Correlation Between PIMCO Mortgage and Amplify ETF

Can any of the company-specific risk be diversified away by investing in both PIMCO Mortgage and Amplify ETF 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 PIMCO Mortgage and Amplify ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PIMCO Mortgage Backed Securities and Amplify ETF Trust, you can compare the effects of market volatilities on PIMCO Mortgage and Amplify ETF 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 PIMCO Mortgage with a short position of Amplify ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Mortgage and Amplify ETF.

Diversification Opportunities for PIMCO Mortgage and Amplify ETF

-0.4

Correlation Coefficient

PIMCO Mortgage  Amplify ETF

Very good diversification

The 3 months correlation between PIMCO and Amplify is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Mortgage Backed Securiti and Amplify ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amplify ETF Trust and PIMCO 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 PIMCO Mortgage Backed Securities are associated (or correlated) with Amplify ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amplify ETF Trust has no effect on the direction of PIMCO Mortgage i.e., PIMCO Mortgage and Amplify ETF go up and down completely randomly.

Pair Corralation between PIMCO Mortgage and Amplify ETF

Given the investment horizon of 90 days PIMCO Mortgage Backed Securities is expected to under-perform the Amplify ETF. In addition to that, PIMCO Mortgage is 7.46 times more volatile than Amplify ETF Trust. It trades about -0.12 of its total potential returns per unit of risk. Amplify ETF Trust is currently generating about 0.46 per unit of volatility. If you would invest  9,458  in Amplify ETF Trust on October 4, 2024 and sell it today you would earn a total of  566.00  from holding Amplify ETF Trust or generate 5.98% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	25.26%
Values	Daily Returns

PIMCO Mortgage Backed Securiti  vs.  Amplify ETF Trust

PIMCO Mortgage Backed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PIMCO Mortgage Backed Securities has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable fundamental drivers, PIMCO Mortgage is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Amplify ETF Trust

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amplify ETF Trust are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable technical and fundamental indicators, Amplify ETF is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with PIMCO Mortgage and Amplify ETF

The main advantage of trading using opposite PIMCO Mortgage and Amplify ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO Mortgage position performs unexpectedly, Amplify ETF 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 Amplify ETF will offset losses from the drop in Amplify ETF's long position.

The idea behind PIMCO Mortgage Backed Securities and Amplify ETF Trust pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.