Correlation Between Great Ajax and Sachem Capital
Can any of the company-specific risk be diversified away by investing in both Great Ajax and Sachem Capital 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 Sachem Capital 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 Sachem Capital Corp, you can compare the effects of market volatilities on Great Ajax and Sachem Capital 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 Sachem Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Great Ajax and Sachem Capital.
Diversification Opportunities for Great Ajax and Sachem Capital
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Great and Sachem is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Great Ajax Corp and Sachem Capital Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sachem Capital Corp 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 Sachem Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sachem Capital Corp has no effect on the direction of Great Ajax i.e., Great Ajax and Sachem Capital go up and down completely randomly.
Pair Corralation between Great Ajax and Sachem Capital
Considering the 90-day investment horizon Great Ajax Corp is expected to generate 1.02 times more return on investment than Sachem Capital. However, Great Ajax is 1.02 times more volatile than Sachem Capital Corp. It trades about -0.04 of its potential returns per unit of risk. Sachem Capital Corp is currently generating about -0.09 per unit of risk. If you would invest 432.00 in Great Ajax Corp on August 24, 2024 and sell it today you would lose (132.00) from holding Great Ajax Corp or give up 30.56% 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. Sachem Capital Corp
Performance |
| Timeline |
| Great Ajax Corp |
| Sachem Capital Corp |
Great Ajax and Sachem Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Great Ajax and Sachem Capital
The main advantage of trading using opposite Great Ajax and Sachem Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Great Ajax position performs unexpectedly, Sachem Capital 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 Sachem Capital will offset losses from the drop in Sachem Capital'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 |
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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