Correlation Between PennyMac Mortgage and FAST RETAILCOSPHDR
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and FAST RETAILCOSPHDR 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 FAST RETAILCOSPHDR 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 FAST RETAILCOSPHDR 1, you can compare the effects of market volatilities on PennyMac Mortgage and FAST RETAILCOSPHDR 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 FAST RETAILCOSPHDR. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and FAST RETAILCOSPHDR.
Diversification Opportunities for PennyMac Mortgage and FAST RETAILCOSPHDR
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PennyMac and FAST is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and FAST RETAILCOSPHDR 1 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FAST RETAILCOSPHDR 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 FAST RETAILCOSPHDR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FAST RETAILCOSPHDR has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and FAST RETAILCOSPHDR go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and FAST RETAILCOSPHDR
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 2.67 times less return on investment than FAST RETAILCOSPHDR. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 1.78 times less risky than FAST RETAILCOSPHDR. It trades about 0.07 of its potential returns per unit of risk. FAST RETAILCOSPHDR 1 is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 284.00 in FAST RETAILCOSPHDR 1 on September 1, 2024 and sell it today you would earn a total of 12.00 from holding FAST RETAILCOSPHDR 1 or generate 4.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. FAST RETAILCOSPHDR 1
Performance |
| Timeline |
| PennyMac Mortgage |
| FAST RETAILCOSPHDR |
PennyMac Mortgage and FAST RETAILCOSPHDR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and FAST RETAILCOSPHDR
The main advantage of trading using opposite PennyMac Mortgage and FAST RETAILCOSPHDR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, FAST RETAILCOSPHDR 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 FAST RETAILCOSPHDR will offset losses from the drop in FAST RETAILCOSPHDR'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 |
| FAST RETAILCOSPHDR vs. Zurich Insurance Group | FAST RETAILCOSPHDR vs. Jacquet Metal Service | FAST RETAILCOSPHDR vs. Evolution Mining Limited | FAST RETAILCOSPHDR vs. Direct Line Insurance |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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