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 Municipal 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

0.29

Correlation Coefficient

Eaton Vance  Parametric Commodity

Modest diversification

The 3 months correlation between Eaton and Parametric is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal 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 Municipal 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 Municipal is expected to under-perform the Parametric Commodity. But the mutual fund apears to be less risky and, when comparing its historical volatility, Eaton Vance Municipal is 2.17 times less risky than Parametric Commodity. The mutual fund trades about -0.03 of its potential returns per unit of risk. The Parametric Modity Strategy is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  615.00  in Parametric Modity Strategy on December 30, 2024 and sell it today you would earn a total of  45.00  from holding Parametric Modity Strategy or generate 7.32% return on investment over 90 days.

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

Eaton Vance Municipal  vs.  Parametric Modity Strategy

Eaton Vance Municipal

Risk-Adjusted Performance

Very Weak

Over the last 90 days Eaton Vance Municipal 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.

Parametric Commodity

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Parametric Modity Strategy are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Parametric Commodity may actually be approaching a critical reversion point that can send shares even higher in April 2025.

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 Municipal 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.