Correlation Between AGNC INVESTMENT and New China
Can any of the company-specific risk be diversified away by investing in both AGNC INVESTMENT and New China 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 New China into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGNC INVESTMENT and New China Life, you can compare the effects of market volatilities on AGNC INVESTMENT and New China 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 New China. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC INVESTMENT and New China.
Diversification Opportunities for AGNC INVESTMENT and New China
0.49 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AGNC and New is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding AGNC INVESTMENT and New China Life in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on New China Life 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 are associated (or correlated) with New China. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of New China Life has no effect on the direction of AGNC INVESTMENT i.e., AGNC INVESTMENT and New China go up and down completely randomly.
Pair Corralation between AGNC INVESTMENT and New China
Assuming the 90 days trading horizon AGNC INVESTMENT is expected to generate 0.42 times more return on investment than New China. However, AGNC INVESTMENT is 2.4 times less risky than New China. It trades about 0.2 of its potential returns per unit of risk. New China Life is currently generating about 0.04 per unit of risk. If you would invest 875.00 in AGNC INVESTMENT on November 18, 2024 and sell it today you would earn a total of 116.00 from holding AGNC INVESTMENT or generate 13.26% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
AGNC INVESTMENT vs. New China Life
Performance |
Timeline |
AGNC INVESTMENT |
New China Life |
AGNC INVESTMENT and New China Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with AGNC INVESTMENT and New China
The main advantage of trading using opposite AGNC INVESTMENT and New China positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC INVESTMENT position performs unexpectedly, New China 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 New China will offset losses from the drop in New China's long position.AGNC INVESTMENT vs. PennyMac Mortgage Investment | ||
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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 Global Correlations module to find global opportunities by holding instruments from different markets.
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