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 Limited 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

-0.04

Correlation Coefficient

Eaton Vance  DTF Tax

Good diversification

The 3 months correlation between Eaton and DTF is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Limited 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 Limited 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 Limited is expected to generate 2.14 times more return on investment than DTF Tax. However, Eaton Vance is 2.14 times more volatile than DTF Tax Free. It trades about 0.08 of its potential returns per unit of risk. DTF Tax Free is currently generating about 0.0 per unit of risk. If you would invest  1,007  in Eaton Vance Limited on September 12, 2024 and sell it today you would earn a total of  31.00  from holding Eaton Vance Limited or generate 3.08% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Eaton Vance Limited  vs.  DTF Tax Free

Eaton Vance Limited

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Limited are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly stable basic indicators, Eaton Vance is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

DTF Tax Free

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days DTF Tax Free has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, DTF Tax is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

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.

The idea behind Eaton Vance Limited and DTF Tax Free 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.