Correlation Between PennyMac Mortgage and AGF Management
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and AGF Management 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 AGF Management 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 AGF Management Limited, you can compare the effects of market volatilities on PennyMac Mortgage and AGF Management 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 AGF Management. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and AGF Management.
Diversification Opportunities for PennyMac Mortgage and AGF Management
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PennyMac and AGF is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and AGF Management Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGF Management 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 AGF Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGF Management has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and AGF Management go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and AGF Management
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 3.57 times less return on investment than AGF Management. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 1.92 times less risky than AGF Management. It trades about 0.1 of its potential returns per unit of risk. AGF Management Limited is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 685.00 in AGF Management Limited on August 30, 2024 and sell it today you would earn a total of 60.00 from holding AGF Management Limited or generate 8.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. AGF Management Limited
Performance |
| Timeline |
| PennyMac Mortgage |
| AGF Management |
PennyMac Mortgage and AGF Management Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and AGF Management
The main advantage of trading using opposite PennyMac Mortgage and AGF Management positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, AGF Management 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 AGF Management will offset losses from the drop in AGF Management'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 |
| AGF Management vs. Salesforce | AGF Management vs. Carsales | AGF Management vs. MARKET VECTR RETAIL | AGF Management vs. MagnaChip Semiconductor 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 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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