Correlation Between PennyMac Mortgage and Dynex Capital
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Dynex Capital 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 PennyMac Mortgage and Dynex Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PennyMac Mortgage Investment and Dynex Capital, you can compare the effects of market volatilities on PennyMac Mortgage and Dynex Capital 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 PennyMac Mortgage with a short position of Dynex Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Dynex Capital.
Diversification Opportunities for PennyMac Mortgage and Dynex Capital
0.43 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between PennyMac and Dynex is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Dynex Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dynex Capital and PennyMac Mortgage 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 PennyMac Mortgage Investment are associated (or correlated) with Dynex Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dynex Capital has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Dynex Capital go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Dynex Capital
Assuming the 90 days trading horizon PennyMac Mortgage Investment is expected to generate 2.14 times more return on investment than Dynex Capital. However, PennyMac Mortgage is 2.14 times more volatile than Dynex Capital. It trades about 0.14 of its potential returns per unit of risk. Dynex Capital is currently generating about 0.17 per unit of risk. If you would invest 1,867 in PennyMac Mortgage Investment on August 30, 2024 and sell it today you would earn a total of 213.00 from holding PennyMac Mortgage Investment or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Dynex Capital
Performance |
| Timeline |
| PennyMac Mortgage |
| Dynex Capital |
PennyMac Mortgage and Dynex Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Dynex Capital
The main advantage of trading using opposite PennyMac Mortgage and Dynex Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Dynex Capital 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 Dynex Capital will offset losses from the drop in Dynex Capital's long position.| PennyMac Mortgage vs. ACRES Commercial Realty | PennyMac Mortgage vs. Dynex Capital | PennyMac Mortgage vs. PennyMac Mortgage Investment | PennyMac Mortgage vs. AG Mortgage Investment |
| Dynex Capital vs. AG Mortgage Investment | Dynex Capital vs. AG Mortgage Investment | Dynex Capital vs. Invesco Mortgage Capital | Dynex Capital vs. Invesco Mortgage Capital |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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