Correlation Between Eaton Vance and Brown Advisory

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Brown Advisory 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 Brown Advisory into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance Atlanta and Brown Advisory Sustainable, you can compare the effects of market volatilities on Eaton Vance and Brown Advisory 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 Brown Advisory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Brown Advisory.

Diversification Opportunities for Eaton Vance and Brown Advisory

0.79

Correlation Coefficient

Eaton Vance  Brown Advisory

Poor diversification

The 3 months correlation between Eaton and Brown is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Atlanta and Brown Advisory Sustainable in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brown Advisory Susta 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 Atlanta are associated (or correlated) with Brown Advisory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brown Advisory Susta has no effect on the direction of Eaton Vance i.e., Eaton Vance and Brown Advisory go up and down completely randomly.

Pair Corralation between Eaton Vance and Brown Advisory

Assuming the 90 days horizon Eaton Vance Atlanta is expected to under-perform the Brown Advisory. But the mutual fund apears to be less risky and, when comparing its historical volatility, Eaton Vance Atlanta is 1.43 times less risky than Brown Advisory. The mutual fund trades about -0.43 of its potential returns per unit of risk. The Brown Advisory Sustainable is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest  5,657  in Brown Advisory Sustainable on October 10, 2024 and sell it today you would lose (384.00) from holding Brown Advisory Sustainable or give up 6.79% of portfolio value over 90 days.

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

Eaton Vance Atlanta  vs.  Brown Advisory Sustainable

Eaton Vance Atlanta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Eaton Vance Atlanta has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Brown Advisory Susta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Brown Advisory Sustainable has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Brown Advisory 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 Brown Advisory

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

The idea behind Eaton Vance Atlanta and Brown Advisory Sustainable 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.