Correlation Between Eaton Vance and Grant Park

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

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

Diversification Opportunities for Eaton Vance and Grant Park

-0.42

Correlation Coefficient

Eaton Vance  Grant Park

Very good diversification

The 3 months correlation between Eaton and Grant is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax and Grant Park Multi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grant Park Multi 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 Tax are associated (or correlated) with Grant Park. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grant Park Multi has no effect on the direction of Eaton Vance i.e., Eaton Vance and Grant Park go up and down completely randomly.

Pair Corralation between Eaton Vance and Grant Park

Considering the 90-day investment horizon Eaton Vance Tax is expected to generate 1.88 times more return on investment than Grant Park. However, Eaton Vance is 1.88 times more volatile than Grant Park Multi. It trades about 0.14 of its potential returns per unit of risk. Grant Park Multi is currently generating about -0.16 per unit of risk. If you would invest  1,412  in Eaton Vance Tax on September 27, 2024 and sell it today you would earn a total of  33.00  from holding Eaton Vance Tax or generate 2.34% return on investment over 90 days.

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

Eaton Vance Tax  vs.  Grant Park Multi

Eaton Vance Tax

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly fragile basic indicators, Eaton Vance may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Grant Park Multi

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Eaton Vance Tax and Grant Park Multi 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.