AG Mortgage Correlations

MITT Stock

USD 6.53 0.06 0.93%

The current 90-days correlation between AG Mortgage Investment and Ellington Residential Mortgage is 0.45 (i.e., Very weak 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. If the correlation is 0, the equities are not correlated; they are entirely random.

AG Mortgage Correlation With Market

Good diversification

The correlation between AG Mortgage Investment and DJI is -0.06 (i.e., Good 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.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in AG Mortgage Investment. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with MITT Stock

0.69	WU	Western Union Sell-off Trend	Pair Corr
0.62	ARR	ARMOUR Residential REIT	Pair Corr
0.76	CIM	Chimera Investment	Pair Corr
0.75	HPH	Highest Performances Symbol Change	Pair Corr
0.75	MFA	MFA Financial	Pair Corr

Moving against MITT Stock

0.71	ACR	Acres Commercial Realty	Pair Corr
0.64	V	Visa Class A	Pair Corr
0.63	FDUS	Fidus Investment Corp	Pair Corr
0.58	EZPW	EZCORP Inc Earnings Call This Week	Pair Corr
0.43	CG	Carlyle Group	Pair Corr
0.36	ECPG	Encore Capital Group	Pair Corr
0.34	LGHLW	Lion Financial Group	Pair Corr
0.75	DFS	Discover Financial	Pair Corr
0.73	COF	Capital One Financial Earnings Call Tomorrow	Pair Corr
0.6	AXP	American Express Earnings Call This Week	Pair Corr
0.6	FSK	FS KKR Capital	Pair Corr
0.53	FRHC	Freedom Holding Corp	Pair Corr
0.52	AMP	Ameriprise Financial Earnings Call Today	Pair Corr
0.44	ARI	Apollo Commercial Real	Pair Corr

Related Correlations Analysis

	NYMT	EARN	IVR	TRTX	RWT	TWO	MFA	EFC	BRMK
NYMT		0.27	0.21	0.56	-0.6	-0.47	-0.69	0.18	0.25	NYMT
EARN	0.27		0.74	0.04	0.13	0.54	0.04	0.69	0.59	EARN
IVR	0.21	0.74		-0.1	0.28	0.71	0.23	0.71	0.57	IVR
TRTX	0.56	0.04	-0.1		-0.08	-0.52	-0.2	-0.04	-0.28	TRTX
RWT	-0.6	0.13	0.28	-0.08		0.56	0.94	0.06	-0.3	RWT
TWO	-0.47	0.54	0.71	-0.52	0.56		0.58	0.61	0.42	TWO
MFA	-0.69	0.04	0.23	-0.2	0.94	0.58		-0.03	-0.32	MFA
EFC	0.18	0.69	0.71	-0.04	0.06	0.61	-0.03		0.6	EFC
BRMK	0.25	0.59	0.57	-0.28	-0.3	0.42	-0.32	0.6		BRMK
	NYMT	EARN	IVR	TRTX	RWT	TWO	MFA	EFC	BRMK

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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

MFA	+ 0.94	RWT
IVR	+ 0.74	EARN
TWO	+ 0.71	IVR
EFC	+ 0.71	IVR
EFC	+ 0.69	EARN
EFC	+ 0.61	TWO

High negative correlations

MFA	- 0.69	NYMT
RWT	- 0.6	NYMT
TWO	- 0.52	TRTX
TWO	- 0.47	NYMT
BRMK	- 0.32	MFA
BRMK	- 0.3	RWT

Risk-Adjusted Indicators

There is a big difference between MITT 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
NYMT	1.70	0.18	0.07	17.14	2.05	(1.80)	3.44	(3.34)	9.37
EARN	1.09	0.02	0.00	0.14	1.25	(1.20)	2.00	(2.16)	6.31
IVR	1.17	(0.01)	0.00	(0.08)	0.00	0.00	2.33	(2.91)	8.74
TRTX	1.08	0.05	0.02	0.21	1.40	(1.15)	2.02	(2.16)	9.77
RWT	1.21	(0.19)	0.00	(1.71)	0.00	0.00	2.29	(3.00)	8.04
TWO	1.05	(0.06)	0.00	(0.14)	0.00	0.00	1.97	(2.21)	8.50
MFA	1.15	(0.26)	0.00	(1.76)	0.00	0.00	2.08	(3.67)	8.74
EFC	0.68	0.04	0.02	0.29	0.80	(0.76)	1.46	(1.22)	5.86
BRMK	1.63	(0.05)	0.00	(0.14)	0.00	0.00	3.02	(4.08)	8.68

AG Mortgage Corporate Management

Emily Boldt	Controller	Profile
T Durkin	Chief Investment Officer	Profile
Andrew Parks	Chief Risk Officer	Profile
Jenny Neslin	General Counsel, Company Secretary	Profile
Karen Werbel	Investor Relations	Profile

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