Correlation Between AGNC Investment and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both AGNC Investment and PennyMac Mortgage 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 PennyMac Mortgage 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 PennyMac Mortgage Investment, you can compare the effects of market volatilities on AGNC Investment and PennyMac Mortgage 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 PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGNC Investment and PennyMac Mortgage.
Diversification Opportunities for AGNC Investment and PennyMac Mortgage
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between AGNC and PennyMac is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding AGNC Investment Corp and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage 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 PennyMac Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PennyMac Mortgage has no effect on the direction of AGNC Investment i.e., AGNC Investment and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between AGNC Investment and PennyMac Mortgage
Assuming the 90 days horizon AGNC Investment Corp is expected to generate 1.03 times more return on investment than PennyMac Mortgage. However, AGNC Investment is 1.03 times more volatile than PennyMac Mortgage Investment. It trades about 0.0 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about -0.11 per unit of risk. If you would invest 2,574 in AGNC Investment Corp on August 31, 2024 and sell it today you would earn a total of 0.00 from holding AGNC Investment Corp or generate 0.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGNC Investment Corp vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| AGNC Investment Corp |
| PennyMac Mortgage |
AGNC Investment and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGNC Investment and PennyMac Mortgage
The main advantage of trading using opposite AGNC Investment and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGNC Investment position performs unexpectedly, PennyMac Mortgage 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 PennyMac Mortgage will offset losses from the drop in PennyMac Mortgage's long position.| AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. Annaly Capital Management | AGNC Investment vs. AGNC Investment Corp | AGNC Investment vs. New York Mortgage |
| PennyMac Mortgage vs. ACRES Commercial Realty | PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Cherry Hill Mortgage | PennyMac Mortgage vs. Cherry Hill Mortgage |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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