Correlation Between AG Mortgage and Voya Real

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

Diversification Opportunities for AG Mortgage and Voya Real

-0.51

Correlation Coefficient

AG Mortgage  Voya Real

Excellent diversification

The 3 months correlation between MITT-PC and Voya is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment and Voya Real Estate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Voya Real Estate 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 Voya Real. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Voya Real Estate has no effect on the direction of AG Mortgage i.e., AG Mortgage and Voya Real go up and down completely randomly.

Pair Corralation between AG Mortgage and Voya Real

Assuming the 90 days trading horizon AG Mortgage Investment is expected to generate 0.33 times more return on investment than Voya Real. However, AG Mortgage Investment is 3.05 times less risky than Voya Real. It trades about 0.21 of its potential returns per unit of risk. Voya Real Estate is currently generating about -0.1 per unit of risk. If you would invest  2,414  in AG Mortgage Investment on September 18, 2024 and sell it today you would earn a total of  86.00  from holding AG Mortgage Investment or generate 3.56% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

AG Mortgage Investment  vs.  Voya Real Estate

AG Mortgage Investment

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AG Mortgage Investment are ranked lower than 16 (%) 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 current stock price tumult, may contribute to shorter-term losses for the shareholders.

Voya Real Estate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Voya Real Estate has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Voya Real is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with AG Mortgage and Voya Real

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

The idea behind AG Mortgage Investment and Voya Real Estate 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.