Correlation Between PennyMac Mortgage and PT Bank
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and PT Bank 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 PT Bank 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 PT Bank Maybank, you can compare the effects of market volatilities on PennyMac Mortgage and PT Bank 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 PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and PT Bank.
Diversification Opportunities for PennyMac Mortgage and PT Bank
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between PennyMac and BOZA is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and PT Bank Maybank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Maybank 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 PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Maybank has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and PT Bank go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and PT Bank
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to under-perform the PT Bank. But the stock apears to be less risky and, when comparing its historical volatility, PennyMac Mortgage Investment is 7.52 times less risky than PT Bank. The stock trades about -0.19 of its potential returns per unit of risk. The PT Bank Maybank is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 1.25 in PT Bank Maybank on September 24, 2024 and sell it today you would lose (0.10) from holding PT Bank Maybank or give up 8.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. PT Bank Maybank
Performance |
| Timeline |
| PennyMac Mortgage |
| PT Bank Maybank |
PennyMac Mortgage and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and PT Bank
The main advantage of trading using opposite PennyMac Mortgage and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, PT Bank 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 PT Bank will offset losses from the drop in PT Bank's long position.| PennyMac Mortgage vs. Crown Castle International | PennyMac Mortgage vs. Equinix | PennyMac Mortgage vs. W P Carey | PennyMac Mortgage vs. Gaming and Leisure |
| PT Bank vs. China Merchants Bank | PT Bank vs. HDFC Bank Limited | PT Bank vs. ICICI Bank Limited | PT Bank vs. PT Bank Central |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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