Correlation Between PennyMac Mortgage and GEELY AUTOMOBILE
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and GEELY AUTOMOBILE 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 GEELY AUTOMOBILE 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 GEELY AUTOMOBILE, you can compare the effects of market volatilities on PennyMac Mortgage and GEELY AUTOMOBILE 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 GEELY AUTOMOBILE. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and GEELY AUTOMOBILE.
Diversification Opportunities for PennyMac Mortgage and GEELY AUTOMOBILE
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between PennyMac and GEELY is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and GEELY AUTOMOBILE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GEELY AUTOMOBILE 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 GEELY AUTOMOBILE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GEELY AUTOMOBILE has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and GEELY AUTOMOBILE go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and GEELY AUTOMOBILE
Assuming the 90 days horizon PennyMac Mortgage is expected to generate 3.4 times less return on investment than GEELY AUTOMOBILE. But when comparing it to its historical volatility, PennyMac Mortgage Investment is 1.62 times less risky than GEELY AUTOMOBILE. It trades about 0.03 of its potential returns per unit of risk. GEELY AUTOMOBILE is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 92.00 in GEELY AUTOMOBILE on October 7, 2024 and sell it today you would earn a total of 84.00 from holding GEELY AUTOMOBILE or generate 91.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. GEELY AUTOMOBILE
Performance |
| Timeline |
| PennyMac Mortgage |
| GEELY AUTOMOBILE |
PennyMac Mortgage and GEELY AUTOMOBILE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and GEELY AUTOMOBILE
The main advantage of trading using opposite PennyMac Mortgage and GEELY AUTOMOBILE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, GEELY AUTOMOBILE 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 GEELY AUTOMOBILE will offset losses from the drop in GEELY AUTOMOBILE's long position.| PennyMac Mortgage vs. W P Carey | PennyMac Mortgage vs. Gaming and Leisure | PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings |
| GEELY AUTOMOBILE vs. Apple Inc | GEELY AUTOMOBILE vs. Apple Inc | GEELY AUTOMOBILE vs. Apple Inc | GEELY AUTOMOBILE vs. Apple Inc |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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