Correlation Between Eaton Vance and Blackrock Enhanced

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

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

Diversification Opportunities for Eaton Vance and Blackrock Enhanced

0.89

Correlation Coefficient

Eaton Vance  Blackrock Enhanced

Very poor diversification

The 3 months correlation between Eaton and Blackrock is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed and Blackrock Enhanced Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackrock Enhanced Equity 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 Managed are associated (or correlated) with Blackrock Enhanced. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackrock Enhanced Equity has no effect on the direction of Eaton Vance i.e., Eaton Vance and Blackrock Enhanced go up and down completely randomly.

Pair Corralation between Eaton Vance and Blackrock Enhanced

Considering the 90-day investment horizon Eaton Vance is expected to generate 2.03 times less return on investment than Blackrock Enhanced. But when comparing it to its historical volatility, Eaton Vance Tax Managed is 1.04 times less risky than Blackrock Enhanced. It trades about 0.07 of its potential returns per unit of risk. Blackrock Enhanced Equity is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  813.00  in Blackrock Enhanced Equity on December 28, 2024 and sell it today you would earn a total of  54.00  from holding Blackrock Enhanced Equity or generate 6.64% return on investment over 90 days.

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

Eaton Vance Tax Managed  vs.  Blackrock Enhanced Equity

Eaton Vance Tax

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax Managed are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. Despite nearly stable basic indicators, Eaton Vance is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Blackrock Enhanced Equity

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Blackrock Enhanced Equity are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively weak fundamental indicators, Blackrock Enhanced may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Eaton Vance and Blackrock Enhanced

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

The idea behind Eaton Vance Tax Managed and Blackrock Enhanced 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.