Correlation Between Annaly Capital and PIMCO RAFI
Can any of the company-specific risk be diversified away by investing in both Annaly Capital and PIMCO RAFI 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 PIMCO RAFI 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 PIMCO RAFI Dynamic, you can compare the effects of market volatilities on Annaly Capital and PIMCO RAFI 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 PIMCO RAFI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Annaly Capital and PIMCO RAFI.
Diversification Opportunities for Annaly Capital and PIMCO RAFI
0.34 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Annaly and PIMCO is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management and PIMCO RAFI Dynamic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO RAFI Dynamic 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 PIMCO RAFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO RAFI Dynamic has no effect on the direction of Annaly Capital i.e., Annaly Capital and PIMCO RAFI go up and down completely randomly.
Pair Corralation between Annaly Capital and PIMCO RAFI
Considering the 90-day investment horizon Annaly Capital Management is expected to generate 1.94 times more return on investment than PIMCO RAFI. However, Annaly Capital is 1.94 times more volatile than PIMCO RAFI Dynamic. It trades about 0.0 of its potential returns per unit of risk. PIMCO RAFI Dynamic is currently generating about 0.0 per unit of risk. If you would invest 1,841 in Annaly Capital Management on January 24, 2024 and sell it today you would lose (18.00) from holding Annaly Capital Management or give up 0.98% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Annaly Capital Management vs. PIMCO RAFI Dynamic
Performance |
| Timeline |
| Annaly Capital Management |
| PIMCO RAFI Dynamic |
Annaly Capital and PIMCO RAFI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Annaly Capital and PIMCO RAFI
The main advantage of trading using opposite Annaly Capital and PIMCO RAFI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Annaly Capital position performs unexpectedly, PIMCO RAFI 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 PIMCO RAFI will offset losses from the drop in PIMCO RAFI's long position.| Annaly Capital vs. ARMOUR Residential REIT | Annaly Capital vs. Two Harbors Investments | Annaly Capital vs. Arbor Realty Trust | Annaly Capital vs. Chimera Investment |
| PIMCO RAFI vs. Pfizer Inc | PIMCO RAFI vs. LSI Industries | PIMCO RAFI vs. Retirement Living Through | PIMCO RAFI vs. HP Inc |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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