Correlation Between PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage 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 PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PROSIEBENSAT1 MEDIADR4 and PennyMac Mortgage Investment, you can compare the effects of market volatilities on PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage 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 PROSIEBENSAT1 MEDIADR4/ with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage.
Diversification Opportunities for PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PROSIEBENSAT1 and PennyMac is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding PROSIEBENSAT1 MEDIADR4 and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and PROSIEBENSAT1 MEDIADR4/ 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 PROSIEBENSAT1 MEDIADR4 are associated (or correlated) with PennyMac Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PennyMac Mortgage has no effect on the direction of PROSIEBENSAT1 MEDIADR4/ i.e., PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage
Assuming the 90 days trading horizon PROSIEBENSAT1 MEDIADR4 is expected to under-perform the PennyMac Mortgage. In addition to that, PROSIEBENSAT1 MEDIADR4/ is 2.2 times more volatile than PennyMac Mortgage Investment. It trades about 0.0 of its total potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.06 per unit of volatility. If you would invest 1,138 in PennyMac Mortgage Investment on December 4, 2024 and sell it today you would earn a total of 232.00 from holding PennyMac Mortgage Investment or generate 20.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PROSIEBENSAT1 MEDIADR4 vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| PROSIEBENSAT1 MEDIADR4/ |
| PennyMac Mortgage |
PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage
The main advantage of trading using opposite PROSIEBENSAT1 MEDIADR4/ and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PROSIEBENSAT1 MEDIADR4/ position performs unexpectedly, PennyMac Mortgage 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 PennyMac Mortgage will offset losses from the drop in PennyMac Mortgage's long position.| PROSIEBENSAT1 MEDIADR4/ vs. Norwegian Air Shuttle | PROSIEBENSAT1 MEDIADR4/ vs. PURETECH HEALTH PLC | PROSIEBENSAT1 MEDIADR4/ vs. SYSTEMAIR AB | PROSIEBENSAT1 MEDIADR4/ vs. Bumrungrad Hospital PCL |
| PennyMac Mortgage vs. ACCSYS TECHPLC EO | PennyMac Mortgage vs. Applied Materials | PennyMac Mortgage vs. THRACE PLASTICS | PennyMac Mortgage vs. Playtech plc |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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