Correlation Between Two Harbors and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both Two Harbors 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 Two Harbors and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Two Harbors Investment and AGNC Investment Corp, you can compare the effects of market volatilities on Two Harbors 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 Two Harbors with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Two Harbors and AGNC Investment.
Diversification Opportunities for Two Harbors and AGNC Investment
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Two and AGNC is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Two Harbors 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 Two Harbors 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 Two Harbors 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 Two Harbors i.e., Two Harbors and AGNC Investment go up and down completely randomly.
Pair Corralation between Two Harbors and AGNC Investment
Assuming the 90 days trading horizon Two Harbors Investment is expected to under-perform the AGNC Investment. In addition to that, Two Harbors is 2.32 times more volatile than AGNC Investment Corp. It trades about -0.45 of its total potential returns per unit of risk. AGNC Investment Corp is currently generating about -0.01 per unit of volatility. If you would invest 2,527 in AGNC Investment Corp on September 1, 2024 and sell it today you would lose (2.00) from holding AGNC Investment Corp or give up 0.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Two Harbors Investment vs. AGNC Investment Corp
Performance |
| Timeline |
| Two Harbors Investment |
| AGNC Investment Corp |
Two Harbors and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Two Harbors and AGNC Investment
The main advantage of trading using opposite Two Harbors and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Two Harbors 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.| Two Harbors vs. Two Harbors Investment | Two Harbors vs. Invesco Mortgage Capital | Two Harbors vs. Chimera Investment | Two Harbors vs. MFA Financial |
| 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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