Correlation Between AG Mortgage and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both AG Mortgage 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 AG Mortgage and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AG Mortgage Investment and AGNC Investment Corp, you can compare the effects of market volatilities on AG Mortgage 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 AG Mortgage with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of AG Mortgage and AGNC Investment.
Diversification Opportunities for AG Mortgage and AGNC Investment
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between MITT-PA and AGNC is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding AG Mortgage Investment 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 AG Mortgage 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 AG Mortgage Investment 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 AG Mortgage i.e., AG Mortgage and AGNC Investment go up and down completely randomly.
Pair Corralation between AG Mortgage and AGNC Investment
Assuming the 90 days trading horizon AG Mortgage Investment is expected to under-perform the AGNC Investment. In addition to that, AG Mortgage is 1.77 times more volatile than AGNC Investment Corp. It trades about -0.12 of its total potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.14 per unit of volatility. If you would invest 2,494 in AGNC Investment Corp on August 28, 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 Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
AG Mortgage Investment vs. AGNC Investment Corp
Performance |
| Timeline |
| AG Mortgage Investment |
| AGNC Investment Corp |
AG Mortgage and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AG Mortgage and AGNC Investment
The main advantage of trading using opposite AG Mortgage and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AG Mortgage 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.| AG Mortgage vs. New York Mortgage | AG Mortgage vs. New York Mortgage | AG Mortgage vs. Two Harbors Investment | AG Mortgage vs. Two Harbors Investment |
| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Chimera Investment |
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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Other Complementary Tools
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. |