Correlation Between Eaton Vance and Parametric Tax

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Parametric Tax 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 Parametric Tax into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance Richard and Parametric Tax Managed Emerging, you can compare the effects of market volatilities on Eaton Vance and Parametric Tax 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 Parametric Tax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Parametric Tax.

Diversification Opportunities for Eaton Vance and Parametric Tax

0.93

Correlation Coefficient

Eaton Vance  Parametric Tax

Almost no diversification

The 3 months correlation between Eaton and Parametric is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Richard and Parametric Tax Managed Emergin in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric Tax Managed 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 Richard are associated (or correlated) with Parametric Tax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric Tax Managed has no effect on the direction of Eaton Vance i.e., Eaton Vance and Parametric Tax go up and down completely randomly.

Pair Corralation between Eaton Vance and Parametric Tax

Assuming the 90 days horizon Eaton Vance Richard is expected to under-perform the Parametric Tax. In addition to that, Eaton Vance is 1.24 times more volatile than Parametric Tax Managed Emerging. It trades about -0.13 of its total potential returns per unit of risk. Parametric Tax Managed Emerging is currently generating about -0.01 per unit of volatility. If you would invest  4,033  in Parametric Tax Managed Emerging on February 1, 2024 and sell it today you would lose (9.00) from holding Parametric Tax Managed Emerging or give up 0.22% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Eaton Vance Richard  vs.  Parametric Tax Managed Emergin

Eaton Vance Richard

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Richard are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Parametric Tax Managed

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Parametric Tax Managed Emerging are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Parametric Tax is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Eaton Vance and Parametric Tax

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

The idea behind Eaton Vance Richard and Parametric Tax Managed Emerging 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.