Correlation Between AGNC Investment and Ellington Residential
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Ellington Residential 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 AGNC Investment and Ellington Residential into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGNC Investment Corp and Ellington Residential Mortgage, you can compare the effects of market volatilities on AGNC Investment and Ellington Residential 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 AGNC Investment with a short position of Ellington Residential. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Ellington Residential.
Diversification Opportunities for AGNC Investment and Ellington Residential
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGNC and Ellington is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Ellington Residential Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ellington Residential and AGNC Investment 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 AGNC Investment Corp are associated (or correlated) with Ellington Residential. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ellington Residential has no effect on the direction of AGNC Investment i.e., AGNC Investment and Ellington Residential go up and down completely randomly.
Pair Corralation between AGNC Investment and Ellington Residential
Given the investment horizon of 90 days AGNC Investment Corp is expected to generate 1.07 times more return on investment than Ellington Residential. However, AGNC Investment is 1.07 times more volatile than Ellington Residential Mortgage. It trades about 0.05 of its potential returns per unit of risk. Ellington Residential Mortgage is currently generating about 0.04 per unit of risk. If you would invest 729.00 in AGNC Investment Corp on August 27, 2024 and sell it today you would earn a total of 245.00 from holding AGNC Investment Corp or generate 33.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. Ellington Residential Mortgage
Performance |
| Timeline |
| AGNC Investment Corp |
| Ellington Residential |
AGNC Investment and Ellington Residential Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Ellington Residential
The main advantage of trading using opposite AGNC Investment and Ellington Residential positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Ellington Residential 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 Ellington Residential will offset losses from the drop in Ellington Residential's long position.| AGNC Investment vs. Blackstone Mortgage Trust | AGNC Investment vs. Omega Healthcare Investors | AGNC Investment vs. Medical Properties Trust |
| Ellington Residential vs. Dynex Capital | Ellington Residential vs. Orchid Island Capital | Ellington Residential vs. ARMOUR Residential REIT | Ellington Residential vs. Ready Capital Corp |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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