Correlation Between AGNC Investment and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and SPDR Barclays 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 AGNC Investment and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGNC Investment Corp and SPDR Barclays Intermediate, you can compare the effects of market volatilities on AGNC Investment and SPDR Barclays 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 AGNC Investment with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and SPDR Barclays.
Diversification Opportunities for AGNC Investment and SPDR Barclays
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGNC and SPDR is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and SPDR Barclays Intermediate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Interm and AGNC Investment 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 AGNC Investment Corp are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Interm has no effect on the direction of AGNC Investment i.e., AGNC Investment and SPDR Barclays go up and down completely randomly.
Pair Corralation between AGNC Investment and SPDR Barclays
Given the investment horizon of 90 days AGNC Investment Corp is expected to under-perform the SPDR Barclays. In addition to that, AGNC Investment is 5.33 times more volatile than SPDR Barclays Intermediate. It trades about -0.12 of its total potential returns per unit of risk. SPDR Barclays Intermediate is currently generating about -0.17 per unit of volatility. If you would invest 3,252 in SPDR Barclays Intermediate on January 24, 2024 and sell it today you would lose (32.00) from holding SPDR Barclays Intermediate or give up 0.98% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. SPDR Barclays Intermediate
Performance |
| Timeline |
| AGNC Investment Corp |
| SPDR Barclays Interm |
AGNC Investment and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and SPDR Barclays
The main advantage of trading using opposite AGNC Investment and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, SPDR Barclays 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 SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.| AGNC Investment vs. Two Harbors Investments | AGNC Investment vs. Chimera Investment | AGNC Investment vs. ARMOUR Residential REIT | AGNC Investment vs. Arbor Realty Trust |
| SPDR Barclays vs. iShares iBonds 2026 | SPDR Barclays vs. iShares iBonds Dec | SPDR Barclays vs. iShares 25 Year |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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