Eaton Vance Correlations

XETTX Fund

USD 18.78 0.03 0.16%

The current 90-days correlation between Eaton Vance Municipal and Vanguard Total Stock is -0.03 (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 Municipal and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Eaton Vance Municipal. 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 estimate.

Moving together with Eaton Mutual Fund

0.67	VGTSX	Vanguard Total Inter	Pair Corr
0.67	VTIAX	Vanguard Total Inter	Pair Corr
0.62	BRUFX	Bruce Fund Bruce	Pair Corr
0.71	KF	Korea Closed	Pair Corr
0.68	VEMBX	Vanguard Emerging Markets	Pair Corr

Moving against Eaton Mutual Fund

0.64	FIVUX	First Investors Oppo	Pair Corr
0.62	BTCVX	Cboe Vest Bitcoin	Pair Corr
0.61	VTSAX	Vanguard Total Stock	Pair Corr
0.61	VITSX	Vanguard Total Stock	Pair Corr
0.61	VSTSX	Vanguard Total Stock	Pair Corr
0.61	VSMPX	Vanguard Total Stock	Pair Corr
0.61	FZROX	Fidelity Zero Total	Pair Corr
0.6	VFIAX	Vanguard 500 Index	Pair Corr
0.6	VTSMX	Vanguard Total Stock	Pair Corr
0.6	VFINX	Vanguard 500 Index	Pair Corr
0.6	VFFSX	Vanguard 500 Index	Pair Corr
0.6	SPGSX	State Street Premier	Pair Corr
0.59	ELFNX	Elfun Trusts Elfun	Pair Corr
0.42	XGEIX	Guggenheim Energy Income	Pair Corr
0.39	GVCAX	Gabelli Value	Pair Corr
0.33	ACP	Aberdeen Income Credit	Pair Corr
0.32	AMECX	Income Fund	Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX
VTSAX		1.0	1.0	1.0	1.0	1.0	1.0	1.0	-0.55	-0.55	VTSAX
VFIAX	1.0		1.0	1.0	1.0	1.0	1.0	1.0	-0.52	-0.52	VFIAX
VTSMX	1.0	1.0		1.0	1.0	1.0	1.0	1.0	-0.55	-0.55	VTSMX
VITSX	1.0	1.0	1.0		1.0	1.0	1.0	1.0	-0.55	-0.55	VITSX
VSTSX	1.0	1.0	1.0	1.0		1.0	1.0	1.0	-0.55	-0.55	VSTSX
VSMPX	1.0	1.0	1.0	1.0	1.0		1.0	1.0	-0.55	-0.55	VSMPX
VFINX	1.0	1.0	1.0	1.0	1.0	1.0		1.0	-0.52	-0.52	VFINX
VFFSX	1.0	1.0	1.0	1.0	1.0	1.0	1.0		-0.52	-0.52	VFFSX
VGTSX	-0.55	-0.52	-0.55	-0.55	-0.55	-0.55	-0.52	-0.52		1.0	VGTSX
VTIAX	-0.55	-0.52	-0.55	-0.55	-0.55	-0.55	-0.52	-0.52	1.0		VTIAX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX

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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

VFIAX	+ 1.0	VTSAX
VTSMX	+ 1.0	VTSAX
VITSX	+ 1.0	VTSAX
VSTSX	+ 1.0	VTSAX
VSMPX	+ 1.0	VTSAX
VFINX	+ 1.0	VTSAX

High negative correlations

VTIAX	- 0.55	VSMPX
VGTSX	- 0.55	VSMPX
VTIAX	- 0.55	VSTSX
VGTSX	- 0.55	VSTSX
VTIAX	- 0.55	VITSX
VGTSX	- 0.55	VITSX

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
VTSAX	0.50	0.05	0.06	0.16	0.44	(0.56)	0.98	(0.94)	4.11
VFIAX	0.47	0.05	0.04	0.16	0.43	(0.50)	0.97	(0.93)	3.84
VTSMX	0.50	0.05	0.06	0.16	0.44	(0.56)	0.98	(0.94)	4.11
VITSX	0.50	0.05	0.06	0.16	0.44	(0.56)	0.98	(0.94)	4.11
VSTSX	0.50	0.05	0.06	0.16	0.44	(0.56)	0.98	(0.94)	4.11
VSMPX	0.50	0.05	0.06	0.16	0.43	(0.56)	0.98	(0.94)	4.11
VFINX	0.47	0.05	0.04	0.16	0.43	(0.50)	0.97	(0.93)	3.84
VFFSX	0.47	0.05	0.04	0.16	0.43	(0.50)	0.97	(0.93)	3.84
VGTSX	0.57	(0.04)	0.00	(0.05)	0.00	0.00	1.15	(1.04)	4.09
VTIAX	0.57	(0.04)	0.00	(0.05)	0.00	0.00	1.15	(1.01)	4.11

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