Correlation Between Eaton Vance and DTF Tax
Can any of the company-specific risk be diversified away by investing in both Eaton Vance and DTF 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 DTF Tax into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eaton Vance Tax and DTF Tax Free, you can compare the effects of market volatilities on Eaton Vance and DTF 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 DTF Tax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and DTF Tax.
Diversification Opportunities for Eaton Vance and DTF Tax
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Eaton and DTF is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax and DTF Tax Free in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DTF Tax Free 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 Tax are associated (or correlated) with DTF Tax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DTF Tax Free has no effect on the direction of Eaton Vance i.e., Eaton Vance and DTF Tax go up and down completely randomly.
Pair Corralation between Eaton Vance and DTF Tax
Considering the 90-day investment horizon Eaton Vance Tax is expected to generate 1.64 times more return on investment than DTF Tax. However, Eaton Vance is 1.64 times more volatile than DTF Tax Free. It trades about 0.1 of its potential returns per unit of risk. DTF Tax Free is currently generating about 0.06 per unit of risk. If you would invest 1,095 in Eaton Vance Tax on September 2, 2024 and sell it today you would earn a total of 349.00 from holding Eaton Vance Tax or generate 31.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.73% |
| Values | Daily Returns |
Eaton Vance Tax vs. DTF Tax Free
Performance |
| Timeline |
| Eaton Vance Tax |
| DTF Tax Free |
Eaton Vance and DTF Tax Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eaton Vance and DTF Tax
The main advantage of trading using opposite Eaton Vance and DTF Tax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, DTF 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 DTF Tax will offset losses from the drop in DTF Tax's long position.| Eaton Vance vs. Eaton Vance Tax Managed | Eaton Vance vs. Eaton Vance Tax | Eaton Vance vs. Eaton Vance Risk | Eaton Vance vs. Eaton Vance Tax |
| DTF Tax vs. MFS Investment Grade | DTF Tax vs. Eaton Vance National | DTF Tax vs. Invesco High Income | DTF Tax vs. MFS High Yield |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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