Correlation Between PennyMac Mortgage and Necessity Retail
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Necessity Retail 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 Necessity Retail 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 Necessity Retail REIT, you can compare the effects of market volatilities on PennyMac Mortgage and Necessity Retail 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 Necessity Retail. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Necessity Retail.
Diversification Opportunities for PennyMac Mortgage and Necessity Retail
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between PennyMac and Necessity is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Necessity Retail REIT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Necessity Retail REIT 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 Necessity Retail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Necessity Retail REIT has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Necessity Retail go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Necessity Retail
If you would invest 2,066 in PennyMac Mortgage Investment on August 27, 2024 and sell it today you would earn a total of 14.00 from holding PennyMac Mortgage Investment or generate 0.68% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 4.76% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Necessity Retail REIT
Performance |
| Timeline |
| PennyMac Mortgage |
| Necessity Retail REIT |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
PennyMac Mortgage and Necessity Retail Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Necessity Retail
The main advantage of trading using opposite PennyMac Mortgage and Necessity Retail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Necessity Retail 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 Necessity Retail will offset losses from the drop in Necessity Retail's long position.| PennyMac Mortgage vs. Rithm Capital Corp | PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Two Harbors Investment | PennyMac Mortgage vs. ARMOUR Residential REIT |
| Necessity Retail vs. RLJ Lodging Trust | Necessity Retail vs. PennyMac Mortgage Investment | Necessity Retail vs. Invesco Mortgage Capital | Necessity Retail vs. New York Mortgage |
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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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