Invesco Mortgage Correlations

IVR Stock

USD 8.20 0.09 1.11%

The current 90-days correlation between Invesco Mortgage Capital and MFA Financial is 0.65 (i.e., Poor 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Invesco Mortgage Correlation With Market

Modest diversification

The correlation between Invesco Mortgage Capital and DJI is 0.2 (i.e., Modest 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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Invesco Mortgage Capital. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in real.

Moving together with Invesco Stock

0.66

Western Union

Pair Corr

Moving against Invesco Stock

0.56	LC	LendingClub Corp	Pair Corr
0.45	GS	Goldman Sachs Group Fiscal Year End 21st of January 2025	Pair Corr
0.44	DIST	Distoken Acquisition	Pair Corr
0.43	V	Visa Class A	Pair Corr
0.43	MS	Morgan Stanley Sell-off Trend	Pair Corr
0.39	WT	WisdomTree	Pair Corr
0.33	SF	Stifel Financial Earnings Call This Week	Pair Corr
0.31	QD	Qudian Inc	Pair Corr
0.67	TETEU	Technology Telecommunicatio	Pair Corr
0.53	DUET	DUET Acquisition Corp	Pair Corr
0.53	VINP	Vinci Partners Inves	Pair Corr
0.42	VRTS	Virtus Investment	Pair Corr
0.36	ROCLW	Roth CH Acquisition	Pair Corr
0.33	VCTR	Victory Capital Holdings Sell-off Trend	Pair Corr

Related Correlations Analysis

	MFA	TWO	NYMT	ARR	CIM
MFA		0.62	0.11	0.64	0.83	MFA
TWO	0.62		0.5	0.9	0.51	TWO
NYMT	0.11	0.5		0.56	0.13	NYMT
ARR	0.64	0.9	0.56		0.68	ARR
CIM	0.83	0.51	0.13	0.68		CIM
	MFA	TWO	NYMT	ARR	CIM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Invesco 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	1.08	(0.04)	0.00	0.54	0.00	0.00	1.73	(2.53)	9.82
TWO	0.95	(0.26)	0.00	(0.27)	0.00	0.00	1.56	(2.21)	8.41
NYMT	1.38	(0.16)	0.00	(0.10)	0.00	0.00	2.48	(3.32)	7.18
ARR	0.75	(0.10)	0.00	(0.12)	0.00	0.00	1.47	(2.02)	4.86
CIM	1.02	(0.07)	(0.07)	0.02	1.52	(1.01)	1.80	(2.36)	8.55

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC