Correlation Between AGNC Investment and CTO Realty
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and CTO Realty 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 CTO Realty 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 CTO Realty Growth, you can compare the effects of market volatilities on AGNC Investment and CTO Realty 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 CTO Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and CTO Realty.
Diversification Opportunities for AGNC Investment and CTO Realty
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between AGNC and CTO is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and CTO Realty Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTO Realty Growth 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 CTO Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTO Realty Growth has no effect on the direction of AGNC Investment i.e., AGNC Investment and CTO Realty go up and down completely randomly.
Pair Corralation between AGNC Investment and CTO Realty
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 0.35 times more return on investment than CTO Realty. However, AGNC Investment Corp is 2.85 times less risky than CTO Realty. It trades about 0.21 of its potential returns per unit of risk. CTO Realty Growth is currently generating about 0.03 per unit of risk. If you would invest 2,483 in AGNC Investment Corp on October 20, 2024 and sell it today you would earn a total of 49.00 from holding AGNC Investment Corp or generate 1.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. CTO Realty Growth
Performance |
| Timeline |
| AGNC Investment Corp |
| CTO Realty Growth |
AGNC Investment and CTO Realty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and CTO Realty
The main advantage of trading using opposite AGNC Investment and CTO Realty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, CTO Realty 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 CTO Realty will offset losses from the drop in CTO Realty's long position.| AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. Annaly Capital Management |
| CTO Realty vs. City Office REIT | CTO Realty vs. Armada Hoffler Properties | CTO Realty vs. Digital Realty Trust | CTO Realty vs. Global Net Lease |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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