Correlation Between AmerisourceBergen and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both AmerisourceBergen and PennyMac Mortgage 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 AmerisourceBergen and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AmerisourceBergen and PennyMac Mortgage Investment, you can compare the effects of market volatilities on AmerisourceBergen and PennyMac Mortgage 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 AmerisourceBergen with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmerisourceBergen and PennyMac Mortgage.
Diversification Opportunities for AmerisourceBergen and PennyMac Mortgage
0.42 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AmerisourceBergen and PennyMac is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding AmerisourceBergen and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and AmerisourceBergen 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 AmerisourceBergen are associated (or correlated) with PennyMac Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PennyMac Mortgage has no effect on the direction of AmerisourceBergen i.e., AmerisourceBergen and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between AmerisourceBergen and PennyMac Mortgage
Assuming the 90 days trading horizon AmerisourceBergen is expected to under-perform the PennyMac Mortgage. In addition to that, AmerisourceBergen is 1.42 times more volatile than PennyMac Mortgage Investment. It trades about -0.2 of its total potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.17 per unit of volatility. 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 Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
AmerisourceBergen vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| AmerisourceBergen |
| PennyMac Mortgage |
AmerisourceBergen and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AmerisourceBergen and PennyMac Mortgage
The main advantage of trading using opposite AmerisourceBergen and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmerisourceBergen position performs unexpectedly, PennyMac Mortgage 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 PennyMac Mortgage will offset losses from the drop in PennyMac Mortgage's long position.| AmerisourceBergen vs. PennyMac Mortgage Investment | AmerisourceBergen vs. DATANG INTL POW | AmerisourceBergen vs. National Storage Affiliates | AmerisourceBergen vs. REGAL ASIAN INVESTMENTS |
| 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 |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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