Correlation Between Ellington Financial and New York
Can any of the company-specific risk be diversified away by investing in both Ellington Financial and New York 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 Financial and New York into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ellington Financial and New York Mortgage, you can compare the effects of market volatilities on Ellington Financial and New York 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 Financial with a short position of New York. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ellington Financial and New York.
Diversification Opportunities for Ellington Financial and New York
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Ellington and New is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Ellington Financial and New York Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on New York Mortgage and Ellington Financial 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 Financial are associated (or correlated) with New York. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of New York Mortgage has no effect on the direction of Ellington Financial i.e., Ellington Financial and New York go up and down completely randomly.
Pair Corralation between Ellington Financial and New York
Considering the 90-day investment horizon Ellington Financial is expected to generate 0.67 times more return on investment than New York. However, Ellington Financial is 1.48 times less risky than New York. It trades about 0.28 of its potential returns per unit of risk. New York Mortgage is currently generating about 0.13 per unit of risk. If you would invest 1,242 in Ellington Financial on November 18, 2024 and sell it today you would earn a total of 57.00 from holding Ellington Financial or generate 4.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ellington Financial vs. New York Mortgage
Performance |
| Timeline |
| Ellington Financial |
| New York Mortgage |
Ellington Financial and New York Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ellington Financial and New York
The main advantage of trading using opposite Ellington Financial and New York positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ellington Financial position performs unexpectedly, New York 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 New York will offset losses from the drop in New York's long position.| Ellington Financial vs. Ellington Residential Mortgage | Ellington Financial vs. Orchid Island Capital | Ellington Financial vs. ARMOUR Residential REIT | Ellington Financial vs. Dynex Capital |
| New York vs. Two Harbors Investments | New York vs. ARMOUR Residential REIT | New York vs. Annaly Capital Management | New York vs. AGNC Investment Corp |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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