Correlation Between Annaly Capital and Invesco Mortgage
Can any of the company-specific risk be diversified away by investing in both Annaly Capital 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 Annaly Capital and Invesco Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Annaly Capital Management and Invesco Mortgage Capital, you can compare the effects of market volatilities on Annaly Capital 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 Annaly Capital with a short position of Invesco Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Annaly Capital and Invesco Mortgage.
Diversification Opportunities for Annaly Capital and Invesco Mortgage
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Annaly and Invesco is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management 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 Annaly Capital 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 Annaly Capital Management 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 Annaly Capital i.e., Annaly Capital and Invesco Mortgage go up and down completely randomly.
Pair Corralation between Annaly Capital and Invesco Mortgage
Considering the 90-day investment horizon Annaly Capital Management is expected to generate 0.75 times more return on investment than Invesco Mortgage. However, Annaly Capital Management is 1.34 times less risky than Invesco Mortgage. It trades about 0.04 of its potential returns per unit of risk. Invesco Mortgage Capital is currently generating about 0.0 per unit of risk. If you would invest 1,597 in Annaly Capital Management on August 27, 2024 and sell it today you would earn a total of 384.00 from holding Annaly Capital Management or generate 24.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Annaly Capital Management vs. Invesco Mortgage Capital
Performance |
| Timeline |
| Annaly Capital Management |
| Invesco Mortgage Capital |
Annaly Capital and Invesco Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Annaly Capital and Invesco Mortgage
The main advantage of trading using opposite Annaly Capital and Invesco Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Annaly Capital 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.| Annaly Capital vs. ARMOUR Residential REIT | Annaly Capital vs. Two Harbors Investments | Annaly Capital vs. Arbor Realty Trust | Annaly Capital vs. Chimera Investment |
| Invesco Mortgage vs. MFA Financial | Invesco Mortgage vs. Two Harbors Investments | Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. ARMOUR Residential REIT |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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