Correlation Between MSCI ACWI and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both MSCI ACWI 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 MSCI ACWI and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MSCI ACWI exAUCONSUMER and AGNC Investment Corp, you can compare the effects of market volatilities on MSCI ACWI 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 MSCI ACWI with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI ACWI and AGNC Investment.
Diversification Opportunities for MSCI ACWI and AGNC Investment
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between MSCI and AGNC is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding MSCI ACWI exAUCONSUMER 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 MSCI ACWI 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 MSCI ACWI exAUCONSUMER 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 MSCI ACWI i.e., MSCI ACWI and AGNC Investment go up and down completely randomly.
Pair Corralation between MSCI ACWI and AGNC Investment
Assuming the 90 days horizon MSCI ACWI exAUCONSUMER is expected to generate 0.61 times more return on investment than AGNC Investment. However, MSCI ACWI exAUCONSUMER is 1.65 times less risky than AGNC Investment. It trades about 0.19 of its potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.0 per unit of risk. If you would invest 2,474 in MSCI ACWI exAUCONSUMER on August 31, 2024 and sell it today you would earn a total of 27.00 from holding MSCI ACWI exAUCONSUMER or generate 1.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
MSCI ACWI exAUCONSUMER vs. AGNC Investment Corp
Performance |
| Timeline |
| MSCI ACWI exAUCONSUMER |
| AGNC Investment Corp |
MSCI ACWI and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MSCI ACWI and AGNC Investment
The main advantage of trading using opposite MSCI ACWI and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI ACWI 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.| MSCI ACWI vs. Harrow Health 8625 | MSCI ACWI vs. Babcock Wilcox Enterprises, | MSCI ACWI vs. Babcock Wilcox Enterprises | MSCI ACWI vs. TRINL |
| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. New York Mortgage |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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