Correlation Between New York and Ellington Residential
Can any of the company-specific risk be diversified away by investing in both New York and Ellington Residential 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 New York and Ellington Residential into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between New York Mortgage and Ellington Residential Mortgage, you can compare the effects of market volatilities on New York and Ellington Residential 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 New York with a short position of Ellington Residential. Check out your portfolio center. Please also check ongoing floating volatility patterns of New York and Ellington Residential.
Diversification Opportunities for New York and Ellington Residential
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between New and Ellington is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding New York Mortgage and Ellington Residential Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ellington Residential and New York 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 New York Mortgage are associated (or correlated) with Ellington Residential. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ellington Residential has no effect on the direction of New York i.e., New York and Ellington Residential go up and down completely randomly.
Pair Corralation between New York and Ellington Residential
Given the investment horizon of 90 days New York Mortgage is expected to under-perform the Ellington Residential. In addition to that, New York is 1.49 times more volatile than Ellington Residential Mortgage. It trades about -0.04 of its total potential returns per unit of risk. Ellington Residential Mortgage is currently generating about -0.05 per unit of volatility. If you would invest 667.00 in Ellington Residential Mortgage on November 2, 2024 and sell it today you would lose (9.00) from holding Ellington Residential Mortgage or give up 1.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
New York Mortgage vs. Ellington Residential Mortgage
Performance |
| Timeline |
| New York Mortgage |
| Ellington Residential |
New York and Ellington Residential Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with New York and Ellington Residential
The main advantage of trading using opposite New York and Ellington Residential positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New York position performs unexpectedly, Ellington Residential 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 Ellington Residential will offset losses from the drop in Ellington Residential's long position.| New York vs. Two Harbors Investments | New York vs. ARMOUR Residential REIT | New York vs. Annaly Capital Management | New York vs. AGNC Investment Corp |
| Ellington Residential vs. Dynex Capital | Ellington Residential vs. Orchid Island Capital | Ellington Residential vs. ARMOUR Residential REIT | Ellington Residential vs. Ready Capital Corp |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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