Correlation Between New York and Invesco Mortgage
Can any of the company-specific risk be diversified away by investing in both New York 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 New York and Invesco Mortgage 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 Invesco Mortgage Capital, you can compare the effects of market volatilities on New York 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 New York with a short position of Invesco Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of New York and Invesco Mortgage.
Diversification Opportunities for New York and Invesco Mortgage
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between New and Invesco is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding New York Mortgage 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 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 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 New York i.e., New York and Invesco Mortgage go up and down completely randomly.
Pair Corralation between New York and Invesco Mortgage
Assuming the 90 days horizon New York Mortgage is expected to generate 0.72 times more return on investment than Invesco Mortgage. However, New York Mortgage is 1.4 times less risky than Invesco Mortgage. It trades about 0.16 of its potential returns per unit of risk. Invesco Mortgage Capital is currently generating about 0.08 per unit of risk. If you would invest 1,710 in New York Mortgage on August 24, 2024 and sell it today you would earn a total of 551.00 from holding New York Mortgage or generate 32.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
New York Mortgage vs. Invesco Mortgage Capital
Performance |
| Timeline |
| New York Mortgage |
| Invesco Mortgage Capital |
New York and Invesco Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with New York and Invesco Mortgage
The main advantage of trading using opposite New York and Invesco Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New York 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.| New York vs. New York Mortgage | New York vs. New York Mortgage | New York vs. New York Mortgage | New York vs. AGNC Investment Corp |
| Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. New York Mortgage | Invesco Mortgage vs. Two Harbors Investment | Invesco Mortgage vs. Two Harbors 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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