ARMOUR Residential Correlations

ARR Stock

USD 18.51 0.04 0.22%

The current 90-days correlation between ARMOUR Residential REIT and Ellington Financial is 0.05 (i.e., Significant diversification). The correlation of ARMOUR Residential is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

ARMOUR Residential Correlation With Market

Significant diversification

The correlation between ARMOUR Residential REIT and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ARMOUR Residential REIT and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in ARMOUR Residential REIT. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with ARMOUR Stock

0.77	EARN	Ellington Residential	Pair Corr
0.64	ORC	Orchid Island Capital	Pair Corr

Related Correlations Analysis

	EFC	TWO	DX	EARN	NLY	ABR	CIM	ORC	IVR	NYMT
EFC		0.74	0.79	0.53	0.74	-0.4	-0.09	0.69	0.76	0.41	EFC
TWO	0.74		0.53	0.48	0.57	-0.19	0.18	0.35	0.72	-0.03	TWO
DX	0.79	0.53		0.65	0.56	-0.64	-0.19	0.91	0.77	0.64	DX
EARN	0.53	0.48	0.65		0.33	-0.21	0.08	0.65	0.68	0.48	EARN
NLY	0.74	0.57	0.56	0.33		0.03	0.24	0.38	0.65	0.33	NLY
ABR	-0.4	-0.19	-0.64	-0.21	0.03		0.59	-0.62	-0.24	-0.36	ABR
CIM	-0.09	0.18	-0.19	0.08	0.24	0.59		-0.28	0.06	-0.36	CIM
ORC	0.69	0.35	0.91	0.65	0.38	-0.62	-0.28		0.67	0.72	ORC
IVR	0.76	0.72	0.77	0.68	0.65	-0.24	0.06	0.67		0.57	IVR
NYMT	0.41	-0.03	0.64	0.48	0.33	-0.36	-0.36	0.72	0.57		NYMT
	EFC	TWO	DX	EARN	NLY	ABR	CIM	ORC	IVR	NYMT

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ORC	+ 0.91	DX
DX	+ 0.79	EFC
IVR	+ 0.77	DX
IVR	+ 0.76	EFC
TWO	+ 0.74	EFC
NLY	+ 0.74	EFC

High negative correlations

ABR	- 0.64	DX
ORC	- 0.62	ABR
ABR	- 0.4	EFC
NYMT	- 0.36	CIM
NYMT	- 0.36	ABR
ORC	- 0.28	CIM

Risk-Adjusted Indicators

There is a big difference between ARMOUR Stock performing well and ARMOUR Residential Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze ARMOUR Residential's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
EFC	0.69	0.00	(0.06)	0.10	0.86	(0.73)	1.42	(1.22)	5.86
TWO	1.13	(0.04)	(0.05)	0.01	1.60	(1.21)	2.25	(2.21)	6.57
DX	0.65	0.09	0.01	1.51	0.75	(0.70)	1.13	(1.42)	3.57
EARN	1.08	(0.05)	0.00	(0.27)	0.00	0.00	2.00	(2.16)	6.31
NLY	0.92	0.07	0.02	0.23	0.96	(1.10)	2.18	(1.66)	5.42
ABR	1.06	(0.20)	0.00	(0.39)	0.00	0.00	1.64	(2.21)	6.36
CIM	1.04	(0.06)	0.00	(1.49)	0.00	0.00	1.89	(3.19)	6.51
ORC	0.79	0.08	(0.01)	(1.75)	0.91	(0.86)	1.41	(1.68)	4.16
IVR	1.11	(0.01)	(0.04)	0.08	1.44	(1.18)	2.21	(1.81)	8.74
NYMT	1.60	0.25	0.09	0.95	1.84	(1.74)	3.44	(2.88)	9.37

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