Correlation Between Macerich and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both Macerich 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 Macerich and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Macerich and PennyMac Mortgage Investment, you can compare the effects of market volatilities on Macerich 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 Macerich with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macerich and PennyMac Mortgage.
Diversification Opportunities for Macerich and PennyMac Mortgage
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Macerich and PennyMac is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding The Macerich and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and Macerich 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 The Macerich 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 Macerich i.e., Macerich and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between Macerich and PennyMac Mortgage
Assuming the 90 days horizon The Macerich is expected to generate 2.57 times more return on investment than PennyMac Mortgage. However, Macerich is 2.57 times more volatile than PennyMac Mortgage Investment. It trades about 0.37 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.24 per unit of risk. If you would invest 1,629 in The Macerich on September 4, 2024 and sell it today you would earn a total of 357.00 from holding The Macerich or generate 21.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
The Macerich vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| Macerich |
| PennyMac Mortgage |
Macerich and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macerich and PennyMac Mortgage
The main advantage of trading using opposite Macerich and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macerich 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.| Macerich vs. PennyMac Mortgage Investment | Macerich vs. PennantPark Investment | Macerich vs. TERADATA | Macerich vs. SLR Investment Corp |
| PennyMac Mortgage vs. Superior Plus Corp | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. Origin Agritech | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB |
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 Managers module to screen money managers from public funds and ETFs managed around the world.
Other Complementary Tools
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Transaction History View history of all your transactions and understand their impact on performance |