Blackstone Mortgage Correlations

BXMT Stock

USD 18.95 0.29 1.55%

The current 90-days correlation between Blackstone Mortgage Trust and Starwood Property Trust is 0.69 (i.e., Poor diversification). The correlation of Blackstone Mortgage 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.

Blackstone Mortgage Correlation With Market

Weak diversification

The correlation between Blackstone Mortgage Trust and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blackstone Mortgage Trust 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 Blackstone Mortgage Trust. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Blackstone Stock

0.76

Dynex Capital

Pair Corr

Moving against Blackstone Stock

0.55	BRACU	Broad Capital Acquisition	Pair Corr
0.5	PFTAU	Portage Fintech Acqu	Pair Corr
0.39	EMCGU	Embrace Change Acqui	Pair Corr
0.38	VINP	Vinci Partners Inves	Pair Corr

Related Correlations Analysis

	STWD	RITM	AGNC	ACRE	ABR	RC	TWO	ARI	EARN
STWD		0.32	0.51	0.21	0.3	0.31	0.41	-0.05	0.6	STWD
RITM	0.32		0.47	0.58	-0.54	0.88	0.73	0.79	0.44	RITM
AGNC	0.51	0.47		0.29	0.03	0.45	0.78	0.05	0.75	AGNC
ACRE	0.21	0.58	0.29		0.09	0.49	0.2	0.34	0.2	ACRE
ABR	0.3	-0.54	0.03	0.09		-0.6	-0.42	-0.83	-0.02	ABR
RC	0.31	0.88	0.45	0.49	-0.6		0.72	0.84	0.43	RC
TWO	0.41	0.73	0.78	0.2	-0.42	0.72		0.48	0.76	TWO
ARI	-0.05	0.79	0.05	0.34	-0.83	0.84	0.48		0.13	ARI
EARN	0.6	0.44	0.75	0.2	-0.02	0.43	0.76	0.13		EARN
	STWD	RITM	AGNC	ACRE	ABR	RC	TWO	ARI	EARN

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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

RC	+ 0.88	RITM
ARI	+ 0.84	RC
ARI	+ 0.79	RITM
TWO	+ 0.78	AGNC
EARN	+ 0.76	TWO
EARN	+ 0.75	AGNC

High negative correlations

ARI	- 0.83	ABR
RC	- 0.6	ABR
ABR	- 0.54	RITM
TWO	- 0.42	ABR
ARI	- 0.05	STWD
EARN	- 0.02	ABR

Risk-Adjusted Indicators

There is a big difference between Blackstone Stock performing well and Blackstone Mortgage 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 Blackstone Mortgage'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
STWD	0.77	(0.03)	(0.08)	0.04	1.29	(0.72)	1.45	(1.94)	5.81
RITM	0.78	(0.11)	0.00	(0.04)	0.00	0.00	1.52	(1.85)	6.70
AGNC	0.82	(0.03)	(0.09)	(0.03)	1.28	(0.78)	1.49	(2.10)	5.49
ACRE	1.38	0.02	0.00	0.14	1.68	(1.52)	2.88	(2.67)	13.22
ABR	1.16	0.12	0.06	0.30	1.25	(1.25)	2.38	(2.19)	6.99
RC	1.28	(0.27)	0.00	(0.13)	0.00	0.00	2.95	(2.57)	8.18
TWO	0.95	(0.26)	0.00	(0.27)	0.00	0.00	1.56	(2.21)	8.41
ARI	0.95	(0.17)	0.00	(0.21)	0.00	0.00	2.23	(2.25)	8.89
EARN	0.85	(0.01)	(0.08)	0.10	0.97	(1.01)	1.92	(1.85)	5.24

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