Correlation Between Walt Disney and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both Walt Disney 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 Walt Disney and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Walt Disney and PennyMac Mortgage Investment, you can compare the effects of market volatilities on Walt Disney 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 Walt Disney with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Walt Disney and PennyMac Mortgage.
Diversification Opportunities for Walt Disney and PennyMac Mortgage
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Walt and PennyMac is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding The Walt Disney and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and Walt Disney 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 The Walt Disney 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 Walt Disney i.e., Walt Disney and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between Walt Disney and PennyMac Mortgage
Assuming the 90 days trading horizon The Walt Disney is expected to generate 0.99 times more return on investment than PennyMac Mortgage. However, The Walt Disney is 1.01 times less risky than PennyMac Mortgage. It trades about 0.04 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about 0.04 per unit of risk. If you would invest 8,086 in The Walt Disney on September 13, 2024 and sell it today you would earn a total of 2,806 from holding The Walt Disney or generate 34.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Walt Disney vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| Walt Disney |
| PennyMac Mortgage |
Walt Disney and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Walt Disney and PennyMac Mortgage
The main advantage of trading using opposite Walt Disney and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Walt Disney 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.| Walt Disney vs. GOODYEAR T RUBBER | Walt Disney vs. NEWELL RUBBERMAID | Walt Disney vs. Iridium Communications | Walt Disney vs. APPLIED MATERIALS |
| PennyMac Mortgage vs. Selective Insurance Group | PennyMac Mortgage vs. Direct Line Insurance | PennyMac Mortgage vs. ZURICH INSURANCE GROUP | PennyMac Mortgage vs. Hyster Yale Materials Handling |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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