Correlation Between Western Asset and Sachem Capital
Can any of the company-specific risk be diversified away by investing in both Western Asset and Sachem Capital 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 Western Asset and Sachem Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Mortgage and Sachem Capital Corp, you can compare the effects of market volatilities on Western Asset and Sachem Capital 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 Western Asset with a short position of Sachem Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Sachem Capital.
Diversification Opportunities for Western Asset and Sachem Capital
-0.69 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Western and Sachem is -0.69. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Mortgage and Sachem Capital Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sachem Capital Corp and Western Asset 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 Western Asset Mortgage are associated (or correlated) with Sachem Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sachem Capital Corp has no effect on the direction of Western Asset i.e., Western Asset and Sachem Capital go up and down completely randomly.
Pair Corralation between Western Asset and Sachem Capital
Considering the 90-day investment horizon Western Asset Mortgage is expected to generate 0.83 times more return on investment than Sachem Capital. However, Western Asset Mortgage is 1.21 times less risky than Sachem Capital. It trades about 0.14 of its potential returns per unit of risk. Sachem Capital Corp is currently generating about -0.05 per unit of risk. If you would invest 879.00 in Western Asset Mortgage on August 31, 2024 and sell it today you would earn a total of 78.00 from holding Western Asset Mortgage or generate 8.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 8.56% |
| Values | Daily Returns |
Western Asset Mortgage vs. Sachem Capital Corp
Performance |
| Timeline |
| Western Asset Mortgage |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Sachem Capital Corp |
Western Asset and Sachem Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Sachem Capital
The main advantage of trading using opposite Western Asset and Sachem Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Sachem Capital 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 Sachem Capital will offset losses from the drop in Sachem Capital's long position.| Western Asset vs. Granite Point Mortgage | Western Asset vs. Invesco Mortgage Capital | Western Asset vs. Ellington Residential Mortgage | Western Asset vs. Chimera Investment |
| Sachem Capital vs. Apollo Commercial Real | Sachem Capital vs. Ready Capital Corp | Sachem Capital vs. Ellington Residential Mortgage | Sachem Capital vs. KKR Real Estate |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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