Invesco Mortgage Correlations

IVR Stock

USD 8.87 0.09 1.03%

The current 90-days correlation between Invesco Mortgage Capital and MFA Financial is 0.76 (i.e., Poor diversification). The correlation of Invesco 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Invesco Mortgage Correlation With Market

Modest diversification

The correlation between Invesco Mortgage Capital and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Mortgage Capital and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Invesco Mortgage Capital. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in real.

Moving together with Invesco Stock

0.9	V	Visa Class A	Pair Corr
0.72	AC	Associated Capital	Pair Corr
0.8	DB	Deutsche Bank AG	Pair Corr
0.96	DX	Dynex Capital Sell-off Trend	Pair Corr
0.78	GS	Goldman Sachs Group	Pair Corr
0.62	LU	Lufax Holding	Pair Corr
0.83	LX	Lexinfintech Holdings	Pair Corr
0.87	MA	Mastercard	Pair Corr
0.61	MS	Morgan Stanley Sell-off Trend	Pair Corr
0.65	RM	Regional Management Corp	Pair Corr
0.77	DMYY	dMY Squared Technology	Pair Corr
0.81	DOMH	Dominari Holdings Upward Rally	Pair Corr
0.88	GCMGW	GCM Grosvenor	Pair Corr
0.75	DYCQ	DT Cloud Acquisition	Pair Corr
0.82	VMCA	Valuence Merger Corp	Pair Corr
0.83	EMCGU	Embrace Change Acqui	Pair Corr

Moving against Invesco Stock

0.68	LC	LendingClub Corp	Pair Corr
0.58	TW	Tradeweb Markets Sell-off Trend	Pair Corr
0.53	DHIL	Diamond Hill Investment Earnings Call Today	Pair Corr
0.51	BX	Blackstone Group	Pair Corr
0.32	RC	Ready Capital Corp	Pair Corr
0.72	VRTS	Virtus Investment	Pair Corr
0.63	LGHLW	Lion Financial Group	Pair Corr
0.57	WD	Walker Dunlop	Pair Corr
0.56	WT	WisdomTree	Pair Corr

Related Correlations Analysis

	MFA	TWO	NYMT	ARR	CIM
MFA		0.27	0.28	0.39	0.62	MFA
TWO	0.27		0.61	0.73	0.14	TWO
NYMT	0.28	0.61		0.76	0.19	NYMT
ARR	0.39	0.73	0.76		0.24	ARR
CIM	0.62	0.14	0.19	0.24		CIM
	MFA	TWO	NYMT	ARR	CIM

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Risk-Adjusted Indicators

There is a big difference between Invesco Stock performing well and Invesco 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 Invesco 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
MFA	1.09	(0.02)	0.00	(0.03)	0.00	0.00	2.26	(1.99)	7.26
TWO	1.00	0.33	0.30	0.67	0.81	(1.20)	2.25	(1.58)	7.92
NYMT	1.63	0.27	0.14	0.86	1.68	(1.81)	4.10	(2.57)	9.37
ARR	0.76	0.05	0.05	0.18	0.90	(0.80)	1.62	(1.38)	4.61
CIM	1.14	(0.04)	0.00	(0.05)	0.00	0.00	2.63	(1.92)	10.76

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