Correlation Between Fidus Investment and AG Mortgage

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

By analyzing existing cross correlation between Fidus Investment Corp and AG Mortgage Investment, you can compare the effects of market volatilities on Fidus Investment and AG 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 Fidus Investment with a short position of AG Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fidus Investment and AG Mortgage.

Diversification Opportunities for Fidus Investment and AG Mortgage

0.81

Correlation Coefficient

Fidus Investment  AG Mortgage

Very poor diversification

The 3 months correlation between Fidus and MITN is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Fidus Investment Corp and AG Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AG Mortgage Investment and Fidus Investment 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 Fidus Investment Corp are associated (or correlated) with AG Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AG Mortgage Investment has no effect on the direction of Fidus Investment i.e., Fidus Investment and AG Mortgage go up and down completely randomly.

Pair Corralation between Fidus Investment and AG Mortgage

Given the investment horizon of 90 days Fidus Investment Corp is expected to generate 4.74 times more return on investment than AG Mortgage. However, Fidus Investment is 4.74 times more volatile than AG Mortgage Investment. It trades about 0.11 of its potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.2 per unit of risk. If you would invest  1,992  in Fidus Investment Corp on December 18, 2024 and sell it today you would earn a total of  127.00  from holding Fidus Investment Corp or generate 6.38% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.33%
Values	Daily Returns

Fidus Investment Corp  vs.  AG Mortgage Investment

Fidus Investment Corp

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Fidus Investment Corp are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady basic indicators, Fidus Investment may actually be approaching a critical reversion point that can send shares even higher in April 2025.

AG Mortgage Investment

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AG Mortgage Investment are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, AG Mortgage is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Fidus Investment and AG Mortgage

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

The idea behind Fidus Investment Corp and AG Mortgage Investment 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.