Correlation Between MFA Financial and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both MFA 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 MFA 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 MFA Financial and AGNC Investment Corp, you can compare the effects of market volatilities on MFA 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 MFA Financial with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of MFA Financial and AGNC Investment.
Diversification Opportunities for MFA Financial and AGNC Investment
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between MFA and AGNC is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding MFA 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 MFA 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 MFA 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 MFA Financial i.e., MFA Financial and AGNC Investment go up and down completely randomly.
Pair Corralation between MFA Financial and AGNC Investment
Considering the 90-day investment horizon MFA Financial is expected to generate 1.91 times less return on investment than AGNC Investment. In addition to that, MFA Financial is 3.55 times more volatile than AGNC Investment Corp. It trades about 0.03 of its total potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.17 per unit of volatility. If you would invest 2,061 in AGNC Investment Corp on September 12, 2024 and sell it today you would earn a total of 414.00 from holding AGNC Investment Corp or generate 20.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
MFA Financial vs. AGNC Investment Corp
Performance |
| Timeline |
| MFA Financial |
| AGNC Investment Corp |
MFA Financial and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MFA Financial and AGNC Investment
The main advantage of trading using opposite MFA Financial and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MFA 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.| MFA Financial vs. Chimera Investment | MFA Financial vs. ARMOUR Residential REIT | MFA Financial vs. Orchid Island Capital | MFA Financial vs. Invesco Mortgage Capital |
| 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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