AGNC Investment Correlations

AGNCM Preferred Stock

USD 25.46 0.25 0.99%

The current 90-days correlation between AGNC Investment Corp and Annaly Capital Management is 0.16 (i.e., Average 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

Significant diversification

The correlation between AGNC Investment Corp and DJI is 0.06 (i.e., Significant 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

0.66	MITT-PB	AG Mortgage Investment	Pair Corr
0.8	MITT-PC	AG Mortgage Investment	Pair Corr
0.76	NREF-PA	NexPoint Real Estate	Pair Corr
0.76	LFT-PA	Lument Finance Trust	Pair Corr
0.91	ACR-PC	ACRES Commercial Realty	Pair Corr
0.74	TRTX-PC	TPG RE Finance	Pair Corr
0.82	GPMT-PA	Granite Point Mortgage	Pair Corr
0.72	NLY-PI	Annaly Capital Management	Pair Corr
0.8	NLY-PF	Annaly Capital Management	Pair Corr
0.74	NLY-PG	Annaly Capital Management	Pair Corr
0.71	IVR-PB	Invesco Mortgage Capital	Pair Corr
0.84	ABR-PF	Arbor Realty Trust	Pair Corr
0.87	RITM-PC	Rithm Capital Corp	Pair Corr
0.86	RITM-PD	Rithm Capital Corp	Pair Corr
0.88	RITM-PA	Rithm Capital Corp	Pair Corr
0.86	RITM-PB	Rithm Capital Corp	Pair Corr
0.88	NYMTL	New York Mortgage	Pair Corr
0.82	NYMTM	New York Mortgage	Pair Corr
0.61	ARR-PC	ARMOUR Residential REIT	Pair Corr
0.89	TWO-PC	Two Harbors Investment	Pair Corr
0.79	MFA-PC	MFA Financial	Pair Corr

Moving against AGNC Preferred Stock

0.61	MRTI	Maxus Realty Trust	Pair Corr
0.39	ECRO	Ecc Cap Corp	Pair Corr
0.47	DTLAP	Brookfield DTLA	Pair Corr

Related Correlations Analysis

	NLY-PF	NLY-PG	AGNCP	AGNCO	MFA-PB	TWO-PA	IVR-PC	CIM-PB	CIM-PD	IVR-PB
NLY-PF		0.9	0.84	0.87	-0.14	0.37	-0.3	0.9	0.92	0.71	NLY-PF
NLY-PG	0.9		0.85	0.83	-0.16	0.38	-0.31	0.89	0.87	0.6	NLY-PG
AGNCP	0.84	0.85		0.94	0.04	0.6	-0.33	0.92	0.87	0.61	AGNCP
AGNCO	0.87	0.83	0.94		0.16	0.6	-0.37	0.93	0.87	0.64	AGNCO
MFA-PB	-0.14	-0.16	0.04	0.16		0.55	0.37	-0.06	-0.2	-0.1	MFA-PB
TWO-PA	0.37	0.38	0.6	0.6	0.55		0.12	0.49	0.29	0.04	TWO-PA
IVR-PC	-0.3	-0.31	-0.33	-0.37	0.37	0.12		-0.39	-0.38	-0.33	IVR-PC
CIM-PB	0.9	0.89	0.92	0.93	-0.06	0.49	-0.39		0.93	0.66	CIM-PB
CIM-PD	0.92	0.87	0.87	0.87	-0.2	0.29	-0.38	0.93		0.74	CIM-PD
IVR-PB	0.71	0.6	0.61	0.64	-0.1	0.04	-0.33	0.66	0.74		IVR-PB
	NLY-PF	NLY-PG	AGNCP	AGNCO	MFA-PB	TWO-PA	IVR-PC	CIM-PB	CIM-PD	IVR-PB

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

AGNCO	+ 0.94	AGNCP
CIM-PB	+ 0.93	AGNCO
CIM-PD	+ 0.93	CIM-PB
CIM-PD	+ 0.92	NLY-PF
CIM-PB	+ 0.92	AGNCP
NLY-PG	+ 0.9	NLY-PF

High negative correlations

CIM-PB	- 0.39	IVR-PC
CIM-PD	- 0.38	IVR-PC
IVR-PC	- 0.37	AGNCO
IVR-PB	- 0.33	IVR-PC
IVR-PC	- 0.33	AGNCP
IVR-PC	- 0.31	NLY-PG

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	0.24	0.02	(0.29)	0.93	0.31	(0.22)	0.51	(0.50)	1.33
NLY-PG	0.20	0.02	(0.29)	(7.41)	0.29	(0.21)	0.44	(0.31)	1.77
AGNCP	0.27	0.04	(0.21)	(2.38)	0.24	(0.30)	0.77	(0.70)	2.11
AGNCO	0.19	0.04	(0.34)	(4.72)	0.05	(0.21)	0.48	(0.43)	1.52
MFA-PB	0.64	0.09	(0.04)	1.73	0.51	(0.74)	1.40	(0.98)	3.29
TWO-PA	0.40	0.03	(0.21)	(0.67)	0.44	(0.45)	0.89	(0.69)	2.69
IVR-PC	0.55	0.03	(0.09)	0.28	0.68	(0.56)	1.60	(1.11)	3.76
CIM-PB	0.27	0.05	(0.24)	(0.53)	0.23	(0.30)	0.59	(0.56)	1.65
CIM-PD	0.26	0.05	(0.22)	5.30	0.18	(0.28)	0.58	(0.49)	1.56
IVR-PB	0.47	0.04	(0.12)	0.61	0.52	(0.52)	1.50	(1.00)	4.56

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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