Correlation Between PennyMac Mortgage and ELMOS SEMICONDUCTOR

Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and ELMOS SEMICONDUCTOR 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 ELMOS SEMICONDUCTOR 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 ELMOS SEMICONDUCTOR, you can compare the effects of market volatilities on PennyMac Mortgage and ELMOS SEMICONDUCTOR 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 ELMOS SEMICONDUCTOR. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and ELMOS SEMICONDUCTOR.

Diversification Opportunities for PennyMac Mortgage and ELMOS SEMICONDUCTOR

-0.32

Correlation Coefficient

PennyMac Mortgage  ELMOS SEMICONDUCTOR

Very good diversification

The 3 months correlation between PennyMac and ELMOS is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and ELMOS SEMICONDUCTOR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ELMOS SEMICONDUCTOR 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 ELMOS SEMICONDUCTOR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ELMOS SEMICONDUCTOR has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and ELMOS SEMICONDUCTOR go up and down completely randomly.

Pair Corralation between PennyMac Mortgage and ELMOS SEMICONDUCTOR

Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.28 times more return on investment than ELMOS SEMICONDUCTOR. However, PennyMac Mortgage Investment is 3.57 times less risky than ELMOS SEMICONDUCTOR. It trades about 0.08 of its potential returns per unit of risk. ELMOS SEMICONDUCTOR is currently generating about 0.01 per unit of risk. If you would invest  1,212  in PennyMac Mortgage Investment on September 13, 2024 and sell it today you would earn a total of  58.00  from holding PennyMac Mortgage Investment or generate 4.79% 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.  ELMOS SEMICONDUCTOR

PennyMac Mortgage

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in PennyMac Mortgage Investment are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, PennyMac Mortgage is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

ELMOS SEMICONDUCTOR

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in ELMOS SEMICONDUCTOR are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound technical and fundamental indicators, ELMOS SEMICONDUCTOR is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with PennyMac Mortgage and ELMOS SEMICONDUCTOR

The main advantage of trading using opposite PennyMac Mortgage and ELMOS SEMICONDUCTOR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, ELMOS SEMICONDUCTOR 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 ELMOS SEMICONDUCTOR will offset losses from the drop in ELMOS SEMICONDUCTOR's long position.

The idea behind PennyMac Mortgage Investment and ELMOS SEMICONDUCTOR pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.