Correlation Between AG Mortgage and Dynex Capital
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Dynex Capital 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 Dynex Capital 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 Dynex Capital, you can compare the effects of market volatilities on AG Mortgage and Dynex Capital 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 Dynex Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Dynex Capital.
Diversification Opportunities for AG Mortgage and Dynex Capital
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between MITT-PB and Dynex is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Dynex Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dynex Capital 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 Dynex Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dynex Capital has no effect on the direction of AG Mortgage i.e., AG Mortgage and Dynex Capital go up and down completely randomly.
Pair Corralation between AG Mortgage and Dynex Capital
Assuming the 90 days trading horizon AG Mortgage Investment is expected to under-perform the Dynex Capital. In addition to that, AG Mortgage is 2.85 times more volatile than Dynex Capital. It trades about -0.11 of its total potential returns per unit of risk. Dynex Capital is currently generating about 0.04 per unit of volatility. If you would invest 2,549 in Dynex Capital on September 2, 2024 and sell it today you would earn a total of 7.00 from holding Dynex Capital or generate 0.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. Dynex Capital
Performance |
| Timeline |
| AG Mortgage Investment |
| Dynex Capital |
AG Mortgage and Dynex Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Dynex Capital
The main advantage of trading using opposite AG Mortgage and Dynex Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Dynex Capital 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 Dynex Capital will offset losses from the drop in Dynex Capital'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 |
| Dynex Capital vs. ACRES Commercial Realty | Dynex Capital vs. Chimera Investment | Dynex Capital 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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