AGNC Investment Correlations

AGNCM Preferred Stock

USD 25.37 0.02 0.08%

The current 90-days correlation between AGNC Investment Corp and Annaly Capital Management is 0.33 (i.e., Weak diversification). 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.

AGNC Investment Correlation With Market

Average diversification

The correlation between AGNC Investment Corp and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and DJI in the same portfolio, assuming nothing else is changed.

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.

Moving together with AGNC Preferred Stock

0.71	DX	Dynex Capital Sell-off Trend	Pair Corr
0.66	MITT-PC	AG Mortgage Investment	Pair Corr
0.76	RITM-PC	Rithm Capital Corp	Pair Corr
0.72	RITM-PD	Rithm Capital Corp	Pair Corr
0.61	RITM-PA	Rithm Capital Corp	Pair Corr
0.69	RITM-PB	Rithm Capital Corp	Pair Corr
0.64	NYMT	New York Mortgage	Pair Corr
0.62	NYMTN	New York Mortgage	Pair Corr
0.65	FBRT	Franklin BSP Realty	Pair Corr
0.63	ARR-PC	ARMOUR Residential REIT	Pair Corr
0.74	ACR	Acres Commercial Realty	Pair Corr
0.62	ARI	Apollo Commercial Real	Pair Corr
0.73	EFC	Ellington Financial	Pair Corr
0.62	IVR	Invesco Mortgage Capital	Pair Corr
0.62	LFT	Lument Finance Trust	Pair Corr
0.69	NLY	Annaly Capital Management Sell-off Trend	Pair Corr
0.77	CHMI-PB	Cherry Hill Mortgage	Pair Corr
0.63	TWO-PC	Two Harbors Investment	Pair Corr
0.66	TWO-PA	Two Harbors Investment	Pair Corr

Moving against AGNC Preferred Stock

0.63	ABR	Arbor Realty Trust Sell-off Trend	Pair Corr
0.59	RC	Ready Capital Corp	Pair Corr
0.43	NYMTL	New York Mortgage	Pair Corr
0.39	RWT	Redwood Trust	Pair Corr
0.37	CHMI-PA	Cherry Hill Mortgage	Pair Corr
0.37	ACR-PD	ACRES Commercial Realty	Pair Corr
0.32	LFT-PA	Lument Finance Trust	Pair Corr

Related Correlations Analysis

	NLY-PF	NLY-PG	AGNCP	AGNCO	MFA-PB	TWO-PA	IVR-PC	CIM-PB	CIM-PD
NLY-PF		0.94	0.95	0.95	0.67	0.59	0.51	0.64	0.53	NLY-PF
NLY-PG	0.94		0.89	0.95	0.54	0.58	0.61	0.63	0.53	NLY-PG
AGNCP	0.95	0.89		0.93	0.75	0.68	0.55	0.69	0.62	AGNCP
AGNCO	0.95	0.95	0.93		0.6	0.67	0.67	0.69	0.6	AGNCO
MFA-PB	0.67	0.54	0.75	0.6		0.61	0.25	0.7	0.7	MFA-PB
TWO-PA	0.59	0.58	0.68	0.67	0.61		0.67	0.69	0.59	TWO-PA
IVR-PC	0.51	0.61	0.55	0.67	0.25	0.67		0.66	0.58	IVR-PC
CIM-PB	0.64	0.63	0.69	0.69	0.7	0.69	0.66		0.88	CIM-PB
CIM-PD	0.53	0.53	0.62	0.6	0.7	0.59	0.58	0.88		CIM-PD
	NLY-PF	NLY-PG	AGNCP	AGNCO	MFA-PB	TWO-PA	IVR-PC	CIM-PB	CIM-PD

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Risk-Adjusted Indicators

There is a big difference between AGNC Preferred Stock performing well and AGNC Investment Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze AGNC Investment's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
NLY-PF	0.27	0.07	0.32	6.64	0.17	(0.32)	0.66	(0.59)	2.23
NLY-PG	0.18	0.04	0.32	1.49	0.13	(0.22)	0.44	(0.32)	2.37
AGNCP	0.18	0.06	0.54	1.06	0.00	(0.22)	0.44	(0.32)	1.00
AGNCO	0.22	0.05	0.39	(37.38)	0.00	(0.26)	0.47	(0.43)	2.46
MFA-PB	0.61	0.05	0.12	0.13	0.74	(0.62)	1.13	(1.02)	4.21
TWO-PA	0.59	0.07	0.20	1.05	0.56	(0.72)	1.35	(1.10)	4.63
IVR-PC	0.54	0.06	0.15	(4.95)	0.64	(0.58)	1.78	(1.22)	5.15
CIM-PB	0.24	0.01	0.22	0.06	0.28	(0.25)	0.58	(0.54)	1.49
CIM-PD	0.26	0.00	0.17	(0.02)	0.31	(0.29)	0.66	(0.54)	2.03

Be your own money manager

Our tools can tell you how much better you can do entering a position in AGNC Investment without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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