Correlation Between New York and Western Asset
Can any of the company-specific risk be diversified away by investing in both New York and Western Asset 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 Western Asset 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 Western Asset Mortgage, you can compare the effects of market volatilities on New York and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of New York and Western Asset.
Diversification Opportunities for New York and Western Asset
-0.62 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between New and Western is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding New York Mortgage and Western Asset Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Mortgage 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 Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Mortgage has no effect on the direction of New York i.e., New York and Western Asset go up and down completely randomly.
Pair Corralation between New York and Western Asset
If you would invest 528.00 in New York Mortgage on August 27, 2024 and sell it today you would earn a total of 70.00 from holding New York Mortgage or generate 13.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 4.76% |
| Values | Daily Returns |
New York Mortgage vs. Western Asset Mortgage
Performance |
| Timeline |
| New York Mortgage |
| Western Asset Mortgage |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
New York and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with New York and Western Asset
The main advantage of trading using opposite New York and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New York position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset'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 |
| Western Asset vs. Granite Point Mortgage | Western Asset vs. Invesco Mortgage Capital | Western Asset vs. Ellington Residential Mortgage | Western Asset vs. Chimera Investment |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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