Correlation Between Lyxor 1 and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both Lyxor 1 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 Lyxor 1 and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 1 and PennyMac Mortgage Investment, you can compare the effects of market volatilities on Lyxor 1 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 Lyxor 1 with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and PennyMac Mortgage.
Diversification Opportunities for Lyxor 1 and PennyMac Mortgage
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and PennyMac is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and Lyxor 1 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 Lyxor 1 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 Lyxor 1 i.e., Lyxor 1 and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between Lyxor 1 and PennyMac Mortgage
Assuming the 90 days trading horizon Lyxor 1 is expected to under-perform the PennyMac Mortgage. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor 1 is 1.11 times less risky than PennyMac Mortgage. The etf trades about -0.03 of its potential returns per unit of risk. The PennyMac Mortgage Investment is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 1,260 in PennyMac Mortgage Investment on August 29, 2024 and sell it today you would earn a total of 30.00 from holding PennyMac Mortgage Investment or generate 2.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Lyxor 1 vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| Lyxor 1 |
| PennyMac Mortgage |
Lyxor 1 and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor 1 and PennyMac Mortgage
The main advantage of trading using opposite Lyxor 1 and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 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.| Lyxor 1 vs. Lyxor Fed Funds | Lyxor 1 vs. Lyxor BofAML USD | Lyxor 1 vs. Lyxor 1 TecDAX | Lyxor 1 vs. Lyxor UCITS EuroMTS |
| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB | PennyMac Mortgage vs. Talanx AG |
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.
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