Correlation Between AGNC Investment and Compugen

Can any of the company-specific risk be diversified away by investing in both AGNC Investment and Compugen 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 Compugen 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 Compugen, you can compare the effects of market volatilities on AGNC Investment and Compugen 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 Compugen. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and Compugen.

Diversification Opportunities for AGNC Investment and Compugen

0.58

Correlation Coefficient

AGNC Investment  Compugen

Very weak diversification

The 3 months correlation between AGNC and Compugen is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Compugen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Compugen 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 Compugen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Compugen has no effect on the direction of AGNC Investment i.e., AGNC Investment and Compugen go up and down completely randomly.

Pair Corralation between AGNC Investment and Compugen

Given the investment horizon of 90 days AGNC Investment is expected to generate 11.24 times less return on investment than Compugen. But when comparing it to its historical volatility, AGNC Investment Corp is 11.09 times less risky than Compugen. It trades about 0.11 of its potential returns per unit of risk. Compugen is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  26,460  in Compugen on February 6, 2024 and sell it today you would earn a total of  49,540  from holding Compugen or generate 187.23% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	79.67%
Values	Daily Returns

AGNC Investment Corp  vs.  Compugen

AGNC Investment Corp

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in AGNC Investment Corp are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, AGNC Investment is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Compugen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Compugen has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Compugen is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with AGNC Investment and Compugen

The main advantage of trading using opposite AGNC Investment and Compugen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, Compugen 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 Compugen will offset losses from the drop in Compugen's long position.

The idea behind AGNC Investment Corp and Compugen 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.

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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 Money Managers module to screen money managers from public funds and ETFs managed around the world.