ETY vs SOR: Correlation
Measured on weekly returns over the past three years, Eaton Vance Tax-Managed Diversified Equity Income Fund (ETY) 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 ETY and SOR?
Over the past 3 years, ETY and SOR moved with a correlation of 0.56, which is moderate. The relationship has been stable: the 1-year correlation (0.60) sits close to the 3-year figure. Over 5 years the correlation is 0.62, and the annualized covariance of weekly returns is 90.1 %².
Among the 34 assets we track against ETY, SOR ranks #19 by 3-year correlation. On 12-month performance SOR holds a 11.6-point edge, -0.4% against +11.2%.
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.
ETY vs SOR: side by side
| ETY (Eaton Vance Tax-Managed Diversified Equity Income Fund) | SOR (Source Capital, Inc. Cmn Shs of BI) | |
|---|---|---|
| 1-year return | -0.4% | +11.2% |
| 5-year return | +51.2% | +53.7% |
| Volatility (ann.) | 15.4% | 10.5% |
| Beta vs S&P 500 | 0.97 | 0.37 |
| Max drawdown (3Y) | -21.3% | -9.2% |
| Market cap | – | – |
| P/E (trailing) | 5.2 | 6.4 |
| Dividend yield | 8.24% | 5.36% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | ETY | SOR |
|---|---|---|
| 2022 | -21.2% | -5.2% |
| 2023 | +21.9% | +12.6% |
| 2024 | +33.1% | +21.3% |
| 2025 | +11.0% | +11.5% |
| 2026 | +0.2% | +5.4% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETY and SOR good diversifiers for each other?
Only partially. A correlation of 0.56 means ETY and SOR share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between ETY and SOR?
The ETY/SOR correlation stands at 0.56 on a 3-year window (1 year: 0.60, 5 years: 0.62), computed from weekly returns as of 2026-08-27.
Is SOR a good diversifier for ETY?
Only partially. A correlation of 0.56 means ETY and SOR share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.56 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/ety-vs-sor.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/ety-vs-sor/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: ETY correlations · SOR correlations
