Correlation Between AG Mortgage and Sachem Capital
Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Sachem Capital 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 AG Mortgage and Sachem Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AG Mortgage Investment and Sachem Capital Corp, you can compare the effects of market volatilities on AG Mortgage and Sachem Capital 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 AG Mortgage with a short position of Sachem Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Sachem Capital.
Diversification Opportunities for AG Mortgage and Sachem Capital
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between MITT-PA and Sachem is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Sachem Capital Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sachem Capital Corp and AG Mortgage 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 AG Mortgage Investment are associated (or correlated) with Sachem Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sachem Capital Corp has no effect on the direction of AG Mortgage i.e., AG Mortgage and Sachem Capital go up and down completely randomly.
Pair Corralation between AG Mortgage and Sachem Capital
Assuming the 90 days trading horizon AG Mortgage Investment is expected to generate 0.28 times more return on investment than Sachem Capital. However, AG Mortgage Investment is 3.52 times less risky than Sachem Capital. It trades about 0.03 of its potential returns per unit of risk. Sachem Capital Corp is currently generating about -0.13 per unit of risk. If you would invest 2,203 in AG Mortgage Investment on September 26, 2024 and sell it today you would earn a total of 21.00 from holding AG Mortgage Investment or generate 0.95% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
AG Mortgage Investment vs. Sachem Capital Corp
Performance |
Timeline |
AG Mortgage Investment |
Sachem Capital Corp |
AG Mortgage and Sachem Capital Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with AG Mortgage and Sachem Capital
The main advantage of trading using opposite AG Mortgage and Sachem Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage position performs unexpectedly, Sachem Capital 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 Sachem Capital will offset losses from the drop in Sachem Capital's long position.AG Mortgage vs. New York Mortgage | AG Mortgage vs. New York Mortgage | AG Mortgage vs. Two Harbors Investment | AG Mortgage vs. Two Harbors Investment |
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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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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