Correlation Between TPG RE and AG Mortgage
Can any of the company-specific risk be diversified away by investing in both TPG RE and AG 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 TPG RE and AG Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between TPG RE Finance and AG Mortgage Investment, you can compare the effects of market volatilities on TPG RE and AG 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 TPG RE with a short position of AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of TPG RE and AG Mortgage.
Diversification Opportunities for TPG RE and AG Mortgage
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between TPG and MITT is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding TPG RE Finance and AG Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AG Mortgage Investment and TPG RE 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 TPG RE Finance are associated (or correlated) with AG Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AG Mortgage Investment has no effect on the direction of TPG RE i.e., TPG RE and AG Mortgage go up and down completely randomly.
Pair Corralation between TPG RE and AG Mortgage
Given the investment horizon of 90 days TPG RE Finance is expected to generate 0.91 times more return on investment than AG Mortgage. However, TPG RE Finance is 1.1 times less risky than AG Mortgage. It trades about 0.07 of its potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.03 per unit of risk. If you would invest 781.00 in TPG RE Finance on August 24, 2024 and sell it today you would earn a total of 97.00 from holding TPG RE Finance or generate 12.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
TPG RE Finance vs. AG Mortgage Investment
Performance |
| Timeline |
| TPG RE Finance |
| AG Mortgage Investment |
TPG RE and AG Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with TPG RE and AG Mortgage
The main advantage of trading using opposite TPG RE and AG Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TPG RE position performs unexpectedly, AG 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 AG Mortgage will offset losses from the drop in AG Mortgage's long position.| TPG RE vs. Ellington Residential Mortgage | TPG RE vs. Ares Commercial Real | TPG RE vs. Nexpoint Real Estate | TPG RE vs. Ellington Financial |
| AG Mortgage vs. New York Mortgage | AG Mortgage vs. Ellington Residential Mortgage | AG Mortgage vs. Invesco Mortgage Capital | AG Mortgage vs. TPG RE Finance |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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