Correlation Between AGNC Investment and BFC Capital
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and BFC Capital 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 BFC Capital 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 BFC Capital Trust, you can compare the effects of market volatilities on AGNC Investment and BFC Capital 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 BFC Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and BFC Capital.
Diversification Opportunities for AGNC Investment and BFC Capital
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGNC and BFC is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and BFC Capital Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BFC Capital Trust 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 BFC Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BFC Capital Trust has no effect on the direction of AGNC Investment i.e., AGNC Investment and BFC Capital go up and down completely randomly.
Pair Corralation between AGNC Investment and BFC Capital
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 0.65 times more return on investment than BFC Capital. However, AGNC Investment Corp is 1.55 times less risky than BFC Capital. It trades about 0.08 of its potential returns per unit of risk. BFC Capital Trust is currently generating about 0.05 per unit of risk. If you would invest 2,454 in AGNC Investment Corp on September 1, 2024 and sell it today you would earn a total of 105.00 from holding AGNC Investment Corp or generate 4.28% 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. BFC Capital Trust
Performance |
| Timeline |
| AGNC Investment Corp |
| BFC Capital Trust |
AGNC Investment and BFC Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and BFC Capital
The main advantage of trading using opposite AGNC Investment and BFC Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, BFC Capital 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 BFC Capital will offset losses from the drop in BFC Capital's long position.| AGNC Investment vs. ACRES Commercial Realty | AGNC Investment vs. Chimera Investment | AGNC Investment vs. Cherry Hill Mortgage |
| BFC Capital vs. Popular Capital Trust | BFC Capital vs. CHS Inc CN | BFC Capital vs. Wintrust Financial Corp | BFC Capital vs. Auburn National Bancorporation |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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