Correlation Between PennyMac Mortgage and Chesapeake Utilities
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Chesapeake Utilities 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 Chesapeake Utilities 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 Chesapeake Utilities, you can compare the effects of market volatilities on PennyMac Mortgage and Chesapeake Utilities 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 Chesapeake Utilities. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Chesapeake Utilities.
Diversification Opportunities for PennyMac Mortgage and Chesapeake Utilities
0.39 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and Chesapeake is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Chesapeake Utilities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chesapeake Utilities 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 Chesapeake Utilities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chesapeake Utilities has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Chesapeake Utilities go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Chesapeake Utilities
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 2.36 times less return on investment than Chesapeake Utilities. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 1.27 times less risky than Chesapeake Utilities. It trades about 0.07 of its potential returns per unit of risk. Chesapeake Utilities is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 10,079 in Chesapeake Utilities on August 31, 2024 and sell it today you would earn a total of 2,321 from holding Chesapeake Utilities or generate 23.03% 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. Chesapeake Utilities
Performance |
| Timeline |
| PennyMac Mortgage |
| Chesapeake Utilities |
PennyMac Mortgage and Chesapeake Utilities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Chesapeake Utilities
The main advantage of trading using opposite PennyMac Mortgage and Chesapeake Utilities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Chesapeake Utilities 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 Chesapeake Utilities will offset losses from the drop in Chesapeake Utilities' long position.| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. Origin Agritech | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB |
| Chesapeake Utilities vs. CenterPoint Energy | Chesapeake Utilities vs. Snam SpA | Chesapeake Utilities vs. ENN Energy Holdings | Chesapeake Utilities vs. Superior Plus 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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