Correlation Between PennyMac Mortgage and CSL
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and CSL 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 CSL 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 CSL Limited, you can compare the effects of market volatilities on PennyMac Mortgage and CSL 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 CSL. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and CSL.
Diversification Opportunities for PennyMac Mortgage and CSL
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and CSL is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and CSL Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL Limited 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 CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL Limited has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and CSL go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and CSL
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.77 times more return on investment than CSL. However, PennyMac Mortgage Investment is 1.3 times less risky than CSL. It trades about 0.02 of its potential returns per unit of risk. CSL Limited is currently generating about -0.08 per unit of risk. If you would invest 1,181 in PennyMac Mortgage Investment on October 26, 2024 and sell it today you would earn a total of 29.00 from holding PennyMac Mortgage Investment or generate 2.46% 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. CSL Limited
Performance |
| Timeline |
| PennyMac Mortgage |
| CSL Limited |
PennyMac Mortgage and CSL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and CSL
The main advantage of trading using opposite PennyMac Mortgage and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.| PennyMac Mortgage vs. US FOODS HOLDING | PennyMac Mortgage vs. MOLSON RS BEVERAGE | PennyMac Mortgage vs. NAGOYA RAILROAD | PennyMac Mortgage vs. TRAINLINE PLC LS |
| CSL vs. WT OFFSHORE | CSL vs. Keck Seng Investments | CSL vs. Coffee Holding Co | CSL vs. PennyMac Mortgage Investment |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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