Correlation Between PennyMac Mortgage and Sabra Health
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Sabra Health 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 Sabra Health 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 Sabra Health Care, you can compare the effects of market volatilities on PennyMac Mortgage and Sabra Health 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 Sabra Health. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Sabra Health.
Diversification Opportunities for PennyMac Mortgage and Sabra Health
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PennyMac and Sabra is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Sabra Health Care in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sabra Health Care 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 Sabra Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sabra Health Care has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Sabra Health go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Sabra Health
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.91 times more return on investment than Sabra Health. However, PennyMac Mortgage Investment is 1.1 times less risky than Sabra Health. It trades about 0.2 of its potential returns per unit of risk. Sabra Health Care is currently generating about -0.15 per unit of risk. If you would invest 1,230 in PennyMac Mortgage Investment on September 19, 2024 and sell it today you would earn a total of 50.00 from holding PennyMac Mortgage Investment or generate 4.07% 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. Sabra Health Care
Performance |
| Timeline |
| PennyMac Mortgage |
| Sabra Health Care |
PennyMac Mortgage and Sabra Health Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Sabra Health
The main advantage of trading using opposite PennyMac Mortgage and Sabra Health positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Sabra Health 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 Sabra Health will offset losses from the drop in Sabra Health's long position.| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB | PennyMac Mortgage vs. CHINA HUARONG ENERHD 50 | PennyMac Mortgage vs. NORDIC HALIBUT AS |
| Sabra Health vs. Welltower | Sabra Health vs. Superior Plus Corp | Sabra Health vs. NMI Holdings | Sabra Health vs. SIVERS SEMICONDUCTORS AB |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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