Correlation Between X-FAB Silicon and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both X-FAB Silicon 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 X-FAB Silicon and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between X FAB Silicon Foundries and PennyMac Mortgage Investment, you can compare the effects of market volatilities on X-FAB Silicon 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 X-FAB Silicon with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of X-FAB Silicon and PennyMac Mortgage.
Diversification Opportunities for X-FAB Silicon and PennyMac Mortgage
0.14 | Correlation Coefficient |
Average diversification
The 3 months correlation between X-FAB and PennyMac is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding X FAB Silicon Foundries and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and X-FAB Silicon 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 X FAB Silicon Foundries 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 X-FAB Silicon i.e., X-FAB Silicon and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between X-FAB Silicon and PennyMac Mortgage
Assuming the 90 days trading horizon X FAB Silicon Foundries is expected to generate 2.26 times more return on investment than PennyMac Mortgage. However, X-FAB Silicon is 2.26 times more volatile than PennyMac Mortgage Investment. It trades about 0.13 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about -0.03 per unit of risk. If you would invest 438.00 in X FAB Silicon Foundries on October 17, 2024 and sell it today you would earn a total of 53.00 from holding X FAB Silicon Foundries or generate 12.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
X FAB Silicon Foundries vs. PennyMac Mortgage Investment
Performance |
| Timeline |
| X FAB Silicon |
| PennyMac Mortgage |
X-FAB Silicon and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with X-FAB Silicon and PennyMac Mortgage
The main advantage of trading using opposite X-FAB Silicon and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if X-FAB Silicon 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.| X-FAB Silicon vs. Granite Construction | X-FAB Silicon vs. KINGBOARD CHEMICAL | X-FAB Silicon vs. Siamgas And Petrochemicals | X-FAB Silicon vs. Mitsubishi Gas Chemical |
| PennyMac Mortgage vs. X FAB Silicon Foundries | PennyMac Mortgage vs. X FAB Silicon Foundries | PennyMac Mortgage vs. Siamgas And Petrochemicals | PennyMac Mortgage vs. AIR PRODCHEMICALS |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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