Correlation Between Eaton Vance and Western Asset

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

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

Diversification Opportunities for Eaton Vance and Western Asset

0.15

Correlation Coefficient

Eaton Vance  Western Asset

Average diversification

The 3 months correlation between Eaton and Western is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Risk and Western Asset High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset High 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 Risk are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset High has no effect on the direction of Eaton Vance i.e., Eaton Vance and Western Asset go up and down completely randomly.

Pair Corralation between Eaton Vance and Western Asset

Considering the 90-day investment horizon Eaton Vance Risk is expected to generate 1.81 times more return on investment than Western Asset. However, Eaton Vance is 1.81 times more volatile than Western Asset High. It trades about 0.13 of its potential returns per unit of risk. Western Asset High is currently generating about -0.09 per unit of risk. If you would invest  924.00  in Eaton Vance Risk on September 28, 2024 and sell it today you would earn a total of  20.00  from holding Eaton Vance Risk or generate 2.16% return on investment over 90 days.

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

Eaton Vance Risk  vs.  Western Asset High

Eaton Vance Risk

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Risk are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively steady basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price chaos, may contribute to medium-term losses for the stakeholders.

Western Asset High

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Western Asset High has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fairly strong basic indicators, Western Asset is not utilizing all of its potentials. The recent stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with Eaton Vance and Western Asset

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

The idea behind Eaton Vance Risk and Western Asset High 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.