Correlation Between PennyMac Mortgage and American Public
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and American Public 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 American Public 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 American Public Education, you can compare the effects of market volatilities on PennyMac Mortgage and American Public 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 American Public. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and American Public.
Diversification Opportunities for PennyMac Mortgage and American Public
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PennyMac and American is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and American Public Education in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on American Public Education 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 American Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Public Education has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and American Public go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and American Public
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 19.18 times less return on investment than American Public. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 3.65 times less risky than American Public. It trades about 0.07 of its potential returns per unit of risk. American Public Education is currently generating about 0.36 of returns per unit of risk over similar time horizon. If you would invest 1,410 in American Public Education on September 1, 2024 and sell it today you would earn a total of 510.00 from holding American Public Education or generate 36.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. American Public Education
Performance |
| Timeline |
| PennyMac Mortgage |
| American Public Education |
PennyMac Mortgage and American Public Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and American Public
The main advantage of trading using opposite PennyMac Mortgage and American Public positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, American Public 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 American Public will offset losses from the drop in American Public's long position.| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. Origin Agritech | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB |
| American Public vs. Tower One Wireless | American Public vs. Perseus Mining Limited | American Public vs. PennyMac Mortgage Investment | American Public vs. SEI INVESTMENTS |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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