Agnc Investment Corp Preferred Stock Market Value
| AGNCO Preferred Stock | USD 24.19 0.03 0.12% |
| Symbol | AGNC |
AGNC Investment 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to AGNC Investment's preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of AGNC Investment.
| 01/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in AGNC Investment on January 24, 2024 and sell it all today you would earn a total of 0.00 from holding AGNC Investment Corp or generate 0.0% return on investment in AGNC Investment over 90 days. AGNC Investment is related to or competes with Chimera Investment, Chimera Investment, AG Mortgage, Two Harbors, Chimera Investment, PennyMac Mortgage, and Two Harbors. AGNC Investment Corp. operates as a real estate investment trust in the United States More
AGNC Investment Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure AGNC Investment's preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess AGNC Investment Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3463 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 2.4 | |||
| Value At Risk | (0.53) | |||
| Potential Upside | 0.8428 |
AGNC Investment Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGNC Investment's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGNC Investment's standard deviation. In reality, there are many statistical measures that can use AGNC Investment historical prices to predict the future AGNC Investment's volatility.| Risk Adjusted Performance | 0.0347 | |||
| Jensen Alpha | 0.0075 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | 0.1326 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGNC Investment's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
AGNC Investment Corp Backtested Returns
We consider AGNC Investment very steady. AGNC Investment Corp secures Sharpe Ratio (or Efficiency) of 0.0578, which signifies that the company had a 0.0578% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for AGNC Investment Corp, which you can use to evaluate the volatility of the firm. Please confirm AGNC Investment's Mean Deviation of 0.3289, risk adjusted performance of 0.0347, and Semi Deviation of 0.2812 to double-check if the risk estimate we provide is consistent with the expected return of 0.0244%. AGNC Investment has a performance score of 4 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGNC Investment's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGNC Investment is expected to be smaller as well. AGNC Investment Corp at this time shows a risk of 0.42%. Please confirm AGNC Investment Corp total risk alpha, expected short fall, price action indicator, as well as the relationship between the value at risk and daily balance of power , to decide if AGNC Investment Corp will be following its price patterns.
Auto-correlation | 0.03 |
Virtually no predictability
AGNC Investment Corp has virtually no predictability. Overlapping area represents the amount of predictability between AGNC Investment time series from 24th of January 2024 to 9th of March 2024 and 9th of March 2024 to 23rd of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AGNC Investment Corp price movement. The serial correlation of 0.03 indicates that only 3.0% of current AGNC Investment price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
AGNC Investment Corp lagged returns against current returns
Autocorrelation, which is AGNC Investment preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting AGNC Investment's preferred stock expected returns. We can calculate the autocorrelation of AGNC Investment returns to help us make a trade decision. For example, suppose you find that AGNC Investment has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
AGNC Investment regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If AGNC Investment preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGNC Investment preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGNC Investment preferred stock over time.
Current vs Lagged Prices |
| Timeline |
AGNC Investment Lagged Returns
When evaluating AGNC Investment's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGNC Investment preferred stock have on its future price. AGNC Investment autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, AGNC Investment autocorrelation shows the relationship between AGNC Investment preferred stock current value and its past values and can show if there is a momentum factor associated with investing in AGNC Investment Corp.
Regressed Prices |
| Timeline |
Pair Trading with AGNC Investment
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if AGNC Investment position performs unexpectedly, the other equity 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 appreciate offsetting losses from the drop in the long position's value.Moving together with AGNC Preferred Stock
| 0.76 | MITT-PA | AG Mortgage Investment | PairCorr |
| 0.73 | MITT-PC | AG Mortgage Investment | PairCorr |
Moving against AGNC Preferred Stock
| 0.69 | AJX | Great Ajax Corp | PairCorr |
| 0.65 | ECRO | Ecc Cap Corp | PairCorr |
| 0.49 | CIM | Chimera Investment Financial Report 2nd of May 2024 | PairCorr |
| 0.43 | EFC | Ellington Financial LLC Financial Report 13th of May 2024 | PairCorr |
| 0.41 | RWT | Redwood Trust Earnings Call This Week | PairCorr |
The ability to find closely correlated positions to AGNC Investment could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGNC Investment when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back AGNC Investment - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling AGNC Investment Corp to buy it.
The correlation of AGNC Investment is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AGNC Investment moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGNC Investment Corp moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for AGNC Investment can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out AGNC Investment Correlation, AGNC Investment Volatility and AGNC Investment Alpha and Beta module to complement your research on AGNC Investment. Note that the AGNC Investment Corp information on this page should be used as a complementary analysis to other AGNC Investment's statistical models used 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Complementary Tools for AGNC Preferred Stock analysis
When running AGNC Investment's price analysis, check to measure AGNC Investment's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy AGNC Investment is operating at the current time. Most of AGNC Investment's value examination focuses on studying past and present price action to predict the probability of AGNC Investment's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGNC Investment's price. Additionally, you may evaluate how the addition of AGNC Investment to your portfolios can decrease your overall portfolio volatility.
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings |
AGNC Investment technical preferred stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, preferred stock market cycles, or different charting patterns.