EXG vs SOR: Correlation
Measured on weekly returns over the past three years, Eaton Vance Tax-Managed Global Diversified Equity Income (EXG) and Source Capital, Inc. Cmn Shs of BI (SOR) carry a correlation of 0.58, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EXG and SOR?
Across a 3-year window, the weekly returns of EXG and SOR correlate at 0.58, moderate. Little has changed lately, as the 1-year reading of 0.63 lands near the 3-year figure. Stretching to 5 years gives 0.68, with an annualized covariance of 92.1 %².
By 3-year correlation, SOR places #18 of the 32 assets tracked against EXG. Over the last 12 months EXG came out ahead by 10.8 percentage points (+22.0% 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.
EXG vs SOR: side by side
| EXG (Eaton Vance Tax-Managed Global Diversified Equity Income) | SOR (Source Capital, Inc. Cmn Shs of BI) | |
|---|---|---|
| 1-year return | +22.0% | +11.2% |
| 5-year return | +45.8% | +53.7% |
| Volatility (ann.) | 15.0% | 10.5% |
| Beta vs S&P 500 | 0.91 | 0.37 |
| Max drawdown (3Y) | -15.1% | -9.2% |
| Market cap | – | – |
| P/E (trailing) | 4.5 | 6.4 |
| Dividend yield | 0.00% | 5.36% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EXG | SOR |
|---|---|---|
| 2022 | -22.2% | -5.2% |
| 2023 | +11.4% | +12.6% |
| 2024 | +16.1% | +21.3% |
| 2025 | +27.8% | +11.5% |
| 2026 | +10.7% | +5.4% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EXG and SOR good diversifiers for each other?
To a limited degree. At 0.58 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 EXG and SOR?
As of 2026-08-27, the correlation of weekly returns between EXG and SOR is 0.58 over 3 years, 0.63 over 1 year and 0.68 over 5 years.
Is SOR a good diversifier for EXG?
To a limited degree. At 0.58 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 0.58 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/exg-vs-sor.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/exg-vs-sor/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: EXG correlations · SOR correlations
