Correlation Between AG Mortgage and ACRES Commercial
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and ACRES Commercial 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 ACRES Commercial 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 ACRES Commercial Realty, you can compare the effects of market volatilities on AG Mortgage and ACRES Commercial 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 ACRES Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and ACRES Commercial.
Diversification Opportunities for AG Mortgage and ACRES Commercial
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between MITT-PB and ACRES is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and ACRES Commercial Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ACRES Commercial Realty 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 ACRES Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ACRES Commercial Realty has no effect on the direction of AG Mortgage i.e., AG Mortgage and ACRES Commercial go up and down completely randomly.
Pair Corralation between AG Mortgage and ACRES Commercial
Assuming the 90 days trading horizon AG Mortgage Investment is expected to under-perform the ACRES Commercial. In addition to that, AG Mortgage is 4.84 times more volatile than ACRES Commercial Realty. It trades about -0.09 of its total potential returns per unit of risk. ACRES Commercial Realty is currently generating about 0.25 per unit of volatility. If you would invest 2,489 in ACRES Commercial Realty on August 24, 2024 and sell it today you would earn a total of 24.00 from holding ACRES Commercial Realty or generate 0.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. ACRES Commercial Realty
Performance |
| Timeline |
| AG Mortgage Investment |
| ACRES Commercial Realty |
AG Mortgage and ACRES Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and ACRES Commercial
The main advantage of trading using opposite AG Mortgage and ACRES Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, ACRES Commercial 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 ACRES Commercial will offset losses from the drop in ACRES Commercial's long position.| AG Mortgage vs. Cherry Hill Mortgage | AG Mortgage vs. Chimera Investment | AG Mortgage vs. PennyMac Mortgage Investment | AG Mortgage vs. Lument Finance Trust |
| ACRES Commercial vs. ACRES Commercial Realty | ACRES Commercial vs. Chimera Investment | ACRES Commercial vs. Cherry Hill Mortgage | ACRES Commercial vs. Cherry Hill Mortgage |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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