Correlation Between Ellington Residential and Great Ajax
Can any of the company-specific risk be diversified away by investing in both Ellington Residential and Great Ajax 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 Ellington Residential and Great Ajax into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ellington Residential Mortgage and Great Ajax Corp, you can compare the effects of market volatilities on Ellington Residential and Great Ajax 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 Ellington Residential with a short position of Great Ajax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ellington Residential and Great Ajax.
Diversification Opportunities for Ellington Residential and Great Ajax
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Ellington and Great is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Ellington Residential Mortgage and Great Ajax Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Great Ajax Corp and Ellington Residential 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 Ellington Residential Mortgage are associated (or correlated) with Great Ajax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Great Ajax Corp has no effect on the direction of Ellington Residential i.e., Ellington Residential and Great Ajax go up and down completely randomly.
Pair Corralation between Ellington Residential and Great Ajax
Given the investment horizon of 90 days Ellington Residential Mortgage is expected to generate 1.29 times more return on investment than Great Ajax. However, Ellington Residential is 1.29 times more volatile than Great Ajax Corp. It trades about 0.02 of its potential returns per unit of risk. Great Ajax Corp is currently generating about -0.17 per unit of risk. If you would invest 671.00 in Ellington Residential Mortgage on August 28, 2024 and sell it today you would earn a total of 2.00 from holding Ellington Residential Mortgage or generate 0.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ellington Residential Mortgage vs. Great Ajax Corp
Performance |
| Timeline |
| Ellington Residential |
| Great Ajax Corp |
Ellington Residential and Great Ajax Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ellington Residential and Great Ajax
The main advantage of trading using opposite Ellington Residential and Great Ajax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ellington Residential position performs unexpectedly, Great Ajax 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 Great Ajax will offset losses from the drop in Great Ajax's long position.| Ellington Residential vs. Dynex Capital | Ellington Residential vs. Orchid Island Capital | Ellington Residential vs. ARMOUR Residential REIT | Ellington Residential vs. Ready Capital Corp |
| Great Ajax vs. Ellington Financial | Great Ajax vs. Dynex Capital | Great Ajax vs. Ares Commercial Real | Great Ajax vs. Cherry Hill Mortgage |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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