Correlation Between Lument Finance and AG Mortgage
Can any of the company-specific risk be diversified away by investing in both Lument Finance 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 Lument Finance and AG Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lument Finance Trust and AG Mortgage Investment, you can compare the effects of market volatilities on Lument Finance 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 Lument Finance with a short position of AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lument Finance and AG Mortgage.
Diversification Opportunities for Lument Finance and AG Mortgage
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lument and MITT-PA is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Lument Finance Trust 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 Lument Finance 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 Lument Finance Trust 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 Lument Finance i.e., Lument Finance and AG Mortgage go up and down completely randomly.
Pair Corralation between Lument Finance and AG Mortgage
Considering the 90-day investment horizon Lument Finance Trust is expected to generate 1.48 times more return on investment than AG Mortgage. However, Lument Finance is 1.48 times more volatile than AG Mortgage Investment. It trades about 0.21 of its potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.24 per unit of risk. If you would invest 258.00 in Lument Finance Trust on November 18, 2024 and sell it today you would earn a total of 14.00 from holding Lument Finance Trust or generate 5.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lument Finance Trust vs. AG Mortgage Investment
Performance |
| Timeline |
| Lument Finance Trust |
| AG Mortgage Investment |
Lument Finance and AG Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lument Finance and AG Mortgage
The main advantage of trading using opposite Lument Finance and AG Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lument Finance 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.| Lument Finance vs. Acres Commercial Realty | Lument Finance vs. AG Mortgage Investment | Lument Finance vs. Rithm Capital Corp | Lument Finance vs. Ares Commercial Real |
| AG Mortgage vs. Cherry Hill Mortgage | AG Mortgage vs. Chimera Investment | AG Mortgage vs. PennyMac Mortgage Investment | AG Mortgage vs. Lument Finance Trust |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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