Correlation Between Eaton Vance and Thornburg International

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

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

Diversification Opportunities for Eaton Vance and Thornburg International

-0.6

Correlation Coefficient

Eaton Vance  Thornburg International

Excellent diversification

The 3 months correlation between Eaton and Thornburg is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Large Cap and Thornburg International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg 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 Large Cap are associated (or correlated) with Thornburg International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg International has no effect on the direction of Eaton Vance i.e., Eaton Vance and Thornburg International go up and down completely randomly.

Pair Corralation between Eaton Vance and Thornburg International

Assuming the 90 days horizon Eaton Vance Large Cap is expected to under-perform the Thornburg International. But the mutual fund apears to be less risky and, when comparing its historical volatility, Eaton Vance Large Cap is 1.29 times less risky than Thornburg International. The mutual fund trades about -0.2 of its potential returns per unit of risk. The Thornburg International Value is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest  2,693  in Thornburg International Value on September 16, 2024 and sell it today you would lose (76.00) from holding Thornburg International Value or give up 2.82% of portfolio value over 90 days.

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

Eaton Vance Large Cap  vs.  Thornburg International Value

Eaton Vance Large

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Large Cap are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. 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.

Thornburg International

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Eaton Vance Large Cap and Thornburg International Value 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.