ETO vs SOR: Correlation
Measured on weekly returns over the past three years, Eaton Vance Tax-Advantage Global Dividend Opp (ETO) and Source Capital, Inc. Cmn Shs of BI (SOR) carry a correlation of 0.56, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are ETO and SOR?
Over the past 3 years, ETO and SOR moved with a correlation of 0.56, which is moderate. The relationship has been stable: the 1-year correlation (0.57) sits close to the 3-year figure. Over 5 years the correlation is 0.64, and the annualized covariance of weekly returns is 97.0 %².
Within ETO's tracked universe of 38 assets, SOR comes in at #28 by 3-year correlation. The trailing year gives ETO the advantage: +24.4% versus +11.2%, a 13.2-point spread. Risk is not evenly split, since ETO 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.
ETO vs SOR: side by side
| ETO (Eaton Vance Tax-Advantage Global Dividend Opp) | SOR (Source Capital, Inc. Cmn Shs of BI) | |
|---|---|---|
| 1-year return | +24.4% | +11.2% |
| 5-year return | +43.6% | +53.7% |
| Volatility (ann.) | 16.6% | 10.5% |
| Beta vs S&P 500 | 1.02 | 0.37 |
| Max drawdown (3Y) | -18.2% | -9.2% |
| Market cap | $0.5B | – |
| P/E (trailing) | 3.8 | 6.4 |
| Dividend yield | 6.57% | 5.36% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | ETO | SOR |
|---|---|---|
| 2022 | -30.0% | -5.2% |
| 2023 | +21.5% | +12.6% |
| 2024 | +15.5% | +21.3% |
| 2025 | +29.9% | +11.5% |
| 2026 | +9.4% | +5.4% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETO and SOR good diversifiers for each other?
To a limited degree. At 0.56 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between ETO and SOR?
As of 2026-08-27, the correlation of weekly returns between ETO and SOR is 0.56 over 3 years, 0.57 over 1 year and 0.64 over 5 years.
Is SOR a good diversifier for ETO?
To a limited degree. At 0.56 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.56 mean?
A reading of 0.56 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/eto-vs-sor.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/eto-vs-sor/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: ETO correlations · SOR correlations
