Correlation Between AGNC Investment and Mercer Non

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

Diversification Opportunities for AGNC Investment and Mercer Non

0.88

Correlation Coefficient

AGNC Investment  Mercer Non

Very poor diversification

The 3 months correlation between AGNC and Mercer is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and Mercer Non US Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mercer Non Core 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 Mercer Non. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mercer Non Core has no effect on the direction of AGNC Investment i.e., AGNC Investment and Mercer Non go up and down completely randomly.

Pair Corralation between AGNC Investment and Mercer Non

Given the investment horizon of 90 days AGNC Investment Corp is expected to generate 1.66 times more return on investment than Mercer Non. However, AGNC Investment is 1.66 times more volatile than Mercer Non US Core. It trades about 0.2 of its potential returns per unit of risk. Mercer Non US Core is currently generating about 0.15 per unit of risk. If you would invest  835.00  in AGNC Investment Corp on May 6, 2025 and sell it today you would earn a total of  113.00  from holding AGNC Investment Corp or generate 13.53% return on investment over 90 days.

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

AGNC Investment Corp  vs.  Mercer Non US Core

AGNC Investment Corp

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AGNC Investment Corp are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating basic indicators, AGNC Investment exhibited solid returns over the last few months and may actually be approaching a breakup point.

Mercer Non Core

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Mercer Non US Core are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Mercer Non is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with AGNC Investment and Mercer Non

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

The idea behind AGNC Investment Corp and Mercer Non US Core 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.