Claros Mortgage Correlations

CMTG Stock

USD 2.33 0.04 1.75%

The current 90-days correlation between Claros Mortgage Trust and Invesco Mortgage Capital is 0.4 (i.e., Very weak diversification). The correlation of Claros Mortgage is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Claros Mortgage Correlation With Market

Modest diversification

The correlation between Claros Mortgage Trust and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Claros Mortgage Trust and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Claros Mortgage Trust. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Claros Stock

0.61

VRTS

Virtus Investment

Pair Corr

Moving against Claros Stock

0.54	V	Visa Class A	Pair Corr
0.49	DX	Dynex Capital	Pair Corr
0.45	MS	Morgan Stanley	Pair Corr
0.44	MA	Mastercard	Pair Corr
0.43	GS	Goldman Sachs Group	Pair Corr
0.43	PT	Pintec Technology	Pair Corr
0.4	DB	Deutsche Bank AG Normal Trading	Pair Corr
0.34	AB	AllianceBernstein Normal Trading	Pair Corr
0.34	LX	Lexinfintech Holdings	Pair Corr
0.33	AC	Associated Capital	Pair Corr
0.56	DOMH	Dominari Holdings	Pair Corr
0.54	GCMGW	GCM Grosvenor	Pair Corr
0.47	DYCQ	DT Cloud Acquisition	Pair Corr
0.46	XP	Xp Inc	Pair Corr
0.35	DMYY	dMY Squared Technology	Pair Corr
0.55	EMCGU	Embrace Change Acqui	Pair Corr
0.54	VMCA	Valuence Merger Corp	Pair Corr
0.52	EMCG	Embrace Change Acqui	Pair Corr
0.45	ANSCU	Agriculture Natural	Pair Corr

Related Correlations Analysis

	LADR	IVR	AGNCN	NLY-PF	AGNCM	NLY-PG	AGNCP	AGNCO	KREF
LADR		0.42	-0.12	0.22	-0.06	-0.01	0.23	0.02	0.91	LADR
IVR	0.42		0.42	0.6	0.35	0.38	0.5	0.48	0.44	IVR
AGNCN	-0.12	0.42		0.86	0.95	0.94	0.83	0.95	-0.01	AGNCN
NLY-PF	0.22	0.6	0.86		0.83	0.89	0.93	0.93	0.28	NLY-PF
AGNCM	-0.06	0.35	0.95	0.83		0.92	0.81	0.94	0.09	AGNCM
NLY-PG	-0.01	0.38	0.94	0.89	0.92		0.84	0.94	0.13	NLY-PG
AGNCP	0.23	0.5	0.83	0.93	0.81	0.84		0.91	0.37	AGNCP
AGNCO	0.02	0.48	0.95	0.93	0.94	0.94	0.91		0.16	AGNCO
KREF	0.91	0.44	-0.01	0.28	0.09	0.13	0.37	0.16		KREF
	LADR	IVR	AGNCN	NLY-PF	AGNCM	NLY-PG	AGNCP	AGNCO	KREF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

AGNCM	+ 0.95	AGNCN
AGNCO	+ 0.95	AGNCN
NLY-PG	+ 0.94	AGNCN
AGNCO	+ 0.94	AGNCM
AGNCO	+ 0.94	NLY-PG
AGNCP	+ 0.93	NLY-PF

High negative correlations

AGNCN	- 0.12	LADR
AGNCM	- 0.06	LADR
KREF	- 0.01	AGNCN
NLY-PG	- 0.01	LADR

Risk-Adjusted Indicators

There is a big difference between Claros Stock performing well and Claros Mortgage Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Claros Mortgage's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LADR	0.85	0.03	0.04	0.05	1.09	(0.94)	1.72	(1.87)	6.31
IVR	1.12	0.21	0.15	0.38	1.26	(1.29)	2.32	(1.57)	8.74
AGNCN	0.25	0.04	0.19	0.88	0.17	(0.34)	0.58	(0.43)	2.62
NLY-PF	0.28	0.03	0.13	0.40	0.28	(0.33)	0.54	(0.57)	2.21
AGNCM	0.25	0.03	0.12	0.26	0.31	(0.27)	0.48	(0.48)	3.21
NLY-PG	0.18	0.03	0.15	0.23	0.20	(0.22)	0.36	(0.28)	2.36
AGNCP	0.17	0.05	0.34	1.45	0.00	(0.22)	0.44	(0.32)	1.00
AGNCO	0.19	0.04	0.25	0.60	0.00	(0.26)	0.44	(0.32)	2.31
KREF	1.31	0.00	0.00	(0.03)	0.00	0.00	2.17	(2.30)	11.96

Claros Mortgage Corporate Management

Jeffrey Siegel	General VP	Profile
Anh Huynh	Vice Relations	Profile
Jai Agarwal	Chief Officer	Profile
Priyanka Garg	Executive Management	Profile
Daniel Rosenblum	VP Treasurer	Profile
Richard JD	Chairman CEO	Profile
Kevin Cullinan	Executive Originations	Profile

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