Correlation Between ACRES Commercial and Western Asset
Can any of the company-specific risk be diversified away by investing in both ACRES Commercial and Western Asset at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining ACRES Commercial and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ACRES Commercial Realty and Western Asset Mortgage, you can compare the effects of market volatilities on ACRES Commercial and Western Asset and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in ACRES Commercial with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACRES Commercial and Western Asset.
Diversification Opportunities for ACRES Commercial and Western Asset
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ACRES and Western is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding ACRES Commercial Realty and Western Asset Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Mortgage and ACRES Commercial is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on ACRES Commercial Realty are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Mortgage has no effect on the direction of ACRES Commercial i.e., ACRES Commercial and Western Asset go up and down completely randomly.
Pair Corralation between ACRES Commercial and Western Asset
Assuming the 90 days trading horizon ACRES Commercial is expected to generate 2.89 times less return on investment than Western Asset. But when comparing it to its historical volatility, ACRES Commercial Realty is 2.55 times less risky than Western Asset. It trades about 0.12 of its potential returns per unit of risk. Western Asset Mortgage is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 879.00 in Western Asset Mortgage on August 31, 2024 and sell it today you would earn a total of 78.00 from holding Western Asset Mortgage or generate 8.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 8.56% |
| Values | Daily Returns |
ACRES Commercial Realty vs. Western Asset Mortgage
Performance |
| Timeline |
| ACRES Commercial Realty |
| Western Asset Mortgage |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
ACRES Commercial and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACRES Commercial and Western Asset
The main advantage of trading using opposite ACRES Commercial and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACRES Commercial position performs unexpectedly, Western Asset can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Western Asset will offset losses from the drop in Western Asset's long position.| ACRES Commercial vs. ACRES Commercial Realty | ACRES Commercial vs. Chimera Investment | ACRES Commercial vs. Cherry Hill Mortgage |
| Western Asset vs. Granite Point Mortgage | Western Asset vs. Invesco Mortgage Capital | Western Asset vs. Ellington Residential Mortgage | Western Asset vs. Chimera Investment |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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