	SPMIX	BXECX	XWDIX	APDOX	TRMIX
POEIX		0.55	-0.33	0.59	0.49	-0.3	-0.26	POEIX
EMCIX	0.55		-0.06	0.69	0.55	0.06	0.1	EMCIX
SPMIX	-0.33	-0.06		0.3	0.27	0.81	0.71	SPMIX
BXECX	0.59	0.69	0.3		0.71	0.29	0.36	BXECX
XWDIX	0.49	0.55	0.27	0.71		0.15	0.23	XWDIX
APDOX	-0.3	0.06	0.81	0.29	0.15		0.76	APDOX
TRMIX	-0.26	0.1	0.71	0.36	0.23	0.76		TRMIX
	POEIX	EMCIX	SPMIX	BXECX	XWDIX	APDOX	TRMIX

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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

APDOX	+ 0.81	SPMIX
TRMIX	+ 0.76	APDOX
TRMIX	+ 0.71	SPMIX
XWDIX	+ 0.71	BXECX
BXECX	+ 0.69	EMCIX
BXECX	+ 0.59	POEIX

High negative correlations

SPMIX	- 0.33	POEIX
APDOX	- 0.3	POEIX
TRMIX	- 0.26	POEIX
SPMIX	- 0.06	EMCIX

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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
POEIX	0.58	(0.03)	(0.41)	1.24	(1.23)	3.55
EMCIX	0.16	(0.03)	3.06	0.35	(0.35)	1.22
SPMIX	0.81	(0.11)	(0.31)	1.63	(1.19)	12.44
BXECX	0.20	(0.08)	33.46	0.26	(0.52)	1.45
XWDIX	0.18	(0.06)	8.61	0.32	(0.52)	1.56
APDOX	0.14	(0.03)	(1.73)	0.19	(0.20)	1.54
TRMIX	0.79	(0.20)	(0.87)	1.23	(1.05)	15.45

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