Correlation Between Eaton Vance and Parametric International

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

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

Diversification Opportunities for Eaton Vance and Parametric International

-0.49

Correlation Coefficient

Eaton Vance  Parametric International

Very good diversification

The 3 months correlation between Eaton and Parametric is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Small Cap and Parametric International Equit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric International 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 Small Cap are associated (or correlated) with Parametric International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric International has no effect on the direction of Eaton Vance i.e., Eaton Vance and Parametric International go up and down completely randomly.

Pair Corralation between Eaton Vance and Parametric International

Assuming the 90 days horizon Eaton Vance Small Cap is expected to under-perform the Parametric International. In addition to that, Eaton Vance is 1.33 times more volatile than Parametric International Equity. It trades about -0.09 of its total potential returns per unit of risk. Parametric International Equity is currently generating about 0.24 per unit of volatility. If you would invest  1,366  in Parametric International Equity on December 21, 2024 and sell it today you would earn a total of  144.00  from holding Parametric International Equity or generate 10.54% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.33%
Values	Daily Returns

Eaton Vance Small Cap  vs.  Parametric International Equit

Eaton Vance Small

Risk-Adjusted Performance

Very Weak

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

Parametric International

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Parametric International Equity are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Parametric International may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Eaton Vance and Parametric International

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

The idea behind Eaton Vance Small Cap and Parametric International Equity 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.