Parametric Modity Correlations

EIPCX Fund

USD 6.49 0.03 0.46%

The current 90-days correlation between Parametric Modity and Gmo High Yield is 0.13 (i.e., Average diversification). The correlation of Parametric Modity 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 Modity Correlation With Market

Significant diversification

The correlation between Parametric Modity Strategy and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Modity Strategy 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 Modity Strategy. 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 main economic indicators.

Moving together with Parametric Mutual Fund

0.71	ERBIX	Eaton Vance Richard	Pair Corr
0.71	ERBCX	Eaton Vance Richard	Pair Corr
0.66	ERBAX	Eaton Vance Richard	Pair Corr
0.77	EREMX	Eaton Vance Parametric	Pair Corr
0.63	EADOX	Eaton Vance Emerging	Pair Corr
0.76	EAEMX	Parametric Emerging	Pair Corr

Moving against Parametric Mutual Fund

0.37	ERGOX	Eaton Vance Government	Pair Corr
0.36	ERHSX	Eaton Vance Worldwide	Pair Corr

Related Correlations Analysis

	GMOZX	ARTFX	MFIRX	DHGCX	TPYYX	PRVHX
GMOZX		0.84	0.68	-0.01	0.4	0.62	GMOZX
ARTFX	0.84		0.34	-0.43	0.29	0.56	ARTFX
MFIRX	0.68	0.34		0.63	0.54	0.73	MFIRX
DHGCX	-0.01	-0.43	0.63		0.34	0.22	DHGCX
TPYYX	0.4	0.29	0.54	0.34		0.55	TPYYX
PRVHX	0.62	0.56	0.73	0.22	0.55		PRVHX
	GMOZX	ARTFX	MFIRX	DHGCX	TPYYX	PRVHX

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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

ARTFX	+ 0.84	GMOZX
PRVHX	+ 0.73	MFIRX
MFIRX	+ 0.68	GMOZX
DHGCX	+ 0.63	MFIRX
PRVHX	+ 0.62	GMOZX
PRVHX	+ 0.56	ARTFX

High negative correlations

DHGCX	- 0.43	ARTFX
DHGCX	- 0.01	GMOZX

Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric Modity 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 Modity'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
GMOZX	0.13	0.01	(0.40)	0.19	0.00	(0.17)	0.28	(0.33)	0.72
ARTFX	0.11	0.02	(0.53)	0.51	0.00	(0.18)	0.22	(0.22)	0.77
MFIRX	0.10	0.00	(0.43)	0.19	0.00	(0.23)	0.19	(0.19)	0.76
DHGCX	0.16	(0.01)	(0.54)	(0.04)	0.15	(0.19)	0.35	(0.25)	0.96
TPYYX	0.70	0.03	(0.08)	(0.29)	0.95	(0.76)	1.40	(1.71)	5.39
PRVHX	0.10	0.00	(0.79)	0.30	0.00	(0.10)	0.22	(0.20)	0.53

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