Correlation Between Ellington Residential and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both Ellington Residential 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 Ellington Residential and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ellington Residential Mortgage and AGNC Investment Corp, you can compare the effects of market volatilities on Ellington Residential 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 Ellington Residential with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ellington Residential and AGNC Investment.
Diversification Opportunities for Ellington Residential and AGNC Investment
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Ellington and AGNC is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Ellington Residential Mortgage 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 Ellington Residential 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 Ellington Residential Mortgage 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 Ellington Residential i.e., Ellington Residential and AGNC Investment go up and down completely randomly.
Pair Corralation between Ellington Residential and AGNC Investment
Given the investment horizon of 90 days Ellington Residential Mortgage is expected to under-perform the AGNC Investment. In addition to that, Ellington Residential is 3.93 times more volatile than AGNC Investment Corp. It trades about -0.1 of its total potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.11 per unit of volatility. If you would invest 2,491 in AGNC Investment Corp on August 24, 2024 and sell it today you would earn a total of 24.00 from holding AGNC Investment Corp or generate 0.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ellington Residential Mortgage vs. AGNC Investment Corp
Performance |
| Timeline |
| Ellington Residential |
| AGNC Investment Corp |
Ellington Residential and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ellington Residential and AGNC Investment
The main advantage of trading using opposite Ellington Residential and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ellington Residential 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.| Ellington Residential vs. Dynex Capital | Ellington Residential vs. Orchid Island Capital | Ellington Residential vs. ARMOUR Residential REIT | Ellington Residential vs. Ready Capital Corp |
| AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. Annaly Capital Management |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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