AGNC Investment Correlations
| AGNCN Preferred Stock | USD 26.18 0.10 0.38% |
The current 90-days correlation between AGNC Investment Corp and Annaly Capital Management is 0.65 (i.e., Poor 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
Very good diversification
The correlation between AGNC Investment Corp and DJI is -0.25 (i.e., Very good 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.
AGNC |
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
| 0.73 | NYMT | New York Mortgage | PairCorr |
| 0.66 | NREF-PA | NexPoint Real Estate | PairCorr |
| 0.75 | ARR-PC | ARMOUR Residential REIT | PairCorr |
| 0.63 | ACR | Acres Commercial Realty | PairCorr |
| 0.75 | TWO-PB | Two Harbors Investment | PairCorr |
Moving against AGNC Preferred Stock
| 0.62 | RC | Ready Capital Corp | PairCorr |
| 0.6 | EARN | Ellington Residential | PairCorr |
| 0.51 | NYMTL | New York Mortgage | PairCorr |
| 0.44 | ABR | Arbor Realty Trust Sell-off Trend | PairCorr |
| 0.48 | CHMI-PA | Cherry Hill Mortgage | PairCorr |
| 0.34 | CIM | Chimera Investment | PairCorr |
Related Correlations Analysis
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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-PG | 0.18 | 0.03 | 0.22 | 2.19 | 0.15 | 0.37 | 2.37 | |||
| NLY-PI | 0.25 | 0.06 | 0.23 | (7.28) | 0.19 | 0.68 | 2.18 | |||
| AGNCM | 0.25 | 0.03 | 0.15 | (0.89) | 0.33 | 0.36 | 3.21 | |||
| NYMTN | 0.74 | 0.03 | 0.08 | (0.18) | 0.87 | 1.67 | 5.48 | |||
| IVR-PC | 0.46 | 0.09 | 0.21 | (6.13) | 0.33 | 1.30 | 5.15 | |||
| CIM-PD | 0.25 | 0.01 | 0.12 | 0.21 | 0.29 | 0.66 | 2.03 | |||
| NLY-PF | 0.27 | 0.06 | 0.22 | (1.76) | 0.23 | 0.66 | 2.23 | |||
| MFA-PB | 0.59 | 0.06 | 0.12 | 0.29 | 0.65 | 1.13 | 4.21 |
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.Did you try this?
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