Correlation Between AG Mortgage and NexPoint Real
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and NexPoint Real 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 NexPoint Real 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 NexPoint Real Estate, you can compare the effects of market volatilities on AG Mortgage and NexPoint Real 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 NexPoint Real. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and NexPoint Real.
Diversification Opportunities for AG Mortgage and NexPoint Real
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between MITT-PC and NexPoint is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and NexPoint Real Estate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NexPoint Real Estate 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 NexPoint Real. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NexPoint Real Estate has no effect on the direction of AG Mortgage i.e., AG Mortgage and NexPoint Real go up and down completely randomly.
Pair Corralation between AG Mortgage and NexPoint Real
Assuming the 90 days trading horizon AG Mortgage Investment is expected to generate 0.51 times more return on investment than NexPoint Real. However, AG Mortgage Investment is 1.97 times less risky than NexPoint Real. It trades about -0.08 of its potential returns per unit of risk. NexPoint Real Estate is currently generating about -0.06 per unit of risk. If you would invest 2,516 in AG Mortgage Investment on September 2, 2024 and sell it today you would lose (21.00) from holding AG Mortgage Investment or give up 0.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. NexPoint Real Estate
Performance |
| Timeline |
| AG Mortgage Investment |
| NexPoint Real Estate |
AG Mortgage and NexPoint Real Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and NexPoint Real
The main advantage of trading using opposite AG Mortgage and NexPoint Real positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, NexPoint Real 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 NexPoint Real will offset losses from the drop in NexPoint Real's long position.| AG Mortgage vs. ACRES Commercial Realty | AG Mortgage vs. Chimera Investment | AG Mortgage vs. Cherry Hill Mortgage |
| NexPoint Real vs. ACRES Commercial Realty | NexPoint Real vs. Dynex Capital | NexPoint Real vs. PennyMac Mortgage Investment | NexPoint Real vs. AG Mortgage Investment |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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