Correlation Between PennyMac Mortgage and ACRES Commercial
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and ACRES Commercial 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 PennyMac Mortgage and ACRES Commercial into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PennyMac Mortgage Investment and ACRES Commercial Realty, you can compare the effects of market volatilities on PennyMac Mortgage and ACRES Commercial 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 PennyMac Mortgage with a short position of ACRES Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and ACRES Commercial.
Diversification Opportunities for PennyMac Mortgage and ACRES Commercial
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and ACRES is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and ACRES Commercial Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ACRES Commercial Realty and PennyMac Mortgage 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 PennyMac Mortgage Investment are associated (or correlated) with ACRES Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ACRES Commercial Realty has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and ACRES Commercial go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and ACRES Commercial
Assuming the 90 days trading horizon PennyMac Mortgage Investment is expected to under-perform the ACRES Commercial. But the preferred stock apears to be less risky and, when comparing its historical volatility, PennyMac Mortgage Investment is 1.76 times less risky than ACRES Commercial. The preferred stock trades about -0.07 of its potential returns per unit of risk. The ACRES Commercial Realty is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 2,282 in ACRES Commercial Realty on August 27, 2024 and sell it today you would lose (4.00) from holding ACRES Commercial Realty or give up 0.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. ACRES Commercial Realty
Performance |
| Timeline |
| PennyMac Mortgage |
| ACRES Commercial Realty |
PennyMac Mortgage and ACRES Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and ACRES Commercial
The main advantage of trading using opposite PennyMac Mortgage and ACRES Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, ACRES Commercial 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 ACRES Commercial will offset losses from the drop in ACRES Commercial's long position.| PennyMac Mortgage vs. Annaly Capital Management | PennyMac Mortgage vs. AGNC Investment Corp | PennyMac Mortgage vs. Invesco Mortgage Capital | 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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