Correlation Between Invesco Mortgage and AG Mortgage
Can any of the company-specific risk be diversified away by investing in both Invesco Mortgage and AG 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 Invesco Mortgage and AG Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco Mortgage Capital and AG Mortgage Investment, you can compare the effects of market volatilities on Invesco Mortgage and AG 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 Invesco Mortgage with a short position of AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco Mortgage and AG Mortgage.
Diversification Opportunities for Invesco Mortgage and AG Mortgage
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Invesco and MITT-PC is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Mortgage Capital and AG Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AG Mortgage Investment and Invesco Mortgage 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 Invesco Mortgage Capital are associated (or correlated) with AG Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AG Mortgage Investment has no effect on the direction of Invesco Mortgage i.e., Invesco Mortgage and AG Mortgage go up and down completely randomly.
Pair Corralation between Invesco Mortgage and AG Mortgage
Assuming the 90 days trading horizon Invesco Mortgage Capital is expected to generate 2.31 times more return on investment than AG Mortgage. However, Invesco Mortgage is 2.31 times more volatile than AG Mortgage Investment. It trades about 0.23 of its potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.26 per unit of risk. If you would invest 2,475 in Invesco Mortgage Capital on August 30, 2024 and sell it today you would earn a total of 61.00 from holding Invesco Mortgage Capital or generate 2.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco Mortgage Capital vs. AG Mortgage Investment
Performance |
| Timeline |
| Invesco Mortgage Capital |
| AG Mortgage Investment |
Invesco Mortgage and AG Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco Mortgage and AG Mortgage
The main advantage of trading using opposite Invesco Mortgage and AG Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco Mortgage position performs unexpectedly, AG 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 AG Mortgage will offset losses from the drop in AG Mortgage's long position.| Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. Two Harbors Investment | Invesco Mortgage vs. Two Harbors Investment |
| AG Mortgage vs. AG Mortgage Investment | AG Mortgage vs. AG Mortgage Investment | AG Mortgage vs. MFA Financial | AG 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
Other Complementary Tools
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Equity Valuation Check real value of public entities based on technical and fundamental data |