Correlation Between AGNC Investment and ACRES Commercial
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and ACRES Commercial 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 ACRES Commercial 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 ACRES Commercial Realty, you can compare the effects of market volatilities on AGNC Investment and ACRES Commercial 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 ACRES Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and ACRES Commercial.
Diversification Opportunities for AGNC Investment and ACRES Commercial
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between AGNC and ACRES is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and ACRES Commercial Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ACRES Commercial Realty 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 ACRES Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ACRES Commercial Realty has no effect on the direction of AGNC Investment i.e., AGNC Investment and ACRES Commercial go up and down completely randomly.
Pair Corralation between AGNC Investment and ACRES Commercial
Assuming the 90 days horizon AGNC Investment is expected to generate 1.05 times less return on investment than ACRES Commercial. But when comparing it to its historical volatility, AGNC Investment Corp is 1.14 times less risky than ACRES Commercial. It trades about 0.09 of its potential returns per unit of risk. ACRES Commercial Realty is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,726 in ACRES Commercial Realty on August 27, 2024 and sell it today you would earn a total of 782.00 from holding ACRES Commercial Realty or generate 45.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. ACRES Commercial Realty
Performance |
| Timeline |
| AGNC Investment Corp |
| ACRES Commercial Realty |
AGNC Investment and ACRES Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and ACRES Commercial
The main advantage of trading using opposite AGNC Investment and ACRES Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, ACRES Commercial 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 ACRES Commercial will offset losses from the drop in ACRES Commercial's long position.| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Chimera Investment |
| ACRES Commercial vs. Annaly Capital Management | ACRES Commercial vs. AGNC Investment Corp | ACRES Commercial vs. Invesco Mortgage Capital | ACRES Commercial vs. Invesco Mortgage Capital |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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