Correlation Between PennyMac Mortgage and Datametrex

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

Diversification Opportunities for PennyMac Mortgage and Datametrex

0.1

Correlation Coefficient

PennyMac Mortgage  Datametrex

Average diversification

The 3 months correlation between PennyMac and Datametrex is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and Datametrex AI Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Datametrex AI Limited 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 Datametrex. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Datametrex AI Limited has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and Datametrex go up and down completely randomly.

Pair Corralation between PennyMac Mortgage and Datametrex

Assuming the 90 days horizon PennyMac Mortgage Investment is expected to under-perform the Datametrex. But the stock apears to be less risky and, when comparing its historical volatility, PennyMac Mortgage Investment is 129.91 times less risky than Datametrex. The stock trades about -0.22 of its potential returns per unit of risk. The Datametrex AI Limited is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  0.14  in Datametrex AI Limited on October 4, 2024 and sell it today you would earn a total of  0.14  from holding Datametrex AI Limited or generate 100.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

PennyMac Mortgage Investment  vs.  Datametrex AI Limited

PennyMac Mortgage

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PennyMac Mortgage Investment has generated negative risk-adjusted returns adding no value to investors with long positions. 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.

Datametrex AI Limited

Risk-Adjusted Performance

22 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Datametrex AI Limited are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, Datametrex reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PennyMac Mortgage and Datametrex

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

The idea behind PennyMac Mortgage Investment and Datametrex AI Limited 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.