Correlation Between TPG RE and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both TPG RE and AGNC Investment 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 TPG RE and AGNC Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between TPG RE Finance and AGNC Investment Corp, you can compare the effects of market volatilities on TPG RE and AGNC Investment 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 TPG RE with a short position of AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of TPG RE and AGNC Investment.
Diversification Opportunities for TPG RE and AGNC Investment
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between TPG and AGNC is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding TPG RE Finance and AGNC Investment Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGNC Investment Corp and TPG RE 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 TPG RE Finance are associated (or correlated) with AGNC Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGNC Investment Corp has no effect on the direction of TPG RE i.e., TPG RE and AGNC Investment go up and down completely randomly.
Pair Corralation between TPG RE and AGNC Investment
Given the investment horizon of 90 days TPG RE Finance is expected to generate 3.75 times more return on investment than AGNC Investment. However, TPG RE is 3.75 times more volatile than AGNC Investment Corp. It trades about 0.04 of its potential returns per unit of risk. AGNC Investment Corp is currently generating about 0.05 per unit of risk. If you would invest 877.00 in TPG RE Finance on September 13, 2024 and sell it today you would earn a total of 27.00 from holding TPG RE Finance or generate 3.08% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
TPG RE Finance vs. AGNC Investment Corp
Performance |
Timeline |
TPG RE Finance |
AGNC Investment Corp |
TPG RE and AGNC Investment Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with TPG RE and AGNC Investment
The main advantage of trading using opposite TPG RE and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TPG RE position performs unexpectedly, AGNC Investment 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 AGNC Investment will offset losses from the drop in AGNC Investment's long position.TPG RE vs. Ellington Residential Mortgage | TPG RE vs. Ares Commercial Real | TPG RE vs. Nexpoint Real Estate | TPG RE vs. Ellington Financial |
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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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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