Invesco Mortgage Correlations

IVR-PC Preferred Stock

USD 23.80 0.10 0.42%

The current 90-days correlation between Invesco Mortgage Capital and MFA Financial is 0.37 (i.e., Weak diversification). The correlation of Invesco 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.

Invesco Mortgage Correlation With Market

Average diversification

The correlation between Invesco Mortgage Capital and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Mortgage Capital and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Invesco Mortgage could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco Mortgage when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco Mortgage - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco Mortgage Capital to buy it.

Moving against Invesco Preferred Stock

0.47	RITM-PC	Rithm Capital Corp	Pair Corr
0.39	GPMT-PA	Granite Point Mortgage	Pair Corr
0.38	ACR-PC	ACRES Commercial Realty	Pair Corr
0.38	IVR-PB	Invesco Mortgage Capital	Pair Corr
0.35	ACR-PD	ACRES Commercial Realty	Pair Corr
0.34	RITM-PB	Rithm Capital Corp	Pair Corr
0.33	ABR-PF	Arbor Realty Trust	Pair Corr
0.32	LFT-PA	Lument Finance Trust	Pair Corr
0.31	RITM-PD	Rithm Capital Corp	Pair Corr
0.49	NYMTL	New York Mortgage	Pair Corr
0.47	CIM-PD	Chimera Investment	Pair Corr
0.42	NYMTM	New York Mortgage	Pair Corr
0.39	CIM-PC	Chimera Investment	Pair Corr
0.38	AGNCM	AGNC Investment Corp	Pair Corr
0.36	AMEN	AMEN Properties	Pair Corr
0.35	CIM-PB	Chimera Investment	Pair Corr
0.31	AGNCO	AGNC Investment Corp	Pair Corr

Related Correlations Analysis

	MFA-PB	TWO-PA	CIM-PB	CIM-PD	AGNCN	IVR-PB	NLY-PG	CIM-PC	PMT-PB
MFA-PB		0.73	0.19	-0.05	0.19	0.06	0.19	0.17	0.78	MFA-PB
TWO-PA	0.73		0.65	0.45	0.64	0.26	0.63	0.53	0.88	TWO-PA
CIM-PB	0.19	0.65		0.93	0.92	0.65	0.89	0.84	0.48	CIM-PB
CIM-PD	-0.05	0.45	0.93		0.87	0.72	0.85	0.83	0.26	CIM-PD
AGNCN	0.19	0.64	0.92	0.87		0.6	0.85	0.77	0.43	AGNCN
IVR-PB	0.06	0.26	0.65	0.72	0.6		0.58	0.74	0.08	IVR-PB
NLY-PG	0.19	0.63	0.89	0.85	0.85	0.58		0.72	0.48	NLY-PG
CIM-PC	0.17	0.53	0.84	0.83	0.77	0.74	0.72		0.35	CIM-PC
PMT-PB	0.78	0.88	0.48	0.26	0.43	0.08	0.48	0.35		PMT-PB
	MFA-PB	TWO-PA	CIM-PB	CIM-PD	AGNCN	IVR-PB	NLY-PG	CIM-PC	PMT-PB

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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

CIM-PD	+ 0.93	CIM-PB
AGNCN	+ 0.92	CIM-PB
NLY-PG	+ 0.89	CIM-PB
PMT-PB	+ 0.88	TWO-PA
AGNCN	+ 0.87	CIM-PD
NLY-PG	+ 0.85	CIM-PD

High negative correlations

CIM-PD

- 0.05

MFA-PB

Risk-Adjusted Indicators

There is a big difference between Invesco Preferred Stock performing well and Invesco 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 Invesco 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
MFA-PB	0.60	0.07	(0.06)	1.23	0.53	(0.67)	1.40	(0.98)	3.29
TWO-PA	0.39	0.03	(0.18)	(0.79)	0.42	(0.45)	0.89	(0.69)	2.69
CIM-PB	0.27	0.04	(0.24)	(0.44)	0.23	(0.31)	0.59	(0.56)	1.65
CIM-PD	0.26	0.02	(0.25)	6.56	0.30	(0.27)	0.57	(0.57)	1.56
AGNCN	0.30	0.03	(0.28)	(0.49)	0.28	(0.35)	0.63	(0.58)	2.32
IVR-PB	0.49	0.02	(0.13)	0.32	0.55	(0.56)	1.50	(1.00)	4.56
NLY-PG	0.19	0.02	(0.28)	(1.63)	0.27	(0.21)	0.44	(0.31)	1.77
CIM-PC	0.52	0.09	(0.01)	0.63	0.51	(0.56)	1.13	(0.97)	3.71
PMT-PB	0.30	0.02	(0.24)	0.80	0.36	(0.31)	0.74	(0.68)	2.19

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Our tools can tell you how much better you can do entering a position in Invesco Mortgage without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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