Correlation Between PennyMac Mortgage and Ross Stores
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Ross Stores 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 Ross Stores 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 Ross Stores, you can compare the effects of market volatilities on PennyMac Mortgage and Ross Stores 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 Ross Stores. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Ross Stores.
Diversification Opportunities for PennyMac Mortgage and Ross Stores
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PennyMac and Ross is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Ross Stores in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ross Stores 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 Ross Stores. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ross Stores has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Ross Stores go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Ross Stores
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 1.38 times more return on investment than Ross Stores. However, PennyMac Mortgage is 1.38 times more volatile than Ross Stores. It trades about 0.03 of its potential returns per unit of risk. Ross Stores is currently generating about -0.06 per unit of risk. If you would invest 1,200 in PennyMac Mortgage Investment on November 3, 2024 and sell it today you would earn a total of 10.00 from holding PennyMac Mortgage Investment or generate 0.83% 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. Ross Stores
Performance |
| Timeline |
| PennyMac Mortgage |
| Ross Stores |
PennyMac Mortgage and Ross Stores Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Ross Stores
The main advantage of trading using opposite PennyMac Mortgage and Ross Stores positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Ross Stores 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 Ross Stores will offset losses from the drop in Ross Stores' long position.| PennyMac Mortgage vs. Crown Castle International | PennyMac Mortgage vs. Equinix | PennyMac Mortgage vs. W P Carey | PennyMac Mortgage vs. Gaming and Leisure |
| Ross Stores vs. Columbia Sportswear | Ross Stores vs. UNIVERSAL DISPLAY | Ross Stores vs. LG Display Co | Ross Stores vs. PLAYSTUDIOS A DL 0001 |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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