Correlation Between PennyMac Mortgage and Coffee Holding
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Coffee Holding 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 Coffee Holding 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 Coffee Holding Co, you can compare the effects of market volatilities on PennyMac Mortgage and Coffee Holding 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 Coffee Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Coffee Holding.
Diversification Opportunities for PennyMac Mortgage and Coffee Holding
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and Coffee is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Coffee Holding Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Coffee Holding 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 Coffee Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Coffee Holding has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Coffee Holding go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Coffee Holding
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.44 times more return on investment than Coffee Holding. However, PennyMac Mortgage Investment is 2.28 times less risky than Coffee Holding. It trades about 0.1 of its potential returns per unit of risk. Coffee Holding Co is currently generating about 0.02 per unit of risk. If you would invest 1,220 in PennyMac Mortgage Investment on November 5, 2024 and sell it today you would earn a total of 40.00 from holding PennyMac Mortgage Investment or generate 3.28% 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. Coffee Holding Co
Performance |
| Timeline |
| PennyMac Mortgage |
| Coffee Holding |
PennyMac Mortgage and Coffee Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Coffee Holding
The main advantage of trading using opposite PennyMac Mortgage and Coffee Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Coffee Holding 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 Coffee Holding will offset losses from the drop in Coffee Holding's long position.| PennyMac Mortgage vs. Guangdong Investment Limited | PennyMac Mortgage vs. ELMOS SEMICONDUCTOR | PennyMac Mortgage vs. Nordic Semiconductor ASA | PennyMac Mortgage vs. Lattice Semiconductor |
| Coffee Holding vs. ALEFARM BREWING DK 05 | Coffee Holding vs. SPORT LISBOA E | Coffee Holding vs. NTG Nordic Transport | Coffee Holding vs. WIMFARM SA EO |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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