Correlation Between Eaton Vance and Parametric Commodity

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

By analyzing existing cross correlation between Eaton Vance Stock and Parametric Modity Strategy, you can compare the effects of market volatilities on Eaton Vance and Parametric Commodity 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 Commodity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Parametric Commodity.

Diversification Opportunities for Eaton Vance and Parametric Commodity

-0.47

Correlation Coefficient

Eaton Vance  Parametric Commodity

Very good diversification

The 3 months correlation between Eaton and Parametric is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Stock and Parametric Modity Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric Commodity 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 Stock are associated (or correlated) with Parametric Commodity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric Commodity has no effect on the direction of Eaton Vance i.e., Eaton Vance and Parametric Commodity go up and down completely randomly.

Pair Corralation between Eaton Vance and Parametric Commodity

Assuming the 90 days horizon Eaton Vance Stock is expected to under-perform the Parametric Commodity. In addition to that, Eaton Vance is 1.56 times more volatile than Parametric Modity Strategy. It trades about -0.05 of its total potential returns per unit of risk. Parametric Modity Strategy is currently generating about 0.26 per unit of volatility. If you would invest  629.00  in Parametric Modity Strategy on November 28, 2024 and sell it today you would earn a total of  17.00  from holding Parametric Modity Strategy or generate 2.7% return on investment over 90 days.

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

Eaton Vance Stock  vs.  Parametric Modity Strategy

Eaton Vance Stock

Risk-Adjusted Performance

Very Weak

Over the last 90 days Eaton Vance Stock has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in March 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Parametric Commodity

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Parametric Modity Strategy are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Parametric Commodity 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 Commodity

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

The idea behind Eaton Vance Stock and Parametric Modity Strategy 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.