Correlation Between PennyMac Mortgage and T MOBILE

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Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and T MOBILE 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 T MOBILE 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 T MOBILE INCDL 00001, you can compare the effects of market volatilities on PennyMac Mortgage and T MOBILE 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 T MOBILE. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and T MOBILE.

Diversification Opportunities for PennyMac Mortgage and T MOBILE

0.55
  Correlation Coefficient

Very weak diversification

The 3 months correlation between PennyMac and TM5 is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and T MOBILE INCDL 00001 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on T MOBILE INCDL 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 T MOBILE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of T MOBILE INCDL has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and T MOBILE go up and down completely randomly.

Pair Corralation between PennyMac Mortgage and T MOBILE

Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.67 times more return on investment than T MOBILE. However, PennyMac Mortgage Investment is 1.49 times less risky than T MOBILE. It trades about 0.17 of its potential returns per unit of risk. T MOBILE INCDL 00001 is currently generating about -0.06 per unit of risk. If you would invest  1,230  in PennyMac Mortgage Investment on September 14, 2024 and sell it today you would earn a total of  40.00  from holding PennyMac Mortgage Investment or generate 3.25% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

PennyMac Mortgage Investment  vs.  T MOBILE INCDL 00001

 Performance 
       Timeline  
PennyMac Mortgage 

Risk-Adjusted Performance

4 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in PennyMac Mortgage Investment are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, PennyMac Mortgage is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.
T MOBILE INCDL 

Risk-Adjusted Performance

18 of 100

 
Weak
 
Strong
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in T MOBILE INCDL 00001 are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively fragile basic indicators, T MOBILE unveiled solid returns over the last few months and may actually be approaching a breakup point.

PennyMac Mortgage and T MOBILE Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with PennyMac Mortgage and T MOBILE

The main advantage of trading using opposite PennyMac Mortgage and T MOBILE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, T MOBILE 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 T MOBILE will offset losses from the drop in T MOBILE's long position.
The idea behind PennyMac Mortgage Investment and T MOBILE INCDL 00001 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Anywhere module to track or share privately all of your investments from the convenience of any device.

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