Correlation Between Parametric International and Eaton Vance
Can any of the company-specific risk be diversified away by investing in both Parametric International and Eaton Vance 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 Parametric International and Eaton Vance into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Parametric International Equity and Eaton Vance Floating Rate, you can compare the effects of market volatilities on Parametric International and Eaton Vance 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 Parametric International with a short position of Eaton Vance. Check out your portfolio center. Please also check ongoing floating volatility patterns of Parametric International and Eaton Vance.
Diversification Opportunities for Parametric International and Eaton Vance
-0.84 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Parametric and Eaton is -0.84. Overlapping area represents the amount of risk that can be diversified away by holding Parametric International Equit and Eaton Vance Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Floating and Parametric International 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 Parametric International Equity are associated (or correlated) with Eaton Vance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eaton Vance Floating has no effect on the direction of Parametric International i.e., Parametric International and Eaton Vance go up and down completely randomly.
Pair Corralation between Parametric International and Eaton Vance
Assuming the 90 days horizon Parametric International is expected to generate 1.37 times less return on investment than Eaton Vance. In addition to that, Parametric International is 3.7 times more volatile than Eaton Vance Floating Rate. It trades about 0.04 of its total potential returns per unit of risk. Eaton Vance Floating Rate is currently generating about 0.2 per unit of volatility. If you would invest 828.00 in Eaton Vance Floating Rate on September 3, 2024 and sell it today you would earn a total of 176.00 from holding Eaton Vance Floating Rate or generate 21.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Parametric International Equit vs. Eaton Vance Floating Rate
Performance |
| Timeline |
| Parametric International |
| Eaton Vance Floating |
Parametric International and Eaton Vance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Parametric International and Eaton Vance
The main advantage of trading using opposite Parametric International and Eaton Vance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Parametric International position performs unexpectedly, Eaton Vance 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 Eaton Vance will offset losses from the drop in Eaton Vance's long position.The idea behind Parametric International Equity and Eaton Vance Floating Rate 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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Check out your portfolio center.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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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