Correlation Between AGNC Investment and Ellington Financial
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Ellington Financial 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 Ellington Financial 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 Ellington Financial, you can compare the effects of market volatilities on AGNC Investment and Ellington Financial 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 Ellington Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Ellington Financial.
Diversification Opportunities for AGNC Investment and Ellington Financial
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between AGNC and Ellington is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Ellington Financial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ellington Financial 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 Ellington Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ellington Financial has no effect on the direction of AGNC Investment i.e., AGNC Investment and Ellington Financial go up and down completely randomly.
Pair Corralation between AGNC Investment and Ellington Financial
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 2.69 times more return on investment than Ellington Financial. However, AGNC Investment is 2.69 times more volatile than Ellington Financial. It trades about 0.13 of its potential returns per unit of risk. Ellington Financial is currently generating about 0.32 per unit of risk. If you would invest 2,528 in AGNC Investment Corp on September 12, 2024 and sell it today you would earn a total of 18.00 from holding AGNC Investment Corp or generate 0.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. Ellington Financial
Performance |
| Timeline |
| AGNC Investment Corp |
| Ellington Financial |
AGNC Investment and Ellington Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Ellington Financial
The main advantage of trading using opposite AGNC Investment and Ellington Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Ellington Financial 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 Ellington Financial will offset losses from the drop in Ellington Financial's long position.| AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Invesco Mortgage Capital |
| Ellington Financial vs. AG Mortgage Investment | Ellington Financial vs. AG Mortgage Investment | Ellington Financial vs. AG Mortgage Investment | Ellington Financial vs. NexPoint Real Estate |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
Other Complementary Tools
| FinTech Suite Use AI to screen and filter profitable investment opportunities | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume |