Correlation Between PennyMac Mortgage and Assicurazioni Generali
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Assicurazioni Generali 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 Assicurazioni Generali 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 Assicurazioni Generali SpA, you can compare the effects of market volatilities on PennyMac Mortgage and Assicurazioni Generali 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 Assicurazioni Generali. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Assicurazioni Generali.
Diversification Opportunities for PennyMac Mortgage and Assicurazioni Generali
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PennyMac and Assicurazioni is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Assicurazioni Generali SpA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Assicurazioni Generali 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 Assicurazioni Generali. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Assicurazioni Generali has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Assicurazioni Generali go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Assicurazioni Generali
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 1.56 times less return on investment than Assicurazioni Generali. In addition to that, PennyMac Mortgage is 1.52 times more volatile than Assicurazioni Generali SpA. It trades about 0.06 of its total potential returns per unit of risk. Assicurazioni Generali SpA is currently generating about 0.15 per unit of volatility. If you would invest 1,548 in Assicurazioni Generali SpA on December 4, 2024 and sell it today you would earn a total of 1,632 from holding Assicurazioni Generali SpA or generate 105.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 92.4% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Assicurazioni Generali SpA
Performance |
| Timeline |
| PennyMac Mortgage |
| Assicurazioni Generali |
PennyMac Mortgage and Assicurazioni Generali Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Assicurazioni Generali
The main advantage of trading using opposite PennyMac Mortgage and Assicurazioni Generali positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Assicurazioni Generali 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 Assicurazioni Generali will offset losses from the drop in Assicurazioni Generali's long position.| PennyMac Mortgage vs. ACCSYS TECHPLC EO | PennyMac Mortgage vs. Applied Materials | PennyMac Mortgage vs. THRACE PLASTICS | PennyMac Mortgage vs. Playtech plc |
| Assicurazioni Generali vs. Berkshire Hathaway | Assicurazioni Generali vs. Allianz SE VNA | Assicurazioni Generali vs. AXA SA | Assicurazioni Generali vs. AXA SA |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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