Correlation Between AGNC Investment and Global Net
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Global Net 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 Global Net 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 Global Net Lease, you can compare the effects of market volatilities on AGNC Investment and Global Net 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 Global Net. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Global Net.
Diversification Opportunities for AGNC Investment and Global Net
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between AGNC and Global is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Global Net Lease in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Net Lease 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 Global Net. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Net Lease has no effect on the direction of AGNC Investment i.e., AGNC Investment and Global Net go up and down completely randomly.
Pair Corralation between AGNC Investment and Global Net
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 0.25 times more return on investment than Global Net. However, AGNC Investment Corp is 4.01 times less risky than Global Net. It trades about 0.14 of its potential returns per unit of risk. Global Net Lease is currently generating about -0.02 per unit of risk. If you would invest 2,495 in AGNC Investment Corp on August 30, 2024 and sell it today you would earn a total of 26.00 from holding AGNC Investment Corp or generate 1.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. Global Net Lease
Performance |
| Timeline |
| AGNC Investment Corp |
| Global Net Lease |
AGNC Investment and Global Net Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Global Net
The main advantage of trading using opposite AGNC Investment and Global Net positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Global Net 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 Global Net will offset losses from the drop in Global Net's long position.| AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. MFA Financial | AGNC Investment vs. Invesco Mortgage Capital |
| Global Net vs. Global Net Lease | Global Net vs. Global Medical REIT | Global Net vs. City Office REIT | Global Net vs. ARMOUR Residential REIT |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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