Correlation Between AGNC Investment and Sachem Capital

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

Diversification Opportunities for AGNC Investment and Sachem Capital

-0.63

Correlation Coefficient

AGNC Investment  Sachem Capital

Excellent diversification

The 3 months correlation between AGNC and Sachem is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Sachem Capital Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sachem Capital Corp 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 Sachem Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sachem Capital Corp has no effect on the direction of AGNC Investment i.e., AGNC Investment and Sachem Capital go up and down completely randomly.

Pair Corralation between AGNC Investment and Sachem Capital

Assuming the 90 days horizon AGNC Investment Corp is expected to generate 0.09 times more return on investment than Sachem Capital. However, AGNC Investment Corp is 11.45 times less risky than Sachem Capital. It trades about -0.01 of its potential returns per unit of risk. Sachem Capital Corp is currently generating about -0.44 per unit of risk. If you would invest  2,572  in AGNC Investment Corp on September 4, 2024 and sell it today you would lose (3.00) from holding AGNC Investment Corp or give up 0.12% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

AGNC Investment Corp  vs.  Sachem Capital Corp

AGNC Investment Corp

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in AGNC Investment Corp are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy fundamental indicators, AGNC Investment is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Sachem Capital Corp

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sachem Capital Corp has generated negative risk-adjusted returns adding no value to investors with long positions. Despite inconsistent performance in the last few months, the Stock's fundamental indicators remain fairly strong which may send shares a bit higher in January 2025. The recent confusion may also be a sign of long-lasting up-swing for the firm traders.

Pair Trading with AGNC Investment and Sachem Capital

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

The idea behind AGNC Investment Corp and Sachem Capital Corp 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.