Correlation Between Eaton Vance and Parametric Tax-managed
Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Parametric Tax-managed 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-managed 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 Parametric Tax Managed International, you can compare the effects of market volatilities on Eaton Vance and Parametric Tax-managed 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-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Parametric Tax-managed.
Diversification Opportunities for Eaton Vance and Parametric Tax-managed
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Eaton and Parametric is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal and Parametric Tax Managed Interna 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 Municipal are associated (or correlated) with Parametric Tax-managed. 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-managed go up and down completely randomly.
Pair Corralation between Eaton Vance and Parametric Tax-managed
Assuming the 90 days horizon Eaton Vance is expected to generate 1.64 times less return on investment than Parametric Tax-managed. But when comparing it to its historical volatility, Eaton Vance Municipal is 3.15 times less risky than Parametric Tax-managed. It trades about 0.09 of its potential returns per unit of risk. Parametric Tax Managed International is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,065 in Parametric Tax Managed International on September 2, 2024 and sell it today you would earn a total of 179.00 from holding Parametric Tax Managed International or generate 16.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eaton Vance Municipal vs. Parametric Tax Managed Interna
Performance |
| Timeline |
| Eaton Vance Municipal |
| Parametric Tax Managed |
Eaton Vance and Parametric Tax-managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eaton Vance and Parametric Tax-managed
The main advantage of trading using opposite Eaton Vance and Parametric Tax-managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, Parametric Tax-managed 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-managed will offset losses from the drop in Parametric Tax-managed's long position.| Eaton Vance vs. T Rowe Price | Eaton Vance vs. Legg Mason Partners | Eaton Vance vs. Metropolitan West High | Eaton Vance vs. Artisan High Income |
| Parametric Tax-managed vs. Eaton Vance Msschsts | Parametric Tax-managed vs. Eaton Vance Municipal | Parametric Tax-managed vs. Eaton Vance Municipal | Parametric Tax-managed vs. Eaton Vance Municipal |
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 CEOs Directory module to screen CEOs from public companies around the world.
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