Correlation Between PIMCO Mortgage and Strategy Shares

Can any of the company-specific risk be diversified away by investing in both PIMCO Mortgage and Strategy Shares 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 Strategy Shares 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 Strategy Shares, you can compare the effects of market volatilities on PIMCO Mortgage and Strategy Shares 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 Strategy Shares. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Mortgage and Strategy Shares.

Diversification Opportunities for PIMCO Mortgage and Strategy Shares

0.67

Correlation Coefficient

PIMCO Mortgage  Strategy Shares

Poor diversification

The 3 months correlation between PIMCO and Strategy is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Mortgage Backed Securiti and Strategy Shares in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Strategy Shares 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 Strategy Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Strategy Shares has no effect on the direction of PIMCO Mortgage i.e., PIMCO Mortgage and Strategy Shares go up and down completely randomly.

Pair Corralation between PIMCO Mortgage and Strategy Shares

Given the investment horizon of 90 days PIMCO Mortgage is expected to generate 2.07 times less return on investment than Strategy Shares. But when comparing it to its historical volatility, PIMCO Mortgage Backed Securities is 1.4 times less risky than Strategy Shares. It trades about 0.1 of its potential returns per unit of risk. Strategy Shares is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  2,453  in Strategy Shares on May 3, 2025 and sell it today you would earn a total of  93.00  from holding Strategy Shares or generate 3.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.39%
Values	Daily Returns

PIMCO Mortgage Backed Securiti  vs.  Strategy Shares

PIMCO Mortgage Backed

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PIMCO Mortgage Backed Securities are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. 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.

Strategy Shares

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Strategy Shares are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Strategy Shares is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with PIMCO Mortgage and Strategy Shares

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

The idea behind PIMCO Mortgage Backed Securities and Strategy Shares 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.