AGNC vs CHMI: Correlation
Measured on weekly returns over the past three years, AGNC Investment Corp. (AGNC) and Cherry Hill Mortgage Investment Corporation (CHMI) carry a correlation of 0.56, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are AGNC and CHMI?
On 3 years of weekly data the AGNC/CHMI correlation comes out at 0.56, moderate. The link has loosened recently: the 1-year correlation (0.36) runs below the 3-year figure (0.56). The 5-year figure is 0.60, and annualized covariance runs at 536.3 %².
By 3-year correlation, CHMI places #7 of the 14 assets tracked against AGNC. On 12-month performance AGNC holds a 8.9-point edge, +28.0% against +19.1%. Risk is not evenly split, since CHMI carries 1.5 times the volatility of the other side.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
AGNC vs CHMI: side by side
| AGNC (AGNC Investment Corp.) | CHMI (Cherry Hill Mortgage Investment Corporation) | |
|---|---|---|
| 1-year return | +28.0% | +19.1% |
| 5-year return | +33.5% | -27.0% |
| Volatility (ann.) | 25.1% | 38.1% |
| Beta vs S&P 500 | 0.87 | 0.85 |
| Max drawdown (3Y) | -30.5% | -32.7% |
| Market cap | $13.0B | $0.1B |
| P/E (trailing) | 5.4 | 13.9 |
| Dividend yield | 13.32% | 13.65% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | AGNC | CHMI |
|---|---|---|
| 2022 | -21.7% | -17.2% |
| 2023 | +10.1% | -18.9% |
| 2024 | +8.9% | -21.9% |
| 2025 | +34.9% | +14.9% |
| 2026 | +10.3% | +24.3% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are AGNC and CHMI good diversifiers for each other?
Only partially. A correlation of 0.56 means AGNC and CHMI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between AGNC and CHMI?
The AGNC/CHMI correlation stands at 0.56 on a 3-year window (1 year: 0.36, 5 years: 0.60), computed from weekly returns as of 2026-08-27.
Is CHMI a good diversifier for AGNC?
Only partially. A correlation of 0.56 means AGNC and CHMI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.56 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
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Related comparisons
Hubs: AGNC correlations · CHMI correlations
