Correlation Between AGNC Investment and Chimera Investment
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Chimera Investment 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 Chimera Investment 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 Chimera Investment, you can compare the effects of market volatilities on AGNC Investment and Chimera Investment 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 Chimera Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Chimera Investment.
Diversification Opportunities for AGNC Investment and Chimera Investment
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between AGNC and Chimera is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Chimera Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chimera Investment 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 Chimera Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chimera Investment has no effect on the direction of AGNC Investment i.e., AGNC Investment and Chimera Investment go up and down completely randomly.
Pair Corralation between AGNC Investment and Chimera Investment
Assuming the 90 days horizon AGNC Investment is expected to generate 1.61 times less return on investment than Chimera Investment. But when comparing it to its historical volatility, AGNC Investment Corp is 1.79 times less risky than Chimera Investment. It trades about 0.09 of its potential returns per unit of risk. Chimera Investment is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 1,721 in Chimera Investment on August 31, 2024 and sell it today you would earn a total of 814.00 from holding Chimera Investment or generate 47.3% 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. Chimera Investment
Performance |
| Timeline |
| AGNC Investment Corp |
| Chimera Investment |
AGNC Investment and Chimera Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Chimera Investment
The main advantage of trading using opposite AGNC Investment and Chimera Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Chimera Investment 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 Chimera Investment will offset losses from the drop in Chimera Investment's long position.| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. New York Mortgage |
| Chimera Investment vs. AGNC Investment Corp | Chimera Investment vs. Annaly Capital Management | Chimera Investment vs. AGNC Investment Corp | Chimera Investment vs. New York Mortgage |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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