Ellington Financial Correlations

EFC Stock

USD 12.59 0.14 1.12%

The current 90-days correlation between Ellington Financial and Orchid Island Capital is 0.69 (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

Modest diversification

The correlation between Ellington Financial and DJI is 0.26 (i.e., Modest 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

0.73	CG	Carlyle Group Earnings Call This Week	Pair Corr
0.83	DX	Dynex Capital	Pair Corr
0.61	EARN	Ellington Residential	Pair Corr
0.75	FDUS	Fidus Investment Corp	Pair Corr
0.69	AXP	American Express	Pair Corr
0.64	DFS	Discover Financial	Pair Corr
0.64	KKR	KKR Co LP Earnings Call This Week	Pair Corr
0.76	ORC	Orchid Island Capital	Pair Corr
0.61	RJF	Raymond James Financial	Pair Corr
0.78	GCMG	GCM Grosvenor	Pair Corr

Moving against Ellington Stock

0.34	WD	Walker Dunlop	Pair Corr
0.32	RKT	Rocket Companies	Pair Corr
0.48	MKTX	MarketAxess Holdings	Pair Corr
0.38	MITT	AG Mortgage Investment	Pair Corr

Related Correlations Analysis

	EARN	ORC	BRMK	ARR	DX	ACRE	CHMI	TWO	AGNC	IVR
EARN		0.65	0.38	0.77	0.65	0.11	-0.26	0.53	0.59	0.61	EARN
ORC	0.65		0.3	0.64	0.91	-0.2	-0.34	0.33	0.59	0.64	ORC
BRMK	0.38	0.3		0.18	0.38	-0.63	0.24	0.56	0.19	0.34	BRMK
ARR	0.77	0.64	0.18		0.6	0.2	-0.15	0.55	0.56	0.73	ARR
DX	0.65	0.91	0.38	0.6		-0.3	-0.11	0.47	0.72	0.65	DX
ACRE	0.11	-0.2	-0.63	0.2	-0.3		-0.34	-0.22	0.1	-0.13	ACRE
CHMI	-0.26	-0.34	0.24	-0.15	-0.11	-0.34		0.46	0.09	0.08	CHMI
TWO	0.53	0.33	0.56	0.55	0.47	-0.22	0.46		0.65	0.54	TWO
AGNC	0.59	0.59	0.19	0.56	0.72	0.1	0.09	0.65		0.55	AGNC
IVR	0.61	0.64	0.34	0.73	0.65	-0.13	0.08	0.54	0.55		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	+ 0.91	ORC
ARR	+ 0.77	EARN
IVR	+ 0.73	ARR
AGNC	+ 0.72	DX
ORC	+ 0.65	EARN
DX	+ 0.65	EARN

High negative correlations

ACRE	- 0.63	BRMK
CHMI	- 0.34	ACRE
CHMI	- 0.34	ORC
ACRE	- 0.3	DX
CHMI	- 0.26	EARN
TWO	- 0.22	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	1.08	(0.08)	0.00	(0.07)	0.00	0.00	2.00	(2.16)	6.31
ORC	0.79	0.06	0.00	0.32	0.91	(0.86)	1.41	(1.68)	4.16
BRMK	1.63	(0.02)	0.00	0.13	0.00	0.00	3.02	(4.08)	8.68
ARR	0.79	(0.05)	0.00	(0.13)	0.00	0.00	1.67	(2.02)	4.68
DX	0.65	0.07	0.02	0.31	0.75	(0.70)	1.13	(1.42)	3.57
ACRE	1.75	(0.19)	0.00	(0.21)	0.00	0.00	3.87	(3.82)	15.68
CHMI	1.65	0.01	(0.03)	0.01	2.33	(1.95)	3.56	(2.86)	12.41
TWO	1.05	(0.11)	0.00	(0.16)	0.00	0.00	1.97	(2.21)	8.11
AGNC	0.83	0.01	(0.03)	0.09	1.08	(0.90)	1.70	(1.84)	4.51
IVR	1.10	0.05	(0.02)	1.75	1.43	(1.19)	2.33	(1.81)	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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