Correlation Between PennyMac Mortgage and Dow Jones
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Dow Jones 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 Dow Jones 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 Dow Jones Industrial, you can compare the effects of market volatilities on PennyMac Mortgage and Dow Jones 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 Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Dow Jones.
Diversification Opportunities for PennyMac Mortgage and Dow Jones
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between PennyMac and Dow is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial 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 Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Dow Jones go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Dow Jones
Considering the 90-day investment horizon PennyMac Mortgage Investment is expected to under-perform the Dow Jones. But the stock apears to be less risky and, when comparing its historical volatility, PennyMac Mortgage Investment is 1.11 times less risky than Dow Jones. The stock trades about -0.09 of its potential returns per unit of risk. The Dow Jones Industrial is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 4,238,757 in Dow Jones Industrial on August 27, 2024 and sell it today you would earn a total of 190,894 from holding Dow Jones Industrial or generate 4.5% 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. Dow Jones Industrial
Performance |
| Timeline |
PennyMac Mortgage and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
PennyMac Mortgage Investment
Pair trading matchups for PennyMac Mortgage
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with PennyMac Mortgage and Dow Jones
The main advantage of trading using opposite PennyMac Mortgage and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.| PennyMac Mortgage vs. Chimera Investment | PennyMac Mortgage vs. Two Harbors Investments | PennyMac Mortgage vs. MFA Financial | PennyMac Mortgage vs. Invesco Mortgage Capital |
| Dow Jones vs. Meiwu Technology Co | Dow Jones vs. 17 Education Technology | Dow Jones vs. 51Talk Online Education | Dow Jones vs. Afya |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Other Complementary Tools
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |