Correlation Between AGNC Investment and Two Harbors
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Two Harbors 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 Two Harbors 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 Two Harbors Investment, you can compare the effects of market volatilities on AGNC Investment and Two Harbors 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 Two Harbors. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Two Harbors.
Diversification Opportunities for AGNC Investment and Two Harbors
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AGNC and Two is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Two Harbors Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Two Harbors 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 Two Harbors. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Two Harbors Investment has no effect on the direction of AGNC Investment i.e., AGNC Investment and Two Harbors go up and down completely randomly.
Pair Corralation between AGNC Investment and Two Harbors
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 0.87 times more return on investment than Two Harbors. However, AGNC Investment Corp is 1.15 times less risky than Two Harbors. It trades about 0.0 of its potential returns per unit of risk. Two Harbors Investment is currently generating about -0.2 per unit of risk. If you would invest 2,574 in AGNC Investment Corp on August 31, 2024 and sell it today you would earn a total of 0.00 from holding AGNC Investment Corp or generate 0.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. Two Harbors Investment
Performance |
| Timeline |
| AGNC Investment Corp |
| Two Harbors Investment |
AGNC Investment and Two Harbors Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Two Harbors
The main advantage of trading using opposite AGNC Investment and Two Harbors positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Two Harbors 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 Two Harbors will offset losses from the drop in Two Harbors' 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 |
| Two Harbors vs. Lument Finance Trust | Two Harbors vs. PennyMac Mortgage Investment | Two Harbors vs. AG Mortgage Investment | Two Harbors 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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