Eaton Mutual Fund Volatility

ERSGX -  USA Fund  

USD 16.35  0.01  0.06%

We consider Eaton Vance very steady. Eaton Vance Small-Cap secures Sharpe Ratio (or Efficiency) of 0.0987, which denotes the fund had 0.0987% of return per unit of risk over the last 3 months. Our standpoint towards predicting the volatility of a fund is to use all available market data together with fund-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Eaton Vance Small-Cap, which you can use to evaluate the future volatility of the entity. Please confirm Eaton Vance Small-Cap Downside Deviation of 0.8023, mean deviation of 0.635, and Coefficient Of Variation of 832.81 to check if the risk estimate we provide is consistent with the expected return of 0.0785%.

Eaton Volatility 

 
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Eaton Vance Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Eaton daily returns, and it is calculated using variance and standard deviation. We also use Eaton's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Eaton Vance volatility.

180 Days Market Risk

Very steady

Chance of Distress

180 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Eaton Vance can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Eaton Vance at lower prices. For example, an investor can purchase Eaton stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Eaton Vance's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Eaton Vance Market Sensitivity And Downside Risk

Eaton Vance's beta coefficient measures the volatility of Eaton mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Eaton mutual fund's returns against your selected market. In other words, Eaton Vance's beta of -0.09 provides an investor with an approximation of how much risk Eaton Vance mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Eaton's beta means in this case. As returns on the market increase, returns on owning Eaton Vance are expected to decrease at a much lower rate. During the bear market, Eaton Vance is likely to outperform the market.
3 Months Beta |Analyze Eaton Vance Small-Cap Demand Trend
Check current 90 days Eaton Vance correlation with market (DOW)

Eaton Beta

    
  -0.09  
Eaton standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.8  
It is essential to understand the difference between upside risk (as represented by Eaton Vance's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Eaton Vance stock's daily returns or price. Since the actual investment returns on holding a position in Eaton Vance stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Eaton Vance.

Eaton Vance Small-Cap Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Eaton Vance stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Eaton Vance's price changes. Investors will then calculate the volatility of Eaton Vance's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Eaton Vance's volatility:

Historical Volatility

This type of stock volatility measures Eaton Vance's fluctuations based on previous trends. It's commonly used to predict Eaton Vance's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Eaton Vance's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Eaton Vance Small-Cap Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Eaton Vance Projected Return Density Against Market

Assuming the 90 days horizon Eaton Vance Small-Cap has a beta of -0.09 suggesting as returns on benchmark increase, returns on holding Eaton Vance are expected to decrease at a much lower rate. During the bear market, however, Eaton Vance Small-Cap is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Eaton Vance or Eaton Vance sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Eaton Vance stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Eaton stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.0878, implying that it can generate a 0.0878 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Eaton Vance's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Eaton Vance stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Eaton Vance Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Eaton Vance or Eaton Vance sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Eaton Vance stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Eaton stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of Eaton Vance is 1012.91. The daily returns are distributed with a variance of 0.63 and standard deviation of 0.8. The mean deviation of Eaton Vance Small-Cap is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.7
α
Alpha over DOW
0.09
β
Beta against DOW-0.09
σ
Overall volatility
0.80
Ir
Information ratio 0.08

Eaton Vance Mutual Fund Return Volatility

Eaton Vance historical daily return volatility represents how much Eaton Vance stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.7952% volatility of returns over 90 . By contrast, DOW inherits 0.7165% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Eaton Vance Volatility

Volatility is a rate at which the price of Eaton Vance or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Eaton Vance may increase or decrease. In other words, similar to Eaton's beta indicator, it measures the risk of Eaton Vance and helps estimate the fluctuations that may happen in a short period of time. So if prices of Eaton Vance fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks long-term capital appreciation. Under normal market conditions, the fund invests at least 80 percent of its net assets in equity securities of small-cap companies. The portfolio managers consider small-cap companies to be companies having a market capitalization that falls within or below the range of companies in either the current Russell 2000 Index or the SP SmallCap 600 Index, or below the three-year average maximum market cap of companies in either index as of December 31 of the three preceding years. With respect to 20 percent of its net assets, it may also invest in companies that are larger than the capitalization ranges stated above.

Eaton Vance Investment Opportunity

Eaton Vance Small-Cap has a volatility of 0.8 and is 1.11 times more volatile than DOW. of all equities and portfolios are less risky than Eaton Vance. Compared to the overall equity markets, volatility of historical daily returns of Eaton Vance Small-Cap is lower than 6 () of all global equities and portfolios over the last 90 days. Use Eaton Vance Small-Cap to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Eaton Vance to be traded at $17.17 in 90 days. . Let's try to break down what Eaton's beta means in this case. As returns on the market increase, returns on owning Eaton Vance are expected to decrease at a much lower rate. During the bear market, Eaton Vance is likely to outperform the market.

Good diversification

The correlation between Eaton Vance Small-Cap and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Small-Cap and DJI in the same portfolio assuming nothing else is changed.

Eaton Vance Additional Risk Indicators

The analysis of Eaton Vance's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Eaton Vance's investment and either accepting that risk or mitigating it. Along with some common measures of Eaton Vance stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0856
Market Risk Adjusted Performance(0.94)
Mean Deviation0.635
Semi Deviation0.6515
Downside Deviation0.8023
Coefficient Of Variation832.81
Standard Deviation0.7982
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Eaton Vance Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Eaton Vance as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Eaton Vance's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Eaton Vance's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Eaton Vance Small-Cap.
Continue to Investing Opportunities. Note that the Eaton Vance Small-Cap information on this page should be used as a complementary analysis to other Eaton Vance'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 Global Correlations module to find global opportunities by holding instruments from different markets.

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When running Eaton Vance Small-Cap price analysis, check to measure Eaton Vance's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Eaton Vance is operating at the current time. Most of Eaton Vance's value examination focuses on studying past and present price action to predict the probability of Eaton Vance's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Eaton Vance's price. Additionally, you may evaluate how the addition of Eaton Vance to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Eaton Vance's value and its price as these two are different measures arrived at by different means. Investors typically determine Eaton Vance value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Eaton Vance's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.