Correlation Between PennyMac Mortgage and Union Pacific
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Union Pacific 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 Union Pacific 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 Union Pacific, you can compare the effects of market volatilities on PennyMac Mortgage and Union Pacific 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 Union Pacific. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Union Pacific.
Diversification Opportunities for PennyMac Mortgage and Union Pacific
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between PennyMac and Union is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Union Pacific in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Union Pacific 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 Union Pacific. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Union Pacific has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Union Pacific go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Union Pacific
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.73 times more return on investment than Union Pacific. However, PennyMac Mortgage Investment is 1.37 times less risky than Union Pacific. It trades about 0.07 of its potential returns per unit of risk. Union Pacific is currently generating about 0.04 per unit of risk. If you would invest 1,184 in PennyMac Mortgage Investment on September 5, 2024 and sell it today you would earn a total of 116.00 from holding PennyMac Mortgage Investment or generate 9.8% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.22% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Union Pacific
Performance |
| Timeline |
| PennyMac Mortgage |
| Union Pacific |
PennyMac Mortgage and Union Pacific Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Union Pacific
The main advantage of trading using opposite PennyMac Mortgage and Union Pacific positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Union Pacific 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 Union Pacific will offset losses from the drop in Union Pacific'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 |
| Union Pacific vs. DIVERSIFIED ROYALTY | Union Pacific vs. PennyMac Mortgage Investment | Union Pacific vs. National Storage Affiliates | Union Pacific vs. Japan Asia Investment |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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