Correlation Between AG Mortgage and Gladstone Commercial
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Gladstone 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 Gladstone 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 Gladstone Commercial, you can compare the effects of market volatilities on AG Mortgage and Gladstone 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 Gladstone Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Gladstone Commercial.
Diversification Opportunities for AG Mortgage and Gladstone Commercial
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between MITT-PB and Gladstone is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Gladstone Commercial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gladstone Commercial 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 Gladstone Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gladstone Commercial has no effect on the direction of AG Mortgage i.e., AG Mortgage and Gladstone Commercial go up and down completely randomly.
Pair Corralation between AG Mortgage and Gladstone Commercial
Assuming the 90 days trading horizon AG Mortgage Investment is expected to under-perform the Gladstone Commercial. But the preferred stock apears to be less risky and, when comparing its historical volatility, AG Mortgage Investment is 2.04 times less risky than Gladstone Commercial. The preferred stock trades about -0.15 of its potential returns per unit of risk. The Gladstone Commercial is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 1,621 in Gladstone Commercial on August 23, 2024 and sell it today you would earn a total of 82.00 from holding Gladstone Commercial or generate 5.06% 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. Gladstone Commercial
Performance |
| Timeline |
| AG Mortgage Investment |
| Gladstone Commercial |
AG Mortgage and Gladstone Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Gladstone Commercial
The main advantage of trading using opposite AG Mortgage and Gladstone Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Gladstone 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 Gladstone Commercial will offset losses from the drop in Gladstone 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 |
| Gladstone Commercial vs. Gladstone Investment | Gladstone Commercial vs. Gladstone Capital | Gladstone Commercial vs. LTC Properties | Gladstone Commercial vs. Dynex Capital |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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