Correlation Between Ellington Financial and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both Ellington Financial 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 Financial 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 Financial and AGNC Investment Corp, you can compare the effects of market volatilities on Ellington Financial 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 Financial with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ellington Financial and AGNC Investment.
Diversification Opportunities for Ellington Financial and AGNC Investment
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Ellington and AGNC is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Ellington Financial 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 Financial 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 Financial 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 Financial i.e., Ellington Financial and AGNC Investment go up and down completely randomly.
Pair Corralation between Ellington Financial and AGNC Investment
Considering the 90-day investment horizon Ellington Financial is expected to generate 1.34 times less return on investment than AGNC Investment. But when comparing it to its historical volatility, Ellington Financial is 1.1 times less risky than AGNC Investment. It trades about 0.04 of its potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 729.00 in AGNC Investment Corp on August 27, 2024 and sell it today you would earn a total of 245.00 from holding AGNC Investment Corp or generate 33.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ellington Financial vs. AGNC Investment Corp
Performance |
| Timeline |
| Ellington Financial |
| AGNC Investment Corp |
Ellington Financial and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ellington Financial and AGNC Investment
The main advantage of trading using opposite Ellington Financial and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ellington Financial 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 Financial vs. Ellington Residential Mortgage | Ellington Financial vs. Orchid Island Capital | Ellington Financial vs. ARMOUR Residential REIT | Ellington Financial vs. Dynex Capital |
| AGNC Investment vs. Blackstone Mortgage Trust | AGNC Investment vs. Omega Healthcare Investors | AGNC Investment vs. Medical Properties Trust |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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