Correlation Between AG Mortgage and Vornado Realty
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Vornado Realty 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 Vornado Realty 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 Vornado Realty Trust, you can compare the effects of market volatilities on AG Mortgage and Vornado Realty 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 Vornado Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Vornado Realty.
Diversification Opportunities for AG Mortgage and Vornado Realty
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between MITT-PA and Vornado is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Vornado Realty Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vornado Realty Trust 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 Vornado Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vornado Realty Trust has no effect on the direction of AG Mortgage i.e., AG Mortgage and Vornado Realty go up and down completely randomly.
Pair Corralation between AG Mortgage and Vornado Realty
Assuming the 90 days trading horizon AG Mortgage Investment is expected to under-perform the Vornado Realty. But the preferred stock apears to be less risky and, when comparing its historical volatility, AG Mortgage Investment is 2.01 times less risky than Vornado Realty. The preferred stock trades about -0.18 of its potential returns per unit of risk. The Vornado Realty Trust is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 1,869 in Vornado Realty Trust on August 30, 2024 and sell it today you would lose (39.00) from holding Vornado Realty Trust or give up 2.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
AG Mortgage Investment vs. Vornado Realty Trust
Performance |
| Timeline |
| AG Mortgage Investment |
| Vornado Realty Trust |
AG Mortgage and Vornado Realty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Vornado Realty
The main advantage of trading using opposite AG Mortgage and Vornado Realty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Vornado Realty 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 Vornado Realty will offset losses from the drop in Vornado Realty'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 |
| Vornado Realty vs. Vornado Realty Trust | Vornado Realty vs. Vornado Realty Trust | Vornado Realty vs. Vornado Realty Trust | Vornado Realty vs. Empire State Realty |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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