Correlation Between AGNC Investment and CTO Realty

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

Diversification Opportunities for AGNC Investment and CTO Realty

-0.05

Correlation Coefficient

AGNC Investment  CTO Realty

Good diversification

The 3 months correlation between AGNC and CTO is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and CTO Realty Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTO Realty Growth 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 CTO Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTO Realty Growth has no effect on the direction of AGNC Investment i.e., AGNC Investment and CTO Realty go up and down completely randomly.

Pair Corralation between AGNC Investment and CTO Realty

Assuming the 90 days horizon AGNC Investment is expected to generate 1.22 times less return on investment than CTO Realty. But when comparing it to its historical volatility, AGNC Investment Corp is 4.56 times less risky than CTO Realty. It trades about 0.11 of its potential returns per unit of risk. CTO Realty Growth is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  2,172  in CTO Realty Growth on September 15, 2024 and sell it today you would earn a total of  45.00  from holding CTO Realty Growth or generate 2.07% return on investment over 90 days.

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

AGNC Investment Corp  vs.  CTO Realty Growth

AGNC Investment Corp

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in AGNC Investment Corp are ranked lower than 8 (%) 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.

CTO Realty Growth

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in CTO Realty Growth are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, CTO Realty is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with AGNC Investment and CTO Realty

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

The idea behind AGNC Investment Corp and CTO Realty Growth 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.