Correlation Between Annaly Capital and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both Annaly Capital 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 Annaly Capital and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Annaly Capital Management and AGNC Investment Corp, you can compare the effects of market volatilities on Annaly Capital 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 Annaly Capital with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Annaly Capital and AGNC Investment.
Diversification Opportunities for Annaly Capital and AGNC Investment
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Annaly and AGNC is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management 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 Annaly Capital 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 Annaly Capital Management 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 Annaly Capital i.e., Annaly Capital and AGNC Investment go up and down completely randomly.
Pair Corralation between Annaly Capital and AGNC Investment
Assuming the 90 days trading horizon Annaly Capital is expected to generate 1.19 times less return on investment than AGNC Investment. In addition to that, Annaly Capital is 1.35 times more volatile than AGNC Investment Corp. It trades about 0.11 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 2,414 in AGNC Investment Corp on August 30, 2024 and sell it today you would earn a total of 122.00 from holding AGNC Investment Corp or generate 5.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Annaly Capital Management vs. AGNC Investment Corp
Performance |
| Timeline |
| Annaly Capital Management |
| AGNC Investment Corp |
Annaly Capital and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Annaly Capital and AGNC Investment
The main advantage of trading using opposite Annaly Capital and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Annaly Capital 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.| Annaly Capital vs. Chimera Investment | Annaly Capital vs. PennyMac Mortgage Investment | Annaly Capital vs. Two Harbors Investment | Annaly Capital vs. Chimera Investment |
| AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment vs. Invesco Mortgage Capital |
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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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