Orchid Island Correlations

ORC Stock

USD 7.88 0.09 1.13%

The current 90-days correlation between Orchid Island Capital and AGNC Investment Corp is 0.07 (i.e., Significant diversification). The correlation of Orchid Island 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.

Orchid Island Correlation With Market

Good diversification

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

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Orchid Island 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 metropolitan statistical area.

Moving together with Orchid Stock

0.73	V	Visa Class A	Pair Corr
0.91	DX	Dynex Capital	Pair Corr
0.65	EARN	Ellington Residential	Pair Corr
0.85	FDUS	Fidus Investment Corp	Pair Corr
0.65	APO	Apollo Global Management Earnings Call This Week	Pair Corr
0.64	ARR	ARMOUR Residential REIT	Pair Corr
0.8	AXP	American Express	Pair Corr
0.61	COF	Capital One Financial	Pair Corr
0.68	DFS	Discover Financial	Pair Corr
0.69	EFC	Ellington Financial	Pair Corr
0.74	OPY	Oppenheimer Holdings	Pair Corr
0.73	SYF	Synchrony Financial	Pair Corr
0.76	GCMG	GCM Grosvenor	Pair Corr

Moving against Orchid Stock

0.59	WD	Walker Dunlop	Pair Corr
0.31	WU	Western Union Earnings Call This Week	Pair Corr
0.74	RKT	Rocket Companies	Pair Corr
0.82	MKTX	MarketAxess Holdings	Pair Corr
0.66	KREF	KKR Real Estate Earnings Call This Week	Pair Corr

Related Correlations Analysis

	AGNC	TWO	IVR	CIM	DX	EARN	ARR	BRMK	NYMT	EFC
AGNC		0.71	0.75	0.09	0.7	0.46	0.33	0.18	0.36	0.83	AGNC
TWO	0.71		0.72	0.18	0.53	0.48	0.41	0.52	-0.03	0.74	TWO
IVR	0.75	0.72		0.06	0.77	0.68	0.65	0.33	0.57	0.76	IVR
CIM	0.09	0.18	0.06		-0.19	0.08	0.24	0.03	-0.36	-0.09	CIM
DX	0.7	0.53	0.77	-0.19		0.65	0.6	0.38	0.64	0.79	DX
EARN	0.46	0.48	0.68	0.08	0.65		0.77	0.38	0.48	0.53	EARN
ARR	0.33	0.41	0.65	0.24	0.6	0.77		0.18	0.39	0.35	ARR
BRMK	0.18	0.52	0.33	0.03	0.38	0.38	0.18		-0.05	0.36	BRMK
NYMT	0.36	-0.03	0.57	-0.36	0.64	0.48	0.39	-0.05		0.41	NYMT
EFC	0.83	0.74	0.76	-0.09	0.79	0.53	0.35	0.36	0.41		EFC
	AGNC	TWO	IVR	CIM	DX	EARN	ARR	BRMK	NYMT	EFC

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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

EFC	+ 0.83	AGNC
EFC	+ 0.79	DX
DX	+ 0.77	IVR
ARR	+ 0.77	EARN
EFC	+ 0.76	IVR
IVR	+ 0.75	AGNC

High negative correlations

NYMT	- 0.36	CIM
DX	- 0.19	CIM
EFC	- 0.09	CIM
NYMT	- 0.05	BRMK
NYMT	- 0.03	TWO

Risk-Adjusted Indicators

There is a big difference between Orchid Stock performing well and Orchid Island 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 Orchid Island'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
AGNC	0.86	0.04	(0.01)	0.18	1.08	(0.95)	1.72	(1.84)	4.51
TWO	1.13	(0.04)	(0.05)	0.01	1.60	(1.21)	2.25	(2.21)	6.57
IVR	1.11	(0.01)	(0.04)	0.08	1.44	(1.18)	2.21	(1.81)	8.74
CIM	1.04	(0.06)	0.00	(1.49)	0.00	0.00	1.89	(3.19)	6.51
DX	0.65	0.09	0.01	1.51	0.75	(0.70)	1.13	(1.42)	3.57
EARN	1.08	(0.05)	0.00	(0.27)	0.00	0.00	2.00	(2.16)	6.31
ARR	0.79	(0.03)	0.00	(1.70)	0.00	0.00	1.67	(2.02)	4.68
BRMK	1.63	(0.01)	0.00	0.12	0.00	0.00	3.02	(4.08)	8.68
NYMT	1.60	0.25	0.09	0.95	1.84	(1.74)	3.44	(2.88)	9.37
EFC	0.69	0.00	(0.06)	0.10	0.86	(0.73)	1.42	(1.22)	5.86

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