Correlation Between PennyMac Mortgage and ASM International
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and ASM International 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 ASM International 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 ASM International NV, you can compare the effects of market volatilities on PennyMac Mortgage and ASM International 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 ASM International. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and ASM International.
Diversification Opportunities for PennyMac Mortgage and ASM International
-0.32 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and ASM is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and ASM International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASM International 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 ASM International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASM International has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and ASM International go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and ASM International
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.32 times more return on investment than ASM International. However, PennyMac Mortgage Investment is 3.11 times less risky than ASM International. It trades about 0.07 of its potential returns per unit of risk. ASM International NV is currently generating about -0.08 per unit of risk. If you would invest 1,231 in PennyMac Mortgage Investment on September 3, 2024 and sell it today you would earn a total of 49.00 from holding PennyMac Mortgage Investment or generate 3.98% 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. ASM International NV
Performance |
| Timeline |
| PennyMac Mortgage |
| ASM International |
PennyMac Mortgage and ASM International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and ASM International
The main advantage of trading using opposite PennyMac Mortgage and ASM International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, ASM International 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 ASM International will offset losses from the drop in ASM International'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 |
| ASM International vs. PennyMac Mortgage Investment | ASM International vs. CECO ENVIRONMENTAL | ASM International vs. HK Electric Investments | ASM International vs. REINET INVESTMENTS SCA |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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