Correlation Between Eaton Vance and Invesco Energy

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

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

Diversification Opportunities for Eaton Vance and Invesco Energy

0.45

Correlation Coefficient

Eaton Vance  Invesco Energy

Very weak diversification

The 3 months correlation between Eaton and Invesco is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance National and Invesco Energy Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Energy 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 National are associated (or correlated) with Invesco Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Energy has no effect on the direction of Eaton Vance i.e., Eaton Vance and Invesco Energy go up and down completely randomly.

Pair Corralation between Eaton Vance and Invesco Energy

Assuming the 90 days horizon Eaton Vance National is expected to generate 0.23 times more return on investment than Invesco Energy. However, Eaton Vance National is 4.31 times less risky than Invesco Energy. It trades about 0.05 of its potential returns per unit of risk. Invesco Energy Fund is currently generating about 0.01 per unit of risk. If you would invest  852.00  in Eaton Vance National on September 26, 2024 and sell it today you would earn a total of  66.00  from holding Eaton Vance National or generate 7.75% return on investment over 90 days.

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

Eaton Vance National  vs.  Invesco Energy Fund

Eaton Vance National

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Eaton Vance National has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Invesco Energy

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco Energy Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Invesco Energy 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 Invesco Energy

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

The idea behind Eaton Vance National and Invesco Energy Fund 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.