AG Mortgage Correlations

MITT Stock

USD 7.73 0.06 0.78%

The current 90-days correlation between AG Mortgage Investment and New York Mortgage is 0.42 (i.e., Very weak diversification). The correlation of AG 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.

AG Mortgage Correlation With Market

Very weak diversification

The correlation between AG Mortgage Investment and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in AG Mortgage Investment. 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 MITT Stock

0.69	V	Visa Class A	Pair Corr
0.79	DB	Deutsche Bank AG	Pair Corr
0.81	LU	Lufax Holding	Pair Corr
0.83	LX	Lexinfintech Holdings	Pair Corr
0.65	WU	Western Union	Pair Corr
0.86	XP	Xp Inc	Pair Corr
0.8	DMYY	dMY Squared Technology	Pair Corr
0.7	DOMH	Dominari Holdings Earnings Call This Week	Pair Corr
0.62	WSBF	Waterstone Financial	Pair Corr

Moving against MITT Stock

0.79	LC	LendingClub Corp	Pair Corr
0.74	BX	Blackstone Group	Pair Corr
0.7	CG	Carlyle Group Normal Trading	Pair Corr
0.66	MC	Moelis Normal Trading	Pair Corr
0.63	PX	P10 Inc	Pair Corr
0.62	SF	Stifel Financial	Pair Corr
0.46	RM	Regional Management Corp Normal Trading	Pair Corr
0.42	BN	Brookfield Corp	Pair Corr
0.36	DHIL	Diamond Hill Investment	Pair Corr
0.31	MS	Morgan Stanley	Pair Corr
0.75	LGHLW	Lion Financial Group	Pair Corr
0.73	VRTS	Virtus Investment	Pair Corr
0.71	WULF	Terawulf Buyout Trend	Pair Corr
0.64	ECPG	Encore Capital Group	Pair Corr
0.62	AXP	American Express	Pair Corr
0.59	ABR	Arbor Realty Trust Sell-off Trend	Pair Corr
0.58	WD	Walker Dunlop	Pair Corr
0.58	AMP	Ameriprise Financial	Pair Corr
0.57	WT	WisdomTree	Pair Corr
0.53	BLK	BlackRock	Pair Corr
0.37	VCTR	Victory Capital Holdings Normal Trading	Pair Corr

Related Correlations Analysis

	NYMT	EARN	IVR	TRTX	RWT	TWO	MFA	EFC	BRMK
NYMT		-0.39	0.74	0.26	0.04	0.83	0.76	0.88	0.0	NYMT
EARN	-0.39		-0.14	0.08	0.43	-0.28	-0.37	-0.33	0.0	EARN
IVR	0.74	-0.14		0.27	0.05	0.94	0.8	0.84	0.0	IVR
TRTX	0.26	0.08	0.27		0.55	0.18	0.5	0.18	0.0	TRTX
RWT	0.04	0.43	0.05	0.55		-0.11	0.19	-0.13	0.0	RWT
TWO	0.83	-0.28	0.94	0.18	-0.11		0.81	0.95	0.0	TWO
MFA	0.76	-0.37	0.8	0.5	0.19	0.81		0.76	0.0	MFA
EFC	0.88	-0.33	0.84	0.18	-0.13	0.95	0.76		0.0	EFC
BRMK	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		BRMK
	NYMT	EARN	IVR	TRTX	RWT	TWO	MFA	EFC	BRMK

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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

EFC	+ 0.95	TWO
TWO	+ 0.94	IVR
EFC	+ 0.88	NYMT
EFC	+ 0.84	IVR
TWO	+ 0.83	NYMT
MFA	+ 0.81	TWO

High negative correlations

EARN	- 0.39	NYMT
MFA	- 0.37	EARN
EFC	- 0.33	EARN
TWO	- 0.28	EARN
IVR	- 0.14	EARN
EFC	- 0.13	RWT

Risk-Adjusted Indicators

There is a big difference between MITT Stock performing well and AG 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 AG 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
NYMT	1.60	0.18	0.10	0.16	1.85	(1.74)	3.87	(2.71)	10.06
EARN	0.85	(0.19)	0.00	(0.42)	0.00	0.00	1.55	(2.10)	5.74
IVR	1.16	0.15	0.12	0.19	1.40	(1.25)	2.32	(2.16)	8.74
TRTX	1.03	(0.02)	0.00	(0.10)	0.00	0.00	1.92	(2.16)	8.19
RWT	1.26	(0.09)	0.00	(0.17)	0.00	0.00	2.44	(2.40)	6.05
TWO	1.12	0.33	0.27	0.37	1.05	(1.27)	2.32	(1.60)	10.25
MFA	1.14	0.11	0.07	0.08	1.67	(1.07)	2.45	(1.99)	7.26
EFC	0.89	0.21	0.16	0.17	1.05	(0.93)	1.46	(1.88)	12.37
BRMK	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

AG Mortgage Corporate Management

Emily Boldt	Controller	Profile
T Durkin	Chief Investment Officer	Profile
Andrew Parks	Chief Risk Officer	Profile
Jenny Neslin	General Counsel, Company Secretary	Profile
Karen Werbel	Investor Relations	Profile

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