Correlation Between PennyMac Mortgage and New York
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and New York 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 New York 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 New York Mortgage, you can compare the effects of market volatilities on PennyMac Mortgage and New York 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 New York. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and New York.
Diversification Opportunities for PennyMac Mortgage and New York
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PennyMac and New is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and New York Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on New York Mortgage 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 New York. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of New York Mortgage has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and New York go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and New York
Assuming the 90 days trading horizon PennyMac Mortgage is expected to generate 2.7 times less return on investment than New York. In addition to that, PennyMac Mortgage is 1.24 times more volatile than New York Mortgage. It trades about 0.07 of its total potential returns per unit of risk. New York Mortgage is currently generating about 0.24 per unit of volatility. If you would invest 2,212 in New York Mortgage on August 30, 2024 and sell it today you would earn a total of 70.00 from holding New York Mortgage or generate 3.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. New York Mortgage
Performance |
| Timeline |
| PennyMac Mortgage |
| New York Mortgage |
PennyMac Mortgage and New York Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and New York
The main advantage of trading using opposite PennyMac Mortgage and New York positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, New York 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 New York will offset losses from the drop in New York's long position.| PennyMac Mortgage vs. ACRES Commercial Realty | PennyMac Mortgage vs. Dynex Capital | PennyMac Mortgage vs. PennyMac Mortgage Investment | PennyMac Mortgage vs. AG Mortgage Investment |
| New York vs. AG Mortgage Investment | New York vs. AG Mortgage Investment | New York vs. Invesco Mortgage Capital | New York 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
Other Complementary Tools
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios |