Correlation Between PT Bank and PennyMac Mortgage
Can any of the company-specific risk be diversified away by investing in both PT Bank 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 PT Bank and PennyMac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Mandiri and PennyMac Mortgage Investment, you can compare the effects of market volatilities on PT Bank 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 PT Bank with a short position of PennyMac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and PennyMac Mortgage.
Diversification Opportunities for PT Bank and PennyMac Mortgage
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PQ9 and PennyMac is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and PennyMac Mortgage Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennyMac Mortgage and PT Bank 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 PT Bank Mandiri 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 PT Bank i.e., PT Bank and PennyMac Mortgage go up and down completely randomly.
Pair Corralation between PT Bank and PennyMac Mortgage
Assuming the 90 days horizon PT Bank Mandiri is expected to generate 2.96 times more return on investment than PennyMac Mortgage. However, PT Bank is 2.96 times more volatile than PennyMac Mortgage Investment. It trades about 0.0 of its potential returns per unit of risk. PennyMac Mortgage Investment is currently generating about -0.16 per unit of risk. If you would invest 33.00 in PT Bank Mandiri on March 7, 2024 and sell it today you would lose (1.00) from holding PT Bank Mandiri or give up 3.03% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
PT Bank Mandiri vs. PennyMac Mortgage Investment
Performance |
Timeline |
PT Bank Mandiri |
PennyMac Mortgage |
PT Bank and PennyMac Mortgage Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Bank and PennyMac Mortgage
The main advantage of trading using opposite PT Bank and PennyMac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank 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.PT Bank vs. Jacquet Metal Service | PT Bank vs. KINGBOARD CHEMICAL | PT Bank vs. YIPS CHEMICAL | PT Bank vs. TRI CHEMICAL LABORATINC |
PennyMac Mortgage vs. GPT Group | PennyMac Mortgage vs. CITIUS RESOURCES LS 005 | PennyMac Mortgage vs. NMI Holdings | PennyMac Mortgage vs. SIVERS SEMICONDUCTORS AB |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Other Complementary Tools
Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
CEOs Directory Screen CEOs from public companies around the world |