Correlation Between ACRES Commercial and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both ACRES Commercial 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 ACRES Commercial and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ACRES Commercial Realty and PennyMac Mortgage Investment, you can compare the effects of market volatilities on ACRES Commercial 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 ACRES Commercial with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACRES Commercial and PennyMac Mortgage.
Diversification Opportunities for ACRES Commercial and PennyMac Mortgage
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between ACRES and PennyMac is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding ACRES Commercial Realty and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and ACRES Commercial 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 ACRES Commercial Realty 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 ACRES Commercial i.e., ACRES Commercial and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between ACRES Commercial and PennyMac Mortgage
Assuming the 90 days trading horizon ACRES Commercial is expected to generate 1.16 times less return on investment than PennyMac Mortgage. But when comparing it to its historical volatility, ACRES Commercial Realty is 3.72 times less risky than PennyMac Mortgage. It trades about 0.23 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,057 in PennyMac Mortgage Investment on August 30, 2024 and sell it today you would earn a total of 23.00 from holding PennyMac Mortgage Investment or generate 1.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ACRES Commercial Realty vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| ACRES Commercial Realty |
| PennyMac Mortgage |
ACRES Commercial and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACRES Commercial and PennyMac Mortgage
The main advantage of trading using opposite ACRES Commercial and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACRES Commercial 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.| ACRES Commercial vs. AG Mortgage Investment | ACRES Commercial vs. AG Mortgage Investment | ACRES Commercial vs. Invesco Mortgage Capital | ACRES Commercial vs. Invesco Mortgage Capital |
| PennyMac Mortgage vs. ACRES Commercial Realty | PennyMac Mortgage vs. Dynex Capital | PennyMac Mortgage vs. PennyMac Mortgage Investment | PennyMac Mortgage vs. AG Mortgage 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
Other Complementary Tools
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Stocks Directory Find actively traded stocks across global markets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal |