Correlation Between PennyMac Mortgage and POSBO UNSPADRS/20YC1
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and POSBO UNSPADRS/20YC1 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 POSBO UNSPADRS/20YC1 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 POSBO UNSPADRS20YC1, you can compare the effects of market volatilities on PennyMac Mortgage and POSBO UNSPADRS/20YC1 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 POSBO UNSPADRS/20YC1. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and POSBO UNSPADRS/20YC1.
Diversification Opportunities for PennyMac Mortgage and POSBO UNSPADRS/20YC1
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and POSBO is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and POSBO UNSPADRS20YC1 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on POSBO UNSPADRS/20YC1 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 POSBO UNSPADRS/20YC1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of POSBO UNSPADRS/20YC1 has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and POSBO UNSPADRS/20YC1 go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and POSBO UNSPADRS/20YC1
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 1.69 times less return on investment than POSBO UNSPADRS/20YC1. In addition to that, PennyMac Mortgage is 1.53 times more volatile than POSBO UNSPADRS20YC1. It trades about 0.03 of its total potential returns per unit of risk. POSBO UNSPADRS20YC1 is currently generating about 0.07 per unit of volatility. If you would invest 1,070 in POSBO UNSPADRS20YC1 on November 3, 2024 and sell it today you would earn a total of 20.00 from holding POSBO UNSPADRS20YC1 or generate 1.87% 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. POSBO UNSPADRS20YC1
Performance |
| Timeline |
| PennyMac Mortgage |
| POSBO UNSPADRS/20YC1 |
PennyMac Mortgage and POSBO UNSPADRS/20YC1 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and POSBO UNSPADRS/20YC1
The main advantage of trading using opposite PennyMac Mortgage and POSBO UNSPADRS/20YC1 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, POSBO UNSPADRS/20YC1 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 POSBO UNSPADRS/20YC1 will offset losses from the drop in POSBO UNSPADRS/20YC1's long position.| PennyMac Mortgage vs. Crown Castle International | PennyMac Mortgage vs. Equinix | PennyMac Mortgage vs. W P Carey | PennyMac Mortgage vs. Gaming and Leisure |
| POSBO UNSPADRS/20YC1 vs. OPKO HEALTH | POSBO UNSPADRS/20YC1 vs. Ares Management Corp | POSBO UNSPADRS/20YC1 vs. CEOTRONICS | POSBO UNSPADRS/20YC1 vs. Cardinal Health |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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