Correlation Between ACRES Commercial and AG Mortgage
Can any of the company-specific risk be diversified away by investing in both ACRES Commercial and AG 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 AG 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 AG Mortgage Investment, you can compare the effects of market volatilities on ACRES Commercial and AG 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 AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACRES Commercial and AG Mortgage.
Diversification Opportunities for ACRES Commercial and AG Mortgage
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ACRES and MITT-PA is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding ACRES Commercial Realty and AG Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AG Mortgage Investment 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 AG Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AG Mortgage Investment has no effect on the direction of ACRES Commercial i.e., ACRES Commercial and AG Mortgage go up and down completely randomly.
Pair Corralation between ACRES Commercial and AG Mortgage
Assuming the 90 days trading horizon ACRES Commercial is expected to generate 7.6 times less return on investment than AG Mortgage. In addition to that, ACRES Commercial is 1.43 times more volatile than AG Mortgage Investment. It trades about 0.0 of its total potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.01 per unit of volatility. If you would invest 2,217 in AG Mortgage Investment on September 12, 2024 and sell it today you would earn a total of 3.00 from holding AG Mortgage Investment or generate 0.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ACRES Commercial Realty vs. AG Mortgage Investment
Performance |
| Timeline |
| ACRES Commercial Realty |
| AG Mortgage Investment |
ACRES Commercial and AG Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACRES Commercial and AG Mortgage
The main advantage of trading using opposite ACRES Commercial and AG Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACRES Commercial position performs unexpectedly, AG 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 AG Mortgage will offset losses from the drop in AG Mortgage's long position.| ACRES Commercial vs. ACRES Commercial Realty | ACRES Commercial vs. Dynex Capital | ACRES Commercial vs. PennyMac Mortgage Investment | ACRES Commercial vs. AG Mortgage Investment |
| AG Mortgage vs. New York Mortgage | AG Mortgage vs. New York Mortgage | AG Mortgage vs. Two Harbors Investment | AG Mortgage vs. Two Harbors 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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