Correlation Between PennyMac Mortgage and CapitaLand Investment
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and CapitaLand Investment 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 CapitaLand Investment 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 CapitaLand Investment Limited, you can compare the effects of market volatilities on PennyMac Mortgage and CapitaLand Investment 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 CapitaLand Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and CapitaLand Investment.
Diversification Opportunities for PennyMac Mortgage and CapitaLand Investment
0.39 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and CapitaLand is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and CapitaLand Investment Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CapitaLand Investment 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 CapitaLand Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CapitaLand Investment has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and CapitaLand Investment go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and CapitaLand Investment
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 1.08 times more return on investment than CapitaLand Investment. However, PennyMac Mortgage is 1.08 times more volatile than CapitaLand Investment Limited. It trades about 0.03 of its potential returns per unit of risk. CapitaLand Investment Limited is currently generating about -0.01 per unit of risk. If you would invest 1,077 in PennyMac Mortgage Investment on August 30, 2024 and sell it today you would earn a total of 213.00 from holding PennyMac Mortgage Investment or generate 19.78% 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. CapitaLand Investment Limited
Performance |
| Timeline |
| PennyMac Mortgage |
| CapitaLand Investment |
PennyMac Mortgage and CapitaLand Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and CapitaLand Investment
The main advantage of trading using opposite PennyMac Mortgage and CapitaLand Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, CapitaLand Investment 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 CapitaLand Investment will offset losses from the drop in CapitaLand Investment's long position.| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB | PennyMac Mortgage vs. Talanx AG |
| CapitaLand Investment vs. Vonovia SE | CapitaLand Investment vs. Wharf Real Estate | CapitaLand Investment vs. Superior Plus Corp | CapitaLand Investment vs. NMI Holdings |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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