Correlation Between Invesco Mortgage and Claros Mortgage
Can any of the company-specific risk be diversified away by investing in both Invesco Mortgage 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 Invesco Mortgage and Claros 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 Claros Mortgage Trust, you can compare the effects of market volatilities on Invesco Mortgage 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 Invesco Mortgage with a short position of Claros Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco Mortgage and Claros Mortgage.
Diversification Opportunities for Invesco Mortgage and Claros Mortgage
0.19 | Correlation Coefficient |
Average diversification
The 3 months correlation between Invesco and Claros is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Mortgage Capital 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 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 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 Invesco Mortgage i.e., Invesco Mortgage and Claros Mortgage go up and down completely randomly.
Pair Corralation between Invesco Mortgage and Claros Mortgage
Considering the 90-day investment horizon Invesco Mortgage is expected to generate 42.19 times less return on investment than Claros Mortgage. But when comparing it to its historical volatility, Invesco Mortgage Capital is 3.09 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 0.14 of returns per unit of risk over similar time horizon. If you would invest 634.00 in Claros Mortgage Trust on August 27, 2024 and sell it today you would earn a total of 70.00 from holding Claros Mortgage Trust or generate 11.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco Mortgage Capital vs. Claros Mortgage Trust
Performance |
| Timeline |
| Invesco Mortgage Capital |
| Claros Mortgage Trust |
Invesco Mortgage and Claros Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco Mortgage and Claros Mortgage
The main advantage of trading using opposite Invesco Mortgage and Claros Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco Mortgage 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.| Invesco Mortgage vs. MFA Financial | Invesco Mortgage vs. Two Harbors Investments | Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. ARMOUR Residential REIT |
| 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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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