ETG vs SOR: Correlation
Measured on weekly returns over the past three years, Eaton Vance Tax-Advantaged Global Dividend Income Fund (ETG) and Source Capital, Inc. Cmn Shs of BI (SOR) carry a correlation of 0.57, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are ETG and SOR?
Across a 3-year window, the weekly returns of ETG and SOR correlate at 0.57, moderate. Recent behaviour matches the longer record: 0.56 over 1 year against 0.57 over 3. Stretching to 5 years gives 0.68, with an annualized covariance of 100.9 %².
By 3-year correlation, SOR places #19 of the 27 assets tracked against ETG. The trailing year gives ETG the advantage: +25.2% versus +11.2%, a 14.0-point spread. Risk is not evenly split, since ETG carries 1.6 times the volatility of the other side.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
ETG vs SOR: side by side
| ETG (Eaton Vance Tax-Advantaged Global Dividend Income Fund) | SOR (Source Capital, Inc. Cmn Shs of BI) | |
|---|---|---|
| 1-year return | +25.2% | +11.2% |
| 5-year return | +60.6% | +53.7% |
| Volatility (ann.) | 16.9% | 10.5% |
| Beta vs S&P 500 | 1.04 | 0.37 |
| Max drawdown (3Y) | -17.0% | -9.2% |
| Market cap | $1.9B | – |
| P/E (trailing) | 3.8 | 6.4 |
| Dividend yield | 6.41% | 5.36% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | ETG | SOR |
|---|---|---|
| 2022 | -27.6% | -5.2% |
| 2023 | +22.0% | +12.6% |
| 2024 | +15.4% | +21.3% |
| 2025 | +36.9% | +11.5% |
| 2026 | +9.8% | +5.4% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETG and SOR good diversifiers for each other?
Somewhat, no more. With 0.57 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between ETG and SOR?
The ETG/SOR correlation stands at 0.57 on a 3-year window (1 year: 0.56, 5 years: 0.68), computed from weekly returns as of 2026-08-27.
Is SOR a good diversifier for ETG?
Somewhat, no more. With 0.57 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.57 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/etg-vs-sor.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/etg-vs-sor/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: ETG correlations · SOR correlations
