Correlation Between PennyMac Mortgage and SYSTEMAIR
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and SYSTEMAIR 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 SYSTEMAIR 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 SYSTEMAIR AB, you can compare the effects of market volatilities on PennyMac Mortgage and SYSTEMAIR 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 SYSTEMAIR. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and SYSTEMAIR.
Diversification Opportunities for PennyMac Mortgage and SYSTEMAIR
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and SYSTEMAIR is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and SYSTEMAIR AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SYSTEMAIR AB 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 SYSTEMAIR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SYSTEMAIR AB has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and SYSTEMAIR go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and SYSTEMAIR
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 3.49 times less return on investment than SYSTEMAIR. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 1.86 times less risky than SYSTEMAIR. It trades about 0.02 of its potential returns per unit of risk. SYSTEMAIR AB is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 453.00 in SYSTEMAIR AB on October 27, 2024 and sell it today you would earn a total of 273.00 from holding SYSTEMAIR AB or generate 60.26% 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. SYSTEMAIR AB
Performance |
| Timeline |
| PennyMac Mortgage |
| SYSTEMAIR AB |
PennyMac Mortgage and SYSTEMAIR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and SYSTEMAIR
The main advantage of trading using opposite PennyMac Mortgage and SYSTEMAIR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, SYSTEMAIR 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 SYSTEMAIR will offset losses from the drop in SYSTEMAIR's long position.| PennyMac Mortgage vs. China BlueChemical | PennyMac Mortgage vs. Luckin Coffee | PennyMac Mortgage vs. Sanyo Chemical Industries | PennyMac Mortgage vs. Silicon Motion Technology |
| SYSTEMAIR vs. Apollo Investment Corp | SYSTEMAIR vs. SEI INVESTMENTS | SYSTEMAIR vs. Austevoll Seafood ASA | SYSTEMAIR vs. SLR Investment Corp |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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