Correlation Between AG Mortgage and Newmark

Can any of the company-specific risk be diversified away by investing in both AG Mortgage and Newmark 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 Newmark 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 Newmark Group, you can compare the effects of market volatilities on AG Mortgage and Newmark 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 Newmark. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and Newmark.

Diversification Opportunities for AG Mortgage and Newmark

0.66

Correlation Coefficient

AG Mortgage  Newmark

Poor diversification

The 3 months correlation between MITT-PC and Newmark is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Newmark Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Newmark Group 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 Newmark. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Newmark Group has no effect on the direction of AG Mortgage i.e., AG Mortgage and Newmark go up and down completely randomly.

Pair Corralation between AG Mortgage and Newmark

Assuming the 90 days trading horizon AG Mortgage is expected to generate 3.83 times less return on investment than Newmark. But when comparing it to its historical volatility, AG Mortgage Investment is 7.01 times less risky than Newmark. It trades about 0.23 of its potential returns per unit of risk. Newmark Group is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,376  in Newmark Group on August 31, 2024 and sell it today you would earn a total of  187.00  from holding Newmark Group or generate 13.59% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

AG Mortgage Investment  vs.  Newmark Group

AG Mortgage Investment

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AG Mortgage Investment are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, AG Mortgage is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Newmark Group

Risk-Adjusted Performance

9 of 100

OK

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

Pair Trading with AG Mortgage and Newmark

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

The idea behind AG Mortgage Investment and Newmark Group 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.