Correlation Between Great Ajax and Claros Mortgage
Can any of the company-specific risk be diversified away by investing in both Great Ajax 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 Great Ajax and Claros Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Great Ajax Corp and Claros Mortgage Trust, you can compare the effects of market volatilities on Great Ajax 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 Great Ajax with a short position of Claros Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Great Ajax and Claros Mortgage.
Diversification Opportunities for Great Ajax and Claros Mortgage
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Great and Claros is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Great Ajax 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 Great Ajax 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 Great Ajax 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 Great Ajax i.e., Great Ajax and Claros Mortgage go up and down completely randomly.
Pair Corralation between Great Ajax and Claros Mortgage
Considering the 90-day investment horizon Great Ajax Corp is expected to generate 0.67 times more return on investment than Claros Mortgage. However, Great Ajax Corp is 1.49 times less risky than Claros Mortgage. It trades about -0.01 of its potential returns per unit of risk. Claros Mortgage Trust is currently generating about -0.05 per unit of risk. If you would invest 313.00 in Great Ajax Corp on September 3, 2024 and sell it today you would lose (9.00) from holding Great Ajax Corp or give up 2.88% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Great Ajax Corp vs. Claros Mortgage Trust
Performance |
| Timeline |
| Great Ajax Corp |
| Claros Mortgage Trust |
Great Ajax and Claros Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Great Ajax and Claros Mortgage
The main advantage of trading using opposite Great Ajax and Claros Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Great Ajax 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.| Great Ajax vs. Ellington Financial | Great Ajax vs. Dynex Capital | Great Ajax vs. Ares Commercial Real | Great Ajax vs. Cherry Hill Mortgage |
| 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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