Correlation Between AGNC Investment and Blackstone Mortgage
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Blackstone 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 AGNC Investment and Blackstone Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGNC Investment Corp and Blackstone Mortgage Trust, you can compare the effects of market volatilities on AGNC Investment and Blackstone 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 AGNC Investment with a short position of Blackstone Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Blackstone Mortgage.
Diversification Opportunities for AGNC Investment and Blackstone Mortgage
0.23 | Correlation Coefficient |
Modest diversification
The 3 months correlation between AGNC and Blackstone is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Blackstone Mortgage Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackstone Mortgage Trust and AGNC Investment 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 AGNC Investment Corp are associated (or correlated) with Blackstone Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackstone Mortgage Trust has no effect on the direction of AGNC Investment i.e., AGNC Investment and Blackstone Mortgage go up and down completely randomly.
Pair Corralation between AGNC Investment and Blackstone Mortgage
Given the investment horizon of 90 days AGNC Investment is expected to generate 1.85 times less return on investment than Blackstone Mortgage. But when comparing it to its historical volatility, AGNC Investment Corp is 1.57 times less risky than Blackstone Mortgage. It trades about 0.06 of its potential returns per unit of risk. Blackstone Mortgage Trust is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,619 in Blackstone Mortgage Trust on August 24, 2024 and sell it today you would earn a total of 259.00 from holding Blackstone Mortgage Trust or generate 16.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.21% |
| Values | Daily Returns |
AGNC Investment Corp vs. Blackstone Mortgage Trust
Performance |
| Timeline |
| AGNC Investment Corp |
| Blackstone Mortgage Trust |
AGNC Investment and Blackstone Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Blackstone Mortgage
The main advantage of trading using opposite AGNC Investment and Blackstone Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Blackstone 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 Blackstone Mortgage will offset losses from the drop in Blackstone Mortgage's long position.| AGNC Investment vs. Two Harbors Investments | AGNC Investment vs. Chimera Investment | AGNC Investment vs. ARMOUR Residential REIT | AGNC Investment vs. Arbor Realty Trust |
| Blackstone Mortgage vs. Starwood Property Trust | Blackstone Mortgage vs. Rithm Capital Corp | Blackstone Mortgage vs. AGNC Investment Corp | Blackstone Mortgage vs. Ares Commercial Real |
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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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