Correlation Between New York and Arbor Realty
Can any of the company-specific risk be diversified away by investing in both New York and Arbor Realty 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 Arbor Realty 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 Arbor Realty Trust, you can compare the effects of market volatilities on New York and Arbor Realty 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 Arbor Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of New York and Arbor Realty.
Diversification Opportunities for New York and Arbor Realty
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between New and Arbor is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding New York Mortgage and Arbor Realty Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arbor Realty Trust 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 Arbor Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arbor Realty Trust has no effect on the direction of New York i.e., New York and Arbor Realty go up and down completely randomly.
Pair Corralation between New York and Arbor Realty
Assuming the 90 days horizon New York Mortgage is expected to generate 0.64 times more return on investment than Arbor Realty. However, New York Mortgage is 1.56 times less risky than Arbor Realty. It trades about 0.13 of its potential returns per unit of risk. Arbor Realty Trust is currently generating about 0.06 per unit of risk. If you would invest 1,740 in New York Mortgage on August 27, 2024 and sell it today you would earn a total of 757.00 from holding New York Mortgage or generate 43.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
New York Mortgage vs. Arbor Realty Trust
Performance |
| Timeline |
| New York Mortgage |
| Arbor Realty Trust |
New York and Arbor Realty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with New York and Arbor Realty
The main advantage of trading using opposite New York and Arbor Realty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New York position performs unexpectedly, Arbor Realty 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 Arbor Realty will offset losses from the drop in Arbor Realty's long position.| New York vs. New York Mortgage | New York vs. AGNC Investment Corp | New York vs. Chimera Investment | New York vs. AGNC Investment Corp |
| Arbor Realty vs. New York Mortgage | Arbor Realty vs. New York Mortgage | Arbor Realty vs. Two Harbors Investment | Arbor Realty 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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