Correlation Between PennyMac Mortgage and ALGOMA STEEL
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and ALGOMA STEEL 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 ALGOMA STEEL 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 ALGOMA STEEL GROUP, you can compare the effects of market volatilities on PennyMac Mortgage and ALGOMA STEEL 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 ALGOMA STEEL. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and ALGOMA STEEL.
Diversification Opportunities for PennyMac Mortgage and ALGOMA STEEL
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PennyMac and ALGOMA is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and ALGOMA STEEL GROUP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ALGOMA STEEL GROUP 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 ALGOMA STEEL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ALGOMA STEEL GROUP has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and ALGOMA STEEL go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and ALGOMA STEEL
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.41 times more return on investment than ALGOMA STEEL. However, PennyMac Mortgage Investment is 2.45 times less risky than ALGOMA STEEL. It trades about 0.03 of its potential returns per unit of risk. ALGOMA STEEL GROUP is currently generating about -0.04 per unit of risk. If you would invest 1,199 in PennyMac Mortgage Investment on October 24, 2024 and sell it today you would earn a total of 21.00 from holding PennyMac Mortgage Investment or generate 1.75% 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. ALGOMA STEEL GROUP
Performance |
| Timeline |
| PennyMac Mortgage |
| ALGOMA STEEL GROUP |
PennyMac Mortgage and ALGOMA STEEL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and ALGOMA STEEL
The main advantage of trading using opposite PennyMac Mortgage and ALGOMA STEEL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, ALGOMA STEEL 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 ALGOMA STEEL will offset losses from the drop in ALGOMA STEEL's long position.| PennyMac Mortgage vs. PICKN PAY STORES | PennyMac Mortgage vs. AEON STORES | PennyMac Mortgage vs. Infrastrutture Wireless Italiane | PennyMac Mortgage vs. EIDESVIK OFFSHORE NK |
| ALGOMA STEEL vs. GAMESTOP | ALGOMA STEEL vs. PennantPark Investment | ALGOMA STEEL vs. AOYAMA TRADING | ALGOMA STEEL vs. Keck Seng 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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