Correlation Between AGNC Investment and Claros Mortgage
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Claros 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 Claros 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 Claros Mortgage Trust, you can compare the effects of market volatilities on AGNC Investment and Claros 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 Claros Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Claros Mortgage.
Diversification Opportunities for AGNC Investment and Claros Mortgage
-0.71 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between AGNC and Claros is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Claros Mortgage Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Claros 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 Claros Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Claros Mortgage Trust has no effect on the direction of AGNC Investment i.e., AGNC Investment and Claros Mortgage go up and down completely randomly.
Pair Corralation between AGNC Investment and Claros Mortgage
Assuming the 90 days horizon AGNC Investment is expected to generate 15.18 times less return on investment than Claros Mortgage. But when comparing it to its historical volatility, AGNC Investment Corp is 9.55 times less risky than Claros Mortgage. It trades about 0.09 of its potential returns per unit of risk. Claros Mortgage Trust is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 634.00 in Claros Mortgage Trust on August 27, 2024 and sell it today you would earn a total of 70.00 from holding Claros Mortgage Trust or generate 11.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. Claros Mortgage Trust
Performance |
| Timeline |
| AGNC Investment Corp |
| Claros Mortgage Trust |
AGNC Investment and Claros Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Claros Mortgage
The main advantage of trading using opposite AGNC Investment and Claros Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Claros 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 Claros Mortgage will offset losses from the drop in Claros Mortgage's long position.| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Invesco Mortgage Capital |
| Claros Mortgage vs. Ladder Capital Corp | Claros Mortgage vs. Invesco Mortgage Capital | Claros Mortgage vs. AGNC Investment Corp | Claros Mortgage vs. Invesco Mortgage Capital |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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