Correlation Between AG Mortgage and MFA Financial
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and MFA Financial 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 MFA Financial 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 MFA Financial, you can compare the effects of market volatilities on AG Mortgage and MFA Financial 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 MFA Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and MFA Financial.
Diversification Opportunities for AG Mortgage and MFA Financial
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between MITT and MFA is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and MFA Financial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MFA Financial 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 MFA Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MFA Financial has no effect on the direction of AG Mortgage i.e., AG Mortgage and MFA Financial go up and down completely randomly.
Pair Corralation between AG Mortgage and MFA Financial
Given the investment horizon of 90 days AG Mortgage Investment is expected to under-perform the MFA Financial. In addition to that, AG Mortgage is 1.92 times more volatile than MFA Financial. It trades about -0.19 of its total potential returns per unit of risk. MFA Financial is currently generating about 0.19 per unit of volatility. If you would invest 2,390 in MFA Financial on August 30, 2024 and sell it today you would earn a total of 74.00 from holding MFA Financial or generate 3.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AG Mortgage Investment vs. MFA Financial
Performance |
| Timeline |
| AG Mortgage Investment |
| MFA Financial |
AG Mortgage and MFA Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and MFA Financial
The main advantage of trading using opposite AG Mortgage and MFA Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, MFA Financial 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 MFA Financial will offset losses from the drop in MFA Financial'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 |
| MFA Financial vs. AG Mortgage Investment | MFA Financial vs. AG Mortgage Investment | MFA Financial vs. Invesco Mortgage Capital | MFA Financial vs. Invesco Mortgage 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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