Correlation Between Western Assets and Eaton Vance
Can any of the company-specific risk be diversified away by investing in both Western Assets 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 Western Assets and Eaton Vance into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Assets Emerging and Eaton Vance Richard, you can compare the effects of market volatilities on Western Assets 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 Western Assets with a short position of Eaton Vance. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Assets and Eaton Vance.
Diversification Opportunities for Western Assets and Eaton Vance
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Western and Eaton is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Western Assets Emerging and Eaton Vance Richard in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Richard and Western Assets 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 Western Assets Emerging 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 Richard has no effect on the direction of Western Assets i.e., Western Assets and Eaton Vance go up and down completely randomly.
Pair Corralation between Western Assets and Eaton Vance
Assuming the 90 days horizon Western Assets is expected to generate 2.91 times less return on investment than Eaton Vance. But when comparing it to its historical volatility, Western Assets Emerging is 1.71 times less risky than Eaton Vance. It trades about 0.16 of its potential returns per unit of risk. Eaton Vance Richard is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 1,827 in Eaton Vance Richard on September 4, 2024 and sell it today you would earn a total of 69.00 from holding Eaton Vance Richard or generate 3.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Western Assets Emerging vs. Eaton Vance Richard
Performance |
| Timeline |
| Western Assets Emerging |
| Eaton Vance Richard |
Western Assets and Eaton Vance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Assets and Eaton Vance
The main advantage of trading using opposite Western Assets and Eaton Vance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Assets 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.| Western Assets vs. Heartland Value Plus | Western Assets vs. Royce Opportunity Fund | Western Assets vs. Royce Opportunity Fund | Western Assets vs. Queens Road Small |
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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