Correlation Between FUJITSU and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both FUJITSU 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 FUJITSU and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FUJITSU LTD ADR and PennyMac Mortgage Investment, you can compare the effects of market volatilities on FUJITSU 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 FUJITSU with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of FUJITSU and PennyMac Mortgage.
Diversification Opportunities for FUJITSU and PennyMac Mortgage
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between FUJITSU and PennyMac is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding FUJITSU LTD ADR and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and FUJITSU 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 FUJITSU LTD ADR 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 FUJITSU i.e., FUJITSU and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between FUJITSU and PennyMac Mortgage
Assuming the 90 days trading horizon FUJITSU LTD ADR is expected to generate 1.85 times more return on investment than PennyMac Mortgage. However, FUJITSU is 1.85 times more volatile than PennyMac Mortgage Investment. It trades about 0.21 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.17 per unit of risk. If you would invest 1,640 in FUJITSU LTD ADR on September 14, 2024 and sell it today you would earn a total of 120.00 from holding FUJITSU LTD ADR or generate 7.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
FUJITSU LTD ADR vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| FUJITSU LTD ADR |
| PennyMac Mortgage |
FUJITSU and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with FUJITSU and PennyMac Mortgage
The main advantage of trading using opposite FUJITSU and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FUJITSU 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.| FUJITSU vs. PennyMac Mortgage Investment | FUJITSU vs. Charter Communications | FUJITSU vs. ETFS Coffee ETC | FUJITSU vs. Apollo Investment Corp |
| 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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