Correlation Between Moelis and AG Mortgage

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

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

Diversification Opportunities for Moelis and AG Mortgage

-0.2

Correlation Coefficient

Moelis  AG Mortgage

Good diversification

The 3 months correlation between Moelis and MITN is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Moelis Co 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 Moelis 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 Moelis Co 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 Moelis i.e., Moelis and AG Mortgage go up and down completely randomly.

Pair Corralation between Moelis and AG Mortgage

Allowing for the 90-day total investment horizon Moelis Co is expected to under-perform the AG Mortgage. In addition to that, Moelis is 9.96 times more volatile than AG Mortgage Investment. It trades about -0.12 of its total potential returns per unit of risk. AG Mortgage Investment is currently generating about 0.19 per unit of volatility. If you would invest  2,460  in AG Mortgage Investment on December 18, 2024 and sell it today you would earn a total of  57.00  from holding AG Mortgage Investment or generate 2.32% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.31%
Values	Daily Returns

Moelis Co  vs.  AG Mortgage Investment

Moelis

Risk-Adjusted Performance

Very Weak

Over the last 90 days Moelis Co has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's fundamental indicators remain rather sound which may send shares a bit higher in April 2025. The latest tumult may also be a sign of longer-term up-swing for the firm shareholders.

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 Moelis and AG Mortgage

The main advantage of trading using opposite Moelis and AG Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moelis 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 Moelis Co 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.

Check out your portfolio center.

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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.