Parametric Tax Managed International Fund Market Value
| ECIGX Fund | USD 11.38 0.01 0.09% |
| Symbol | Parametric |
Parametric Tax 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Parametric Tax's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Parametric Tax.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Parametric Tax on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Parametric Tax Managed International or generate 0.0% return on investment in Parametric Tax over 30 days. Parametric Tax is related to or competes with Eaton Vance, Eaton Vance, Eaton Vance, Eaton Vance, Eaton Vance, Eaton Vance, and Eaton Vance. Under normal market conditions, the fund invests at least 80 percent of its net assets in a diversified portfolio of equ... More
Parametric Tax Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Parametric Tax's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Parametric Tax Managed International upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6469 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 2.65 | |||
| Value At Risk | (1.15) | |||
| Potential Upside | 0.8897 |
Parametric Tax Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parametric Tax's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parametric Tax's standard deviation. In reality, there are many statistical measures that can use Parametric Tax historical prices to predict the future Parametric Tax's volatility.| Risk Adjusted Performance | 0.0055 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parametric Tax's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Parametric Tax Managed Backtested Returns
We consider Parametric Tax very steady. Parametric Tax Managed maintains Sharpe Ratio (i.e., Efficiency) of 0.0149, which implies the entity had a 0.0149% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Parametric Tax Managed, which you can use to evaluate the volatility of the fund. Please check Parametric Tax's Semi Deviation of 0.611, coefficient of variation of 10318.17, and Risk Adjusted Performance of 0.0055 to confirm if the risk estimate we provide is consistent with the expected return of 0.0086%. The fund holds a Beta of 0.79, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Parametric Tax's returns are expected to increase less than the market. However, during the bear market, the loss of holding Parametric Tax is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
Parametric Tax Managed International has average predictability. Overlapping area represents the amount of predictability between Parametric Tax time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Parametric Tax Managed price movement. The serial correlation of 0.47 indicates that about 47.0% of current Parametric Tax price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Parametric Tax Managed lagged returns against current returns
Autocorrelation, which is Parametric Tax mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Parametric Tax's mutual fund expected returns. We can calculate the autocorrelation of Parametric Tax returns to help us make a trade decision. For example, suppose you find that Parametric Tax has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Parametric Tax regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Parametric Tax mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parametric Tax mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parametric Tax mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Parametric Tax Lagged Returns
When evaluating Parametric Tax's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parametric Tax mutual fund have on its future price. Parametric Tax autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Parametric Tax autocorrelation shows the relationship between Parametric Tax mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Parametric Tax Managed International.
Regressed Prices |
| Timeline |
Pair Trading with Parametric Tax
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Parametric Tax position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Parametric Tax will appreciate offsetting losses from the drop in the long position's value.Moving together with Parametric Mutual Fund
| 0.8 | EMAIX | Eaton Vance Msschsts | PairCorr |
| 0.67 | EMOIX | Eaton Vance Municipal | PairCorr |
| 0.61 | EIM | Eaton Vance Mbf | PairCorr |
The ability to find closely correlated positions to Parametric Tax could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Parametric Tax when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Parametric Tax - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Parametric Tax Managed International to buy it.
The correlation of Parametric Tax 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Parametric Tax moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Parametric Tax Managed moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Parametric Tax can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Parametric Tax Correlation, Parametric Tax Volatility and Parametric Tax Alpha and Beta module to complement your research on Parametric Tax. Note that the Parametric Tax Managed information on this page should be used as a complementary analysis to other Parametric Tax's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Parametric Tax technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.