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 Tax Managed 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

-0.63

Correlation Coefficient

Eaton Vance  Parametric Tax-managed

Excellent diversification

The 3 months correlation between Eaton and Parametric is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed 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 Tax Managed 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 Tax Managed is expected to generate 0.99 times more return on investment than Parametric Tax-managed. However, Eaton Vance Tax Managed is 1.01 times less risky than Parametric Tax-managed. It trades about 0.17 of its potential returns per unit of risk. Parametric Tax Managed International is currently generating about -0.14 per unit of risk. If you would invest  4,135  in Eaton Vance Tax Managed on September 5, 2024 and sell it today you would earn a total of  310.00  from holding Eaton Vance Tax Managed or generate 7.5% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.44%
Values	Daily Returns

Eaton Vance Tax Managed  vs.  Parametric Tax Managed Interna

Eaton Vance Tax

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax Managed are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Eaton Vance may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Parametric Tax Managed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Parametric Tax Managed International has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Parametric Tax-managed 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-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.

The idea behind Eaton Vance Tax Managed and Parametric Tax Managed International 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.