Correlation Analysis Between Ellington Residential and Mid America

This module allows you to analyze existing cross correlation between Ellington Residential Mortgage and Mid America Apartment Communiti. You can compare the effects of market volatilities on Ellington Residential and Mid America 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 Ellington Residential with a short position of Mid America. See also your portfolio center. Please also check ongoing floating volatility patterns of Ellington Residential and Mid America.
Horizon     30 Days    Login   to change
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Comparative Performance

Ellington Residential  
00

Risk-Adjusted Performance

Over the last 30 days Ellington Residential Mortgage has generated negative risk-adjusted returns adding no value to investors with long positions. Allthough quite persistent forward indicators, Ellington Residential is not utilizing all of its potentials. The current stock price mess, may contribute to short term losses for the partners.
Mid America Apartment  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Mid America Apartment Communiti are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak basic indicators, Mid America may actually be approaching a critical reversion point that can send shares even higher in November 2019.

Ellington Residential and Mid America Volatility Contrast

 Predicted Return Density 
      Returns 

Ellington Residential Mortgage  vs.  Mid America Apartment Communit

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Ellington Residential Mortgage is expected to under-perform the Mid America. In addition to that, Ellington Residential is 1.32 times more volatile than Mid America Apartment Communiti. It trades about -0.07 of its total potential returns per unit of risk. Mid America Apartment Communiti is currently generating about 0.16 per unit of volatility. If you would invest  12,084  in Mid America Apartment Communiti on September 15, 2019 and sell it today you would earn a total of  1,178  from holding Mid America Apartment Communiti or generate 9.75% return on investment over 30 days.

Pair Corralation between Ellington Residential and Mid America

-0.6
Time Period3 Months [change]
DirectionNegative 
StrengthWeak
Accuracy98.44%
ValuesDaily Returns

Diversification Opportunities for Ellington Residential and Mid America

Ellington Residential Mortgage diversification synergy

Excellent diversification

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