Correlation Between Eaton Vance and Sprott

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Sprott at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Eaton Vance and Sprott into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance Municipal and Sprott Inc, you can compare the effects of market volatilities on Eaton Vance and Sprott and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Eaton Vance with a short position of Sprott. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Sprott.

Diversification Opportunities for Eaton Vance and Sprott

-0.08

Correlation Coefficient

Eaton Vance  Sprott

Good diversification

The 3 months correlation between Eaton and Sprott is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal and Sprott Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sprott Inc and Eaton Vance is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Eaton Vance Municipal are associated (or correlated) with Sprott. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sprott Inc has no effect on the direction of Eaton Vance i.e., Eaton Vance and Sprott go up and down completely randomly.

Pair Corralation between Eaton Vance and Sprott

Considering the 90-day investment horizon Eaton Vance is expected to generate 5.94 times less return on investment than Sprott. But when comparing it to its historical volatility, Eaton Vance Municipal is 3.92 times less risky than Sprott. It trades about 0.07 of its potential returns per unit of risk. Sprott Inc is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  4,193  in Sprott Inc on March 12, 2024 and sell it today you would earn a total of  142.00  from holding Sprott Inc or generate 3.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Eaton Vance Municipal  vs.  Sprott Inc

Eaton Vance Municipal

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Eaton Vance Municipal has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Sprott Inc

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sprott Inc are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite fairly unsteady forward indicators, Sprott demonstrated solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Eaton Vance and Sprott

The main advantage of trading using opposite Eaton Vance and Sprott positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, Sprott 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 Sprott will offset losses from the drop in Sprott's long position.

The idea behind Eaton Vance Municipal and Sprott Inc pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.