AG Mortgage Correlations

MITT-PB Preferred Stock

USD 22.38 0.06 0.27%

The current 90-days correlation between AG Mortgage Investment and Cherry Hill Mortgage is -0.05 (i.e., Good diversification). The correlation of AG 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.

AG Mortgage Correlation With Market

Significant diversification

The correlation between AG Mortgage Investment and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to AG 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 AG 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 AG 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 AG Mortgage Investment to buy it.

Moving together with MITT-PB Preferred Stock

0.96	MITT-PA	AG Mortgage Investment	Pair Corr
0.83	MITT-PC	AG Mortgage Investment	Pair Corr
0.85	NREF-PA	NexPoint Real Estate	Pair Corr
0.87	LFT-PA	Lument Finance Trust	Pair Corr
0.68	ACR-PD	ACRES Commercial Realty	Pair Corr
0.85	ACR-PC	ACRES Commercial Realty	Pair Corr
0.67	SACH-PA	Sachem Capital Corp	Pair Corr
0.89	TRTX-PC	TPG RE Finance	Pair Corr
0.81	GPMT-PA	Granite Point Mortgage	Pair Corr
0.9	RC-PE	Ready Capital	Pair Corr
0.62	NLY-PI	Annaly Capital Management	Pair Corr
0.68	NLY-PF	Annaly Capital Management	Pair Corr
0.66	NLY-PG	Annaly Capital Management	Pair Corr
0.8	ABR-PF	Arbor Realty Trust	Pair Corr
0.95	ABR-PE	Arbor Realty Trust	Pair Corr
0.93	ABR-PD	Arbor Realty Trust	Pair Corr
0.73	RITM-PC	Rithm Capital Corp	Pair Corr
0.9	RITM-PD	Rithm Capital Corp	Pair Corr
0.77	RITM-PA	Rithm Capital Corp	Pair Corr
0.81	RITM-PB	Rithm Capital Corp	Pair Corr
0.8	NYMTZ	New York Mortgage	Pair Corr
0.94	NYMTN	New York Mortgage	Pair Corr
0.77	NYMTL	New York Mortgage	Pair Corr
0.76	NYMTM	New York Mortgage	Pair Corr
0.89	ARR-PC	ARMOUR Residential REIT	Pair Corr
0.9	CHMI-PA	Cherry Hill Mortgage	Pair Corr
0.87	CHMI-PB	Cherry Hill Mortgage	Pair Corr
0.91	TWO-PC	Two Harbors Investment	Pair Corr
0.76	TWO-PB	Two Harbors Investment	Pair Corr
0.9	TWO-PA	Two Harbors Investment	Pair Corr
0.68	MFA-PC	MFA Financial	Pair Corr
0.74	MFA-PB	MFA Financial	Pair Corr

Moving against MITT-PB Preferred Stock

0.72	MRTI	Maxus Realty Trust	Pair Corr
0.61	ECRO	Ecc Cap Corp	Pair Corr
0.53	EXETF	Extendicare	Pair Corr
0.44	DTLAP	Brookfield DTLA	Pair Corr

Related Correlations Analysis

	CHMI-PB	CIM-PD	PMT-PA	LFT-PA	PMT-PB	CIM-PA	CIM-PC
CHMI-PB		0.67	0.72	0.83	0.69	0.83	0.79	CHMI-PB
CIM-PD	0.67		0.41	0.76	0.31	0.39	0.82	CIM-PD
PMT-PA	0.72	0.41		0.76	0.89	0.77	0.59	PMT-PA
LFT-PA	0.83	0.76	0.76		0.74	0.78	0.81	LFT-PA
PMT-PB	0.69	0.31	0.89	0.74		0.85	0.45	PMT-PB
CIM-PA	0.83	0.39	0.77	0.78	0.85		0.6	CIM-PA
CIM-PC	0.79	0.82	0.59	0.81	0.45	0.6		CIM-PC
	CHMI-PB	CIM-PD	PMT-PA	LFT-PA	PMT-PB	CIM-PA	CIM-PC

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Risk-Adjusted Indicators

There is a big difference between MITT-PB Preferred Stock performing well and AG 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 AG 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
CHMI-PB	0.22	0.02	(0.20)	0.37	0.18	(0.26)	0.53	(0.40)	1.29
CIM-PD	0.26	0.03	(0.14)	2.78	0.26	(0.27)	0.57	(0.57)	1.56
PMT-PA	0.45	0.02	(0.11)	1.70	0.53	(0.55)	1.31	(0.77)	2.68
LFT-PA	0.81	0.15	0.07	0.61	0.69	(1.13)	2.35	(1.58)	6.14
PMT-PB	0.30	0.02	(0.16)	1.16	0.35	(0.31)	0.74	(0.68)	2.19
CIM-PA	0.56	0.03	(0.08)	(6.77)	0.73	(0.63)	1.14	(1.20)	2.78
CIM-PC	0.52	0.09	0.03	0.53	0.51	(0.57)	1.13	(0.97)	3.71

Be your own money manager

Our tools can tell you how much better you can do entering a position in AG 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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AG Mortgage Corporate Management

Anthony Rossiello	Treasurer CFO	Profile
Nicholas Smith	Chief Director	Profile
Andrew Parks	Chief Officer	Profile
Jenny Neslin	G Sec	Profile
Karen Werbel	Investor Relations	Profile
Thomas Durkin	Pres CEO	Profile

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