Correlation Between Eaton Vance and Nuveen SP

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Nuveen SP 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 Nuveen SP 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 Nuveen SP 500, you can compare the effects of market volatilities on Eaton Vance and Nuveen SP 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 Nuveen SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Nuveen SP.

Diversification Opportunities for Eaton Vance and Nuveen SP

0.78

Correlation Coefficient

Eaton Vance  Nuveen SP

Poor diversification

The 3 months correlation between Eaton and Nuveen is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed and Nuveen SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen SP 500 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 Nuveen SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen SP 500 has no effect on the direction of Eaton Vance i.e., Eaton Vance and Nuveen SP go up and down completely randomly.

Pair Corralation between Eaton Vance and Nuveen SP

Considering the 90-day investment horizon Eaton Vance is expected to generate 1.41 times less return on investment than Nuveen SP. In addition to that, Eaton Vance is 1.33 times more volatile than Nuveen SP 500. It trades about 0.11 of its total potential returns per unit of risk. Nuveen SP 500 is currently generating about 0.2 per unit of volatility. If you would invest  1,333  in Nuveen SP 500 on September 12, 2024 and sell it today you would earn a total of  89.00  from holding Nuveen SP 500 or generate 6.68% return on investment over 90 days.

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

Eaton Vance Tax Managed  vs.  Nuveen SP 500

Eaton Vance Tax

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax Managed are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. Despite nearly stable basic indicators, Eaton Vance is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Nuveen SP 500

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Nuveen SP 500 are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak primary indicators, Nuveen SP may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Eaton Vance and Nuveen SP

The main advantage of trading using opposite Eaton Vance and Nuveen SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, Nuveen SP 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 Nuveen SP will offset losses from the drop in Nuveen SP's long position.

The idea behind Eaton Vance Tax Managed and Nuveen SP 500 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.