Correlation Between ACRES Commercial and Invesco Mortgage
Can any of the company-specific risk be diversified away by investing in both ACRES Commercial and Invesco Mortgage 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 Invesco Mortgage 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 Invesco Mortgage Capital, you can compare the effects of market volatilities on ACRES Commercial and Invesco Mortgage 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 Invesco Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACRES Commercial and Invesco Mortgage.
Diversification Opportunities for ACRES Commercial and Invesco Mortgage
-0.35 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ACRES and Invesco is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding ACRES Commercial Realty and Invesco Mortgage Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Mortgage Capital 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 Invesco Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Mortgage Capital has no effect on the direction of ACRES Commercial i.e., ACRES Commercial and Invesco Mortgage go up and down completely randomly.
Pair Corralation between ACRES Commercial and Invesco Mortgage
Assuming the 90 days trading horizon ACRES Commercial Realty is expected to generate 1.47 times more return on investment than Invesco Mortgage. However, ACRES Commercial is 1.47 times more volatile than Invesco Mortgage Capital. It trades about 0.0 of its potential returns per unit of risk. Invesco Mortgage Capital is currently generating about -0.21 per unit of risk. If you would invest 2,282 in ACRES Commercial Realty on August 27, 2024 and sell it today you would lose (2.00) from holding ACRES Commercial Realty or give up 0.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ACRES Commercial Realty vs. Invesco Mortgage Capital
Performance |
| Timeline |
| ACRES Commercial Realty |
| Invesco Mortgage Capital |
ACRES Commercial and Invesco Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACRES Commercial and Invesco Mortgage
The main advantage of trading using opposite ACRES Commercial and Invesco Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACRES Commercial position performs unexpectedly, Invesco Mortgage 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 Invesco Mortgage will offset losses from the drop in Invesco Mortgage's long position.The idea behind ACRES Commercial Realty and Invesco Mortgage Capital pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Invesco Mortgage vs. MFA Financial | Invesco Mortgage vs. Two Harbors Investment | Invesco Mortgage vs. Chimera Investment | Invesco Mortgage 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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