AGNC Investment Risk Analysis And Volatility

AGNC -- USA Stock  

USD 15.85  0.21  1.34%

Macroaxis considers AGNC Investment to be not too volatile. AGNC Investment Corp secures Sharpe Ratio (or Efficiency) of -0.033 which signifies that the organization had -0.033% of return per unit of return volatility over the last 3 months. Macroaxis approach into foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. AGNC Investment Corp exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AGNC Investment Corp Mean Deviation of 0.6601 and Risk Adjusted Performance of (0.044924) to double-check risk estimate we provide.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

AGNC Investment Market Sensitivity

As returns on market increase, returns on owning AGNC Investment are expected to decrease at a much smaller rate. During bear market, AGNC Investment is likely to outperform the market.
3 Months Beta |Analyze AGNC Investment Corp Demand Trend
Check current 30 days AGNC Investment correlation with market (DOW)
β = -0.1749

AGNC Investment Central Daily Price Deviation

AGNC Investment Corp Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of AGNC Investment Corp high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only AGNC Investment closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

AGNC Investment Projected Return Density Against Market

Given the investment horizon of 30 days, AGNC Investment Corp has beta of -0.1749 . This suggests as returns on benchmark increase, returns on holding AGNC Investment are expected to decrease at a much smaller rate. During bear market, however, AGNC Investment Corp is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. AGNC Investment Corp is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of AGNC Investment is -3027.13. The daily returns are destributed with a variance of 1.07 and standard deviation of 1.04. The mean deviation of AGNC Investment Corp is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.88
α
Alpha over DOW
=0.06
β
Beta against DOW=0.17
σ
Overall volatility
=1.04
Ir
Information ratio =0.08

AGNC Investment Return Volatility

the company inherits 1.0363% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9129% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

AGNC Investment Investment Opportunity

AGNC Investment Corp has a volatility of 1.04 and is 1.14 times more volatile than DOW. 9% of all equities and portfolios are less risky than AGNC Investment. Compared to the overall equity markets, volatility of historical daily returns of AGNC Investment Corp is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use AGNC Investment Corp to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of AGNC Investment to be traded at $17.44 in 30 days. . As returns on market increase, returns on owning AGNC Investment are expected to decrease at a much smaller rate. During bear market, AGNC Investment is likely to outperform the market.

AGNC Investment correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and equity matching DJI index in the same portfolio.

AGNC Investment Current Risk Indicators

AGNC Investment Suggested Diversification Pairs

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