Correlation Between PennyMac Mortgage and PLAYWAY SA
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and PLAYWAY SA 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 PLAYWAY SA 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 PLAYWAY SA ZY 10, you can compare the effects of market volatilities on PennyMac Mortgage and PLAYWAY SA 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 PLAYWAY SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and PLAYWAY SA.
Diversification Opportunities for PennyMac Mortgage and PLAYWAY SA
-0.39 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and PLAYWAY is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and PLAYWAY SA ZY 10 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PLAYWAY SA ZY 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 PLAYWAY SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PLAYWAY SA ZY has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and PLAYWAY SA go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and PLAYWAY SA
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 27.35 times less return on investment than PLAYWAY SA. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 3.11 times less risky than PLAYWAY SA. It trades about 0.01 of its potential returns per unit of risk. PLAYWAY SA ZY 10 is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 4,796 in PLAYWAY SA ZY 10 on September 3, 2024 and sell it today you would earn a total of 1,404 from holding PLAYWAY SA ZY 10 or generate 29.27% 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. PLAYWAY SA ZY 10
Performance |
| Timeline |
| PennyMac Mortgage |
| PLAYWAY SA ZY |
PennyMac Mortgage and PLAYWAY SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and PLAYWAY SA
The main advantage of trading using opposite PennyMac Mortgage and PLAYWAY SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, PLAYWAY SA 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 PLAYWAY SA will offset losses from the drop in PLAYWAY SA'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 |
| PLAYWAY SA vs. National Health Investors | PLAYWAY SA vs. PennyMac Mortgage Investment | PLAYWAY SA vs. HK Electric Investments | PLAYWAY SA vs. PennantPark Investment |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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