Correlation Between Dynex Capital and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both Dynex Capital 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 Dynex Capital and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dynex Capital and PennyMac Mortgage Investment, you can compare the effects of market volatilities on Dynex Capital 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 Dynex Capital with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dynex Capital and PennyMac Mortgage.
Diversification Opportunities for Dynex Capital and PennyMac Mortgage
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Dynex and PennyMac is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Dynex Capital and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and Dynex Capital 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 Dynex Capital 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 Dynex Capital i.e., Dynex Capital and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between Dynex Capital and PennyMac Mortgage
Assuming the 90 days horizon Dynex Capital is expected to generate 0.44 times more return on investment than PennyMac Mortgage. However, Dynex Capital is 2.26 times less risky than PennyMac Mortgage. It trades about 0.04 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about -0.01 per unit of risk. If you would invest 2,530 in Dynex Capital on August 27, 2024 and sell it today you would earn a total of 6.00 from holding Dynex Capital or generate 0.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dynex Capital vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| Dynex Capital |
| PennyMac Mortgage |
Dynex Capital and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dynex Capital and PennyMac Mortgage
The main advantage of trading using opposite Dynex Capital and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dynex Capital 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.| Dynex Capital vs. Annaly Capital Management | Dynex Capital vs. AGNC Investment Corp | Dynex Capital vs. Invesco Mortgage Capital | Dynex Capital vs. Invesco Mortgage Capital |
| PennyMac Mortgage vs. Rithm Capital Corp | PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Two Harbors Investment | PennyMac Mortgage vs. ARMOUR Residential REIT |
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 CEOs Directory module to screen CEOs from public companies around the world.
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