Correlation Between AGNC Investment and Orchid Island
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Orchid Island 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 Orchid Island 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 Orchid Island Capital, you can compare the effects of market volatilities on AGNC Investment and Orchid Island 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 Orchid Island. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Orchid Island.
Diversification Opportunities for AGNC Investment and Orchid Island
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGNC and Orchid is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Orchid Island Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Orchid Island Capital 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 Orchid Island. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Orchid Island Capital has no effect on the direction of AGNC Investment i.e., AGNC Investment and Orchid Island go up and down completely randomly.
Pair Corralation between AGNC Investment and Orchid Island
Given the investment horizon of 90 days AGNC Investment Corp is expected to generate 0.89 times more return on investment than Orchid Island. However, AGNC Investment Corp is 1.12 times less risky than Orchid Island. It trades about 0.04 of its potential returns per unit of risk. Orchid Island Capital is currently generating about 0.01 per unit of risk. If you would invest 753.00 in AGNC Investment Corp on August 23, 2024 and sell it today you would earn a total of 217.00 from holding AGNC Investment Corp or generate 28.82% 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. Orchid Island Capital
Performance |
| Timeline |
| AGNC Investment Corp |
| Orchid Island Capital |
AGNC Investment and Orchid Island Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Orchid Island
The main advantage of trading using opposite AGNC Investment and Orchid Island positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Orchid Island 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 Orchid Island will offset losses from the drop in Orchid Island's long position.| AGNC Investment vs. Two Harbors Investments | AGNC Investment vs. Chimera Investment | AGNC Investment vs. ARMOUR Residential REIT | AGNC Investment vs. Arbor Realty Trust |
| Orchid Island vs. AGNC Investment Corp | Orchid Island vs. Two Harbors Investments | Orchid Island vs. Invesco Mortgage Capital | Orchid Island vs. Chimera 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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