Correlation Between PennyMac Mortgage and ORIX
Can any of the company-specific risk be diversified away by investing in both PennyMac Mortgage and ORIX 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 ORIX 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 ORIX Corporation, you can compare the effects of market volatilities on PennyMac Mortgage and ORIX 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 ORIX. Check out your portfolio center. Please also check ongoing floating volatility patterns of PennyMac Mortgage and ORIX.
Diversification Opportunities for PennyMac Mortgage and ORIX
-0.33 | Correlation Coefficient |
Very good diversification
The 3 months correlation between PennyMac and ORIX is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and ORIX Corp. in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ORIX 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 ORIX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ORIX has no effect on the direction of PennyMac Mortgage i.e., PennyMac Mortgage and ORIX go up and down completely randomly.
Pair Corralation between PennyMac Mortgage and ORIX
Assuming the 90 days horizon PennyMac Mortgage Investment is expected to generate 0.57 times more return on investment than ORIX. However, PennyMac Mortgage Investment is 1.76 times less risky than ORIX. It trades about 0.38 of its potential returns per unit of risk. ORIX Corporation is currently generating about -0.08 per unit of risk. If you would invest 1,260 in PennyMac Mortgage Investment on December 2, 2024 and sell it today you would earn a total of 110.00 from holding PennyMac Mortgage Investment or generate 8.73% 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. ORIX Corp.
Performance |
Timeline |
PennyMac Mortgage |
ORIX |
PennyMac Mortgage and ORIX Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PennyMac Mortgage and ORIX
The main advantage of trading using opposite PennyMac Mortgage and ORIX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PennyMac Mortgage position performs unexpectedly, ORIX 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 ORIX will offset losses from the drop in ORIX's long position.PennyMac Mortgage vs. LI METAL P | PennyMac Mortgage vs. Nippon Light Metal | PennyMac Mortgage vs. East Africa Metals | PennyMac Mortgage vs. GREENX METALS LTD |
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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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