Correlation Between AGNC Investment and Brookfield Property
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Brookfield Property 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 Brookfield Property 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 Brookfield Property Partners, you can compare the effects of market volatilities on AGNC Investment and Brookfield Property 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 Brookfield Property. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Brookfield Property.
Diversification Opportunities for AGNC Investment and Brookfield Property
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGNC and Brookfield is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Brookfield Property Partners in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Property 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 Brookfield Property. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Property has no effect on the direction of AGNC Investment i.e., AGNC Investment and Brookfield Property go up and down completely randomly.
Pair Corralation between AGNC Investment and Brookfield Property
Assuming the 90 days horizon AGNC Investment is expected to generate 3.16 times less return on investment than Brookfield Property. But when comparing it to its historical volatility, AGNC Investment Corp is 6.52 times less risky than Brookfield Property. It trades about 0.22 of its potential returns per unit of risk. Brookfield Property Partners is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 1,645 in Brookfield Property Partners on September 1, 2024 and sell it today you would earn a total of 71.00 from holding Brookfield Property Partners or generate 4.32% 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. Brookfield Property Partners
Performance |
| Timeline |
| AGNC Investment Corp |
| Brookfield Property |
AGNC Investment and Brookfield Property Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Brookfield Property
The main advantage of trading using opposite AGNC Investment and Brookfield Property positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Brookfield Property 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 Brookfield Property will offset losses from the drop in Brookfield Property's long position.| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. AGNC Investment Corp |
| Brookfield Property vs. Brookfield Property Partners | Brookfield Property vs. AGNC Investment Corp | Brookfield Property vs. Brookfield Property Preferred | Brookfield Property vs. AGNC Investment 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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