Correlation Between AG Mortgage and DigitalBridge
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and DigitalBridge 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 AG Mortgage and DigitalBridge into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AG Mortgage Investment and DigitalBridge Group, you can compare the effects of market volatilities on AG Mortgage and DigitalBridge 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 AG Mortgage with a short position of DigitalBridge. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and DigitalBridge.
Diversification Opportunities for AG Mortgage and DigitalBridge
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between MITT-PA and DigitalBridge is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and DigitalBridge Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DigitalBridge Group and AG 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 AG Mortgage Investment are associated (or correlated) with DigitalBridge. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DigitalBridge Group has no effect on the direction of AG Mortgage i.e., AG Mortgage and DigitalBridge go up and down completely randomly.
Pair Corralation between AG Mortgage and DigitalBridge
Assuming the 90 days trading horizon AG Mortgage Investment is expected to generate 0.65 times more return on investment than DigitalBridge. However, AG Mortgage Investment is 1.55 times less risky than DigitalBridge. It trades about -0.13 of its potential returns per unit of risk. DigitalBridge Group is currently generating about -0.22 per unit of risk. If you would invest 2,285 in AG Mortgage Investment on August 29, 2024 and sell it today you would lose (38.00) from holding AG Mortgage Investment or give up 1.66% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. DigitalBridge Group
Performance |
| Timeline |
| AG Mortgage Investment |
| DigitalBridge Group |
AG Mortgage and DigitalBridge Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and DigitalBridge
The main advantage of trading using opposite AG Mortgage and DigitalBridge positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, DigitalBridge 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 DigitalBridge will offset losses from the drop in DigitalBridge's long position.| AG Mortgage vs. New York Mortgage | AG Mortgage vs. New York Mortgage | AG Mortgage vs. Two Harbors Investment | AG Mortgage vs. Two Harbors Investment |
| DigitalBridge vs. ACRES Commercial Realty | DigitalBridge vs. Chimera Investment | DigitalBridge vs. Global Net Lease |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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