Correlation Between GREAT AJAX and Blackstone Mortgage

Can any of the company-specific risk be diversified away by investing in both GREAT AJAX and Blackstone Mortgage 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 GREAT AJAX and Blackstone Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between GREAT AJAX P and Blackstone Mortgage Trust, you can compare the effects of market volatilities on GREAT AJAX and Blackstone Mortgage 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 GREAT AJAX with a short position of Blackstone Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of GREAT AJAX and Blackstone Mortgage.

Diversification Opportunities for GREAT AJAX and Blackstone Mortgage

0.14

Correlation Coefficient

GREAT AJAX  Blackstone Mortgage

Average diversification

The 3 months correlation between GREAT and Blackstone is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding GREAT AJAX P and Blackstone Mortgage Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackstone Mortgage Trust and GREAT AJAX 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 GREAT AJAX P are associated (or correlated) with Blackstone Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackstone Mortgage Trust has no effect on the direction of GREAT AJAX i.e., GREAT AJAX and Blackstone Mortgage go up and down completely randomly.

Pair Corralation between GREAT AJAX and Blackstone Mortgage

Assuming the 90 days horizon GREAT AJAX P is expected to under-perform the Blackstone Mortgage. In addition to that, GREAT AJAX is 1.11 times more volatile than Blackstone Mortgage Trust. It trades about -0.04 of its total potential returns per unit of risk. Blackstone Mortgage Trust is currently generating about -0.02 per unit of volatility. If you would invest  1,760  in Blackstone Mortgage Trust on October 11, 2024 and sell it today you would lose (19.00) from holding Blackstone Mortgage Trust or give up 1.08% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	94.44%
Values	Daily Returns

GREAT AJAX P  vs.  Blackstone Mortgage Trust

GREAT AJAX P

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in GREAT AJAX P are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, GREAT AJAX may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Blackstone Mortgage Trust

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Blackstone Mortgage Trust are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Blackstone Mortgage reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with GREAT AJAX and Blackstone Mortgage

The main advantage of trading using opposite GREAT AJAX and Blackstone Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GREAT AJAX position performs unexpectedly, Blackstone Mortgage 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 Blackstone Mortgage will offset losses from the drop in Blackstone Mortgage's long position.

The idea behind GREAT AJAX P and Blackstone Mortgage Trust pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Transaction History module to view history of all your transactions and understand their impact on performance.