Correlation Between AGNC Investment and Ellington Residential
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Ellington Residential 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 Ellington Residential 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 Ellington Residential Mortgage, you can compare the effects of market volatilities on AGNC Investment and Ellington Residential 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 Ellington Residential. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Ellington Residential.
Diversification Opportunities for AGNC Investment and Ellington Residential
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AGNC and Ellington is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Ellington Residential Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ellington Residential 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 Ellington Residential. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ellington Residential has no effect on the direction of AGNC Investment i.e., AGNC Investment and Ellington Residential go up and down completely randomly.
Pair Corralation between AGNC Investment and Ellington Residential
Given the investment horizon of 90 days AGNC Investment Corp is expected to under-perform the Ellington Residential. But the stock apears to be less risky and, when comparing its historical volatility, AGNC Investment Corp is 1.38 times less risky than Ellington Residential. The stock trades about -0.19 of its potential returns per unit of risk. The Ellington Residential Mortgage is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 673.00 in Ellington Residential Mortgage on January 20, 2024 and sell it today you would lose (13.00) from holding Ellington Residential Mortgage or give up 1.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
AGNC Investment Corp vs. Ellington Residential Mortgage
Performance |
| Timeline |
| AGNC Investment Corp |
| Ellington Residential |
AGNC Investment and Ellington Residential Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and Ellington Residential
The main advantage of trading using opposite AGNC Investment and Ellington Residential positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Ellington Residential 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 Ellington Residential will offset losses from the drop in Ellington Residential's long position.The idea behind AGNC Investment Corp and Ellington Residential Mortgage pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Ellington Residential vs. Omega Healthcare Investors | Ellington Residential vs. Medical Properties Trust |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Other Complementary Tools
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format |