Correlation Between AG Mortgage and Boston Properties
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Boston Properties 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 Boston Properties 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 Boston Properties, you can compare the effects of market volatilities on AG Mortgage and Boston Properties 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 Boston Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Boston Properties.
Diversification Opportunities for AG Mortgage and Boston Properties
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between MITT-PB and Boston is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Boston Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Boston Properties 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 Boston Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Boston Properties has no effect on the direction of AG Mortgage i.e., AG Mortgage and Boston Properties go up and down completely randomly.
Pair Corralation between AG Mortgage and Boston Properties
Assuming the 90 days trading horizon AG Mortgage Investment is expected to generate 0.52 times more return on investment than Boston Properties. However, AG Mortgage Investment is 1.93 times less risky than Boston Properties. It trades about -0.09 of its potential returns per unit of risk. Boston Properties is currently generating about -0.2 per unit of risk. If you would invest 2,279 in AG Mortgage Investment on August 24, 2024 and sell it today you would lose (41.00) from holding AG Mortgage Investment or give up 1.8% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. Boston Properties
Performance |
| Timeline |
| AG Mortgage Investment |
| Boston Properties |
AG Mortgage and Boston Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Boston Properties
The main advantage of trading using opposite AG Mortgage and Boston Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Boston Properties 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 Boston Properties will offset losses from the drop in Boston Properties' 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 |
| Boston Properties vs. SL Green Realty | Boston Properties vs. Douglas Emmett | Boston Properties vs. Kilroy Realty Corp | Boston Properties vs. Alexandria Real Estate |
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 CEOs Directory module to screen CEOs from public companies around the world.
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