Correlation Between Deutsche Bank and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both Deutsche Bank and AGNC 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 Deutsche Bank and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Deutsche Bank AG and AGNC Investment Corp, you can compare the effects of market volatilities on Deutsche Bank and AGNC 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 Deutsche Bank with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Deutsche Bank and AGNC Investment.
Diversification Opportunities for Deutsche Bank and AGNC Investment
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Deutsche and AGNC is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Bank AG and AGNC Investment Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGNC Investment Corp and Deutsche Bank 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 Deutsche Bank AG are associated (or correlated) with AGNC Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGNC Investment Corp has no effect on the direction of Deutsche Bank i.e., Deutsche Bank and AGNC Investment go up and down completely randomly.
Pair Corralation between Deutsche Bank and AGNC Investment
Allowing for the 90-day total investment horizon Deutsche Bank AG is expected to under-perform the AGNC Investment. In addition to that, Deutsche Bank is 4.82 times more volatile than AGNC Investment Corp. It trades about -0.09 of its total potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.12 per unit of volatility. If you would invest 2,536 in AGNC Investment Corp on August 28, 2024 and sell it today you would earn a total of 23.00 from holding AGNC Investment Corp or generate 0.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Deutsche Bank AG vs. AGNC Investment Corp
Performance |
| Timeline |
| Deutsche Bank AG |
| AGNC Investment Corp |
Deutsche Bank and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Deutsche Bank and AGNC Investment
The main advantage of trading using opposite Deutsche Bank and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Deutsche Bank position performs unexpectedly, AGNC 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 AGNC Investment will offset losses from the drop in AGNC Investment's long position.| Deutsche Bank vs. Banco Bradesco SA | Deutsche Bank vs. Itau Unibanco Banco | Deutsche Bank vs. Lloyds Banking Group | Deutsche Bank vs. Banco Santander Brasil |
| AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. Aquagold International | AGNC Investment vs. Morningstar Unconstrained Allocation | AGNC Investment vs. Thrivent High Yield |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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