Correlation Between KKR Real and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both KKR Real 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 KKR Real and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between KKR Real Estate and PennyMac Mortgage Investment, you can compare the effects of market volatilities on KKR Real 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 KKR Real with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of KKR Real and PennyMac Mortgage.
Diversification Opportunities for KKR Real and PennyMac Mortgage
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between KKR and PennyMac is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding KKR Real Estate and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and KKR Real 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 KKR Real Estate 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 KKR Real i.e., KKR Real and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between KKR Real and PennyMac Mortgage
Given the investment horizon of 90 days KKR Real Estate is expected to generate 3.6 times more return on investment than PennyMac Mortgage. However, KKR Real is 3.6 times more volatile than PennyMac Mortgage Investment. It trades about 0.13 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.3 per unit of risk. If you would invest 1,061 in KKR Real Estate on November 18, 2024 and sell it today you would earn a total of 71.00 from holding KKR Real Estate or generate 6.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
KKR Real Estate vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| KKR Real Estate |
| PennyMac Mortgage |
KKR Real and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with KKR Real and PennyMac Mortgage
The main advantage of trading using opposite KKR Real and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if KKR Real 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.| KKR Real vs. Ellington Financial | KKR Real vs. Dynex Capital | KKR Real vs. Ares Commercial Real | KKR Real vs. Cherry Hill Mortgage |
| PennyMac Mortgage vs. AG Mortgage Investment | PennyMac Mortgage vs. AG Mortgage Investment | PennyMac Mortgage vs. MFA Financial | PennyMac Mortgage vs. Invesco Mortgage Capital |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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