Correlation Between PennyMac Mortgage and Apollo Commercial
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Apollo 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 Apollo 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 Apollo Commercial Real, you can compare the effects of market volatilities on PennyMac Mortgage and Apollo 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 Apollo Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Apollo Commercial.
Diversification Opportunities for PennyMac Mortgage and Apollo Commercial
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and Apollo is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Apollo Commercial Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Apollo Commercial Real 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 Apollo Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Apollo Commercial Real has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Apollo Commercial go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Apollo Commercial
Considering the 90-day investment horizon PennyMac Mortgage Investment is expected to under-perform the Apollo Commercial. But the stock apears to be less risky and, when comparing its historical volatility, PennyMac Mortgage Investment is 1.03 times less risky than Apollo Commercial. The stock trades about -0.05 of its potential returns per unit of risk. The Apollo Commercial Real is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 874.00 in Apollo Commercial Real on August 24, 2024 and sell it today you would earn a total of 46.00 from holding Apollo Commercial Real or generate 5.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PennyMac Mortgage Investment vs. Apollo Commercial Real
Performance |
| Timeline |
| PennyMac Mortgage |
| Apollo Commercial Real |
PennyMac Mortgage and Apollo Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PennyMac Mortgage and Apollo Commercial
The main advantage of trading using opposite PennyMac Mortgage and Apollo Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Apollo 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 Apollo Commercial will offset losses from the drop in Apollo Commercial's long position.| PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Two Harbors Investments | PennyMac Mortgage vs. MFA Financial | PennyMac Mortgage vs. Invesco Mortgage Capital |
| Apollo Commercial vs. Ares Commercial Real | Apollo Commercial vs. PennyMac Mortgage Investment | Apollo Commercial vs. Blackstone Mortgage Trust | Apollo Commercial vs. Starwood Property Trust |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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