Ellington Financial Correlations

EFC Stock

USD 12.99 0.11 0.85%

The current 90-days correlation between Ellington Financial and Orchid Island Capital is 0.64 (i.e., Poor diversification). The correlation of Ellington Financial 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.

Ellington Financial Correlation With Market

Weak diversification

The correlation between Ellington Financial and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ellington Financial and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Ellington Financial. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in census.

For information on how to trade Ellington Stock refer to our How to Trade Ellington Stock guide.

Moving together with Ellington Stock

0.91	V	Visa Class A	Pair Corr
0.95	DX	Dynex Capital	Pair Corr
0.83	MA	Mastercard Sell-off Trend	Pair Corr
0.92	GCMGW	GCM Grosvenor	Pair Corr
0.84	ENVA	Enova International	Pair Corr
0.92	FDUS	Fidus Investment Corp	Pair Corr
0.74	ARI	Apollo Commercial Real	Pair Corr
0.63	ARR	ARMOUR Residential REIT Sell-off Trend	Pair Corr
0.78	AXP	American Express	Pair Corr
0.84	COF	Capital One Financial	Pair Corr
0.86	DFS	Discover Financial	Pair Corr
0.85	FRHC	Freedom Holding Corp	Pair Corr
0.91	FSK	FS KKR Capital	Pair Corr
0.92	ORC	Orchid Island Capital	Pair Corr
0.92	SCM	Stellus Capital Inve Normal Trading	Pair Corr
0.61	STT	State Street Corp	Pair Corr

Moving against Ellington Stock

0.76	VRTS	Virtus Investment	Pair Corr
0.64	TW	Tradeweb Markets	Pair Corr
0.63	WULF	Terawulf	Pair Corr
0.44	RC	Ready Capital Corp	Pair Corr
0.44	ABR	Arbor Realty Trust	Pair Corr
0.43	LGHLW	Lion Financial Group	Pair Corr
0.43	AMG	Affiliated Managers	Pair Corr
0.32	BX	Blackstone Group	Pair Corr
0.46	HUT	Hut 8 Corp	Pair Corr
0.34	TPG	TPG Inc	Pair Corr
0.32	BLK	BlackRock	Pair Corr

Related Correlations Analysis

	EARN	ORC	BRMK	ARR	DX	ACRE	CHMI	TWO	AGNC	IVR
EARN		0.42	0.0	0.63	0.44	0.02	0.15	0.34	0.36	0.51	EARN
ORC	0.42		0.0	0.73	0.97	-0.58	0.8	0.96	0.91	0.93	ORC
BRMK	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	BRMK
ARR	0.63	0.73	0.0		0.7	-0.15	0.47	0.67	0.65	0.83	ARR
DX	0.44	0.97	0.0	0.7		-0.59	0.86	0.97	0.94	0.94	DX
ACRE	0.02	-0.58	0.0	-0.15	-0.59		-0.6	-0.54	-0.4	-0.41	ACRE
CHMI	0.15	0.8	0.0	0.47	0.86	-0.6		0.89	0.84	0.79	CHMI
TWO	0.34	0.96	0.0	0.67	0.97	-0.54	0.89		0.96	0.92	TWO
AGNC	0.36	0.91	0.0	0.65	0.94	-0.4	0.84	0.96		0.9	AGNC
IVR	0.51	0.93	0.0	0.83	0.94	-0.41	0.79	0.92	0.9		IVR
	EARN	ORC	BRMK	ARR	DX	ACRE	CHMI	TWO	AGNC	IVR

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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

DX	+ 0.97	ORC
TWO	+ 0.97	DX
TWO	+ 0.96	ORC
AGNC	+ 0.96	TWO
AGNC	+ 0.94	DX
IVR	+ 0.94	DX

High negative correlations

CHMI	- 0.6	ACRE
ACRE	- 0.59	DX
ACRE	- 0.58	ORC
TWO	- 0.54	ACRE
IVR	- 0.41	ACRE
AGNC	- 0.4	ACRE

Risk-Adjusted Indicators

There is a big difference between Ellington Stock performing well and Ellington Financial 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 Ellington Financial'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
EARN	0.94	0.03	0.02	0.05	1.15	(1.00)	1.88	(2.03)	5.11
ORC	0.82	0.22	0.23	1.69	0.67	(0.93)	1.93	(1.56)	6.76
BRMK	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ARR	0.77	0.06	0.06	0.21	0.95	(0.79)	1.62	(1.99)	4.61
DX	0.68	0.18	0.21	0.47	0.62	(0.81)	1.56	(1.13)	3.10
ACRE	1.88	(0.45)	0.00	(0.46)	0.00	0.00	2.99	(4.93)	16.58
CHMI	1.81	0.25	0.09	0.34	2.41	(2.07)	4.18	(2.86)	13.17
TWO	1.04	0.25	0.22	0.43	0.90	(1.24)	2.25	(1.60)	7.92
AGNC	0.75	0.17	0.16	0.40	0.76	(0.86)	1.72	(1.29)	4.40
IVR	1.11	0.16	0.11	0.30	1.27	(1.24)	2.32	(1.57)	8.74

Ellington Financial Corporate Management

Daniel JD	General Counsel	Profile
Jason Frank	Deputy Sec	Profile
Christopher CPA	Chief Officer	Profile
Daniel Margolis	General Counsel	Profile

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