Correlation Between PennyMac Mortgage and Sportsmans Warehouse
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Sportsmans Warehouse 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 Sportsmans Warehouse 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 Sportsmans Warehouse Holdings, you can compare the effects of market volatilities on PennyMac Mortgage and Sportsmans Warehouse 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 Sportsmans Warehouse. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Sportsmans Warehouse.
Diversification Opportunities for PennyMac Mortgage and Sportsmans Warehouse
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and Sportsmans is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Sportsmans Warehouse Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sportsmans Warehouse 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 Sportsmans Warehouse. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sportsmans Warehouse has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Sportsmans Warehouse go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Sportsmans Warehouse
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 4.57 times less return on investment than Sportsmans Warehouse. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 6.95 times less risky than Sportsmans Warehouse. It trades about 0.17 of its potential returns per unit of risk. Sportsmans Warehouse Holdings is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 216.00 in Sportsmans Warehouse Holdings on September 14, 2024 and sell it today you would earn a total of 26.00 from holding Sportsmans Warehouse Holdings or generate 12.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Sportsmans Warehouse Holdings
Performance |
| Timeline |
| PennyMac Mortgage |
| Sportsmans Warehouse |
PennyMac Mortgage and Sportsmans Warehouse Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Sportsmans Warehouse
The main advantage of trading using opposite PennyMac Mortgage and Sportsmans Warehouse positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Sportsmans Warehouse 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 Sportsmans Warehouse will offset losses from the drop in Sportsmans Warehouse's long position.| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB | PennyMac Mortgage vs. CHINA HUARONG ENERHD 50 | PennyMac Mortgage vs. NORDIC HALIBUT AS |
| Sportsmans Warehouse vs. Superior Plus Corp | Sportsmans Warehouse vs. SIVERS SEMICONDUCTORS AB | Sportsmans Warehouse vs. Norsk Hydro ASA | Sportsmans Warehouse vs. Reliance Steel Aluminum |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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