Correlation Between AG Mortgage and Invesco Mortgage
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Invesco Mortgage 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 Invesco Mortgage 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 Invesco Mortgage Capital, you can compare the effects of market volatilities on AG Mortgage and Invesco Mortgage 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 Invesco Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Invesco Mortgage.
Diversification Opportunities for AG Mortgage and Invesco Mortgage
0.55 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between MITT and Invesco is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Invesco Mortgage Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Mortgage 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 Invesco Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Mortgage Capital has no effect on the direction of AG Mortgage i.e., AG Mortgage and Invesco Mortgage go up and down completely randomly.
Pair Corralation between AG Mortgage and Invesco Mortgage
Given the investment horizon of 90 days AG Mortgage Investment is expected to generate 1.31 times more return on investment than Invesco Mortgage. However, AG Mortgage is 1.31 times more volatile than Invesco Mortgage Capital. It trades about 0.04 of its potential returns per unit of risk. Invesco Mortgage Capital is currently generating about 0.05 per unit of risk. If you would invest 478.00 in AG Mortgage Investment on August 23, 2024 and sell it today you would earn a total of 188.00 from holding AG Mortgage Investment or generate 39.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. Invesco Mortgage Capital
Performance |
| Timeline |
| AG Mortgage Investment |
| Invesco Mortgage Capital |
AG Mortgage and Invesco Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and Invesco Mortgage
The main advantage of trading using opposite AG Mortgage and Invesco Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Invesco Mortgage 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 Invesco Mortgage will offset losses from the drop in Invesco Mortgage'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 |
| Invesco Mortgage vs. AGNC Investment Corp | Invesco Mortgage vs. Annaly Capital Management | Invesco Mortgage vs. AGNC Investment Corp | Invesco Mortgage vs. New York 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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