Two Harbors Correlations

TWO Stock

USD 13.64 0.10 0.73%

The current 90-days correlation between Two Harbors Investments and New York Mortgage is 0.68 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Two Harbors moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Two Harbors Investments moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Two Harbors Correlation With Market

Very weak diversification

The correlation between Two Harbors Investments 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 Two Harbors Investments and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Two Harbors Investments. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in housing.

Moving together with Two Stock

0.87	V	Visa Class A	Pair Corr
0.85	DB	Deutsche Bank AG	Pair Corr
0.82	LU	Lufax Holding	Pair Corr
0.9	LX	Lexinfintech Holdings	Pair Corr
0.66	MA	Mastercard	Pair Corr
0.93	XP	Xp Inc	Pair Corr
0.8	DMYY	dMY Squared Technology	Pair Corr
0.83	DOMH	Dominari Holdings Earnings Call This Week	Pair Corr
0.7	GCMGW	GCM Grosvenor	Pair Corr
0.61	WSBF	Waterstone Financial	Pair Corr
0.65	FDUS	Fidus Investment Corp	Pair Corr

Moving against Two Stock

0.88	LC	LendingClub Corp	Pair Corr
0.72	BX	Blackstone Group	Pair Corr
0.66	DHIL	Diamond Hill Investment	Pair Corr
0.55	CG	Carlyle Group Normal Trading	Pair Corr
0.49	MC	Moelis Normal Trading	Pair Corr
0.48	PX	P10 Inc	Pair Corr
0.43	SF	Stifel Financial	Pair Corr
0.92	VRTS	Virtus Investment	Pair Corr
0.83	WULF	Terawulf Aggressive Push	Pair Corr
0.78	WT	WisdomTree	Pair Corr
0.76	WD	Walker Dunlop	Pair Corr
0.74	LGHLW	Lion Financial Group	Pair Corr
0.68	ABR	Arbor Realty Trust Sell-off Trend	Pair Corr
0.65	BLK	BlackRock	Pair Corr
0.53	ECPG	Encore Capital Group	Pair Corr
0.46	AMP	Ameriprise Financial	Pair Corr
0.4	AXP	American Express	Pair Corr

Related Correlations Analysis

	NYMT	ARR	NLY	AGNC	ORC	IVR	CIM	EFC	DX	EARN
NYMT		0.71	0.82	0.77	0.71	0.75	-0.32	0.89	0.88	-0.42	NYMT
ARR	0.71		0.83	0.84	0.85	0.9	0.0	0.74	0.8	-0.11	ARR
NLY	0.82	0.83		0.99	0.94	0.95	-0.12	0.94	0.98	-0.3	NLY
AGNC	0.77	0.84	0.99		0.96	0.96	-0.07	0.91	0.95	-0.23	AGNC
ORC	0.71	0.85	0.94	0.96		0.96	-0.08	0.84	0.89	-0.11	ORC
IVR	0.75	0.9	0.95	0.96	0.96		0.01	0.84	0.91	-0.16	IVR
CIM	-0.32	0.0	-0.12	-0.07	-0.08	0.01		-0.24	-0.25	0.58	CIM
EFC	0.89	0.74	0.94	0.91	0.84	0.84	-0.24		0.95	-0.35	EFC
DX	0.88	0.8	0.98	0.95	0.89	0.91	-0.25	0.95		-0.41	DX
EARN	-0.42	-0.11	-0.3	-0.23	-0.11	-0.16	0.58	-0.35	-0.41		EARN
	NYMT	ARR	NLY	AGNC	ORC	IVR	CIM	EFC	DX	EARN

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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

AGNC	+ 0.99	NLY
DX	+ 0.98	NLY
ORC	+ 0.96	AGNC
IVR	+ 0.96	AGNC
IVR	+ 0.96	ORC
IVR	+ 0.95	NLY

High negative correlations

EARN	- 0.42	NYMT
EARN	- 0.41	DX
EARN	- 0.35	EFC
CIM	- 0.32	NYMT
EARN	- 0.3	NLY
DX	- 0.25	CIM

Risk-Adjusted Indicators

There is a big difference between Two Stock performing well and Two Harbors 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 Two Harbors' 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	0.16	0.08	0.17	1.85	(1.74)	3.87	(2.71)	10.06
ARR	0.82	0.02	0.04	0.01	1.12	(0.81)	1.59	(2.13)	4.93
NLY	1.03	0.22	0.19	0.25	1.05	(1.23)	2.42	(1.75)	6.82
AGNC	0.85	0.15	0.16	0.21	0.85	(0.98)	1.90	(1.46)	4.66
ORC	0.96	0.11	0.11	0.24	1.08	(1.01)	1.93	(1.73)	8.39
IVR	1.15	0.13	0.09	0.17	1.43	(1.23)	2.32	(2.16)	8.74
CIM	1.19	(0.10)	0.00	(0.15)	0.00	0.00	2.63	(3.19)	10.76
EFC	0.90	0.20	0.15	0.18	1.03	(0.95)	1.46	(1.88)	12.37
DX	0.81	0.21	0.25	0.44	0.72	(0.99)	1.66	(1.33)	5.15
EARN	0.82	(0.13)	0.00	(0.29)	0.00	0.00	1.58	(2.06)	5.74

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