Correlation Between PennyMac Mortgage and Metro AG
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and Metro AG 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 Metro AG 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 Metro AG, you can compare the effects of market volatilities on PennyMac Mortgage and Metro AG 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 Metro AG. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and Metro AG.
Diversification Opportunities for PennyMac Mortgage and Metro AG
-0.05 | Correlation Coefficient |
Good diversification
The 3 months correlation between PennyMac and Metro is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Metro AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Metro AG 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 Metro AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Metro AG has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Metro AG go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and Metro AG
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.53 times more return on investment than Metro AG. However, PennyMac Mortgage Investment is 1.88 times less risky than Metro AG. It trades about 0.04 of its potential returns per unit of risk. Metro AG is currently generating about -0.01 per unit of risk. If you would invest 922.00 in PennyMac Mortgage Investment on September 24, 2024 and sell it today you would earn a total of 308.00 from holding PennyMac Mortgage Investment or generate 33.41% 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. Metro AG
Performance |
Timeline |
PennyMac Mortgage |
Metro AG |
PennyMac Mortgage and Metro AG Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PennyMac Mortgage and Metro AG
The main advantage of trading using opposite PennyMac Mortgage and Metro AG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, Metro AG 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 Metro AG will offset losses from the drop in Metro AG's long position.PennyMac Mortgage vs. Crown Castle International | PennyMac Mortgage vs. Equinix | PennyMac Mortgage vs. W P Carey | PennyMac Mortgage vs. Gaming and Leisure |
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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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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