Correlation Between Chicago Atlantic and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both Chicago Atlantic 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 Chicago Atlantic and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Chicago Atlantic Real and PennyMac Mortgage Investment, you can compare the effects of market volatilities on Chicago Atlantic 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 Chicago Atlantic with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Chicago Atlantic and PennyMac Mortgage.
Diversification Opportunities for Chicago Atlantic and PennyMac Mortgage
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Chicago and PennyMac is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Chicago Atlantic Real and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and Chicago Atlantic 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 Chicago Atlantic Real 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 Chicago Atlantic i.e., Chicago Atlantic and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between Chicago Atlantic and PennyMac Mortgage
Given the investment horizon of 90 days Chicago Atlantic is expected to generate 1.99 times less return on investment than PennyMac Mortgage. In addition to that, Chicago Atlantic is 1.22 times more volatile than PennyMac Mortgage Investment. It trades about 0.12 of its total potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.3 per unit of volatility. If you would invest 2,352 in PennyMac Mortgage Investment on November 18, 2024 and sell it today you would earn a total of 105.00 from holding PennyMac Mortgage Investment or generate 4.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Chicago Atlantic Real vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| Chicago Atlantic Real |
| PennyMac Mortgage |
Chicago Atlantic and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Chicago Atlantic and PennyMac Mortgage
The main advantage of trading using opposite Chicago Atlantic and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Chicago Atlantic 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.| Chicago Atlantic vs. KKR Real Estate | Chicago Atlantic vs. Ellington Residential Mortgage | Chicago Atlantic vs. Claros Mortgage Trust | Chicago Atlantic vs. Ares Commercial Real |
| PennyMac Mortgage vs. AG Mortgage Investment | PennyMac Mortgage vs. AG Mortgage Investment | PennyMac Mortgage vs. MFA Financial | PennyMac Mortgage 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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