Correlation Between PennyMac Mortgage and AGNC Investment
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and AGNC Investment 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 AGNC Investment 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 AGNC Investment Corp, you can compare the effects of market volatilities on PennyMac Mortgage and AGNC Investment 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 AGNC Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and AGNC Investment.
Diversification Opportunities for PennyMac Mortgage and AGNC Investment
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between PennyMac and AGNC is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and AGNC Investment Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGNC Investment Corp 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 AGNC Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGNC Investment Corp has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and AGNC Investment go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and AGNC Investment
Considering the 90-day investment horizon PennyMac Mortgage Investment is expected to generate 1.98 times more return on investment than AGNC Investment. However, PennyMac Mortgage is 1.98 times more volatile than AGNC Investment Corp. It trades about 0.12 of its potential returns per unit of risk. AGNC Investment Corp is currently generating about -0.13 per unit of risk. If you would invest 1,320 in PennyMac Mortgage Investment on September 13, 2024 and sell it today you would earn a total of 23.00 from holding PennyMac Mortgage Investment or generate 1.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. AGNC Investment Corp
Performance |
| Timeline |
| PennyMac Mortgage |
| AGNC Investment Corp |
PennyMac Mortgage and AGNC Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and AGNC Investment
The main advantage of trading using opposite PennyMac Mortgage and AGNC Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, AGNC Investment 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 AGNC Investment will offset losses from the drop in AGNC Investment's long position.| PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Two Harbors Investments | PennyMac Mortgage vs. MFA Financial | PennyMac Mortgage vs. Invesco Mortgage Capital |
| AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. AG Mortgage Investment | AGNC Investment vs. Invesco Mortgage Capital | AGNC Investment 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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