Correlation Between AG Mortgage and Chimera Investment
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Chimera Investment 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 Chimera Investment 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 Chimera Investment, you can compare the effects of market volatilities on AG Mortgage and Chimera Investment 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 Chimera Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Chimera Investment.
Diversification Opportunities for AG Mortgage and Chimera Investment
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between MITT and Chimera is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Chimera Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chimera Investment 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 Chimera Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chimera Investment has no effect on the direction of AG Mortgage i.e., AG Mortgage and Chimera Investment go up and down completely randomly.
Pair Corralation between AG Mortgage and Chimera Investment
Given the investment horizon of 90 days AG Mortgage Investment is expected to under-perform the Chimera Investment. But the stock apears to be less risky and, when comparing its historical volatility, AG Mortgage Investment is 1.18 times less risky than Chimera Investment. The stock trades about -0.24 of its potential returns per unit of risk. The Chimera Investment is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 1,538 in Chimera Investment on August 28, 2024 and sell it today you would lose (56.00) from holding Chimera Investment or give up 3.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. Chimera Investment
Performance |
| Timeline |
| AG Mortgage Investment |
| Chimera Investment |
AG Mortgage and Chimera Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Chimera Investment
The main advantage of trading using opposite AG Mortgage and Chimera Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Chimera Investment 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 Chimera Investment will offset losses from the drop in Chimera Investment's long position.| AG Mortgage vs. New York Mortgage | AG Mortgage vs. Ellington Residential Mortgage | AG Mortgage vs. Invesco Mortgage Capital | AG Mortgage vs. TPG RE Finance |
| Chimera Investment vs. Blackstone Mortgage Trust | Chimera Investment vs. Omega Healthcare Investors | Chimera Investment vs. Medical Properties Trust |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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