Group 1 Correlations

GPI Stock

USD 418.28 9.62 2.35%

The current 90-days correlation between Group 1 Automotive and Penske Automotive Group is 0.69 (i.e., Poor diversification). The correlation of Group 1 is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Group 1 Correlation With Market

Very weak diversification

The correlation between Group 1 Automotive and DJI is 0.58 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Group 1 Automotive and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Group 1 Automotive. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Group Stock

0.77	WEYS	Weyco Group	Pair Corr
0.84	ABG	Asbury Automotive	Pair Corr
0.73	LAD	Lithia Motors	Pair Corr
0.8	SAH	Sonic Automotive	Pair Corr
0.74	BH	Biglari Holdings	Pair Corr
0.77	DORM	Dorman Products	Pair Corr
0.69	DIN	Dine Brands Global	Pair Corr
0.66	DPZ	Dominos Pizza	Pair Corr
0.68	DRI	Darden Restaurants	Pair Corr

Moving against Group Stock

0.43	AEO	American Eagle Outfitters Sell-off Trend	Pair Corr
0.35	HVT	Haverty Furniture	Pair Corr
0.32	ASO	Academy Sports Outdoors Earnings Call This Week	Pair Corr
0.52	DAN	Dana Inc	Pair Corr
0.39	FOXF	Fox Factory Holding	Pair Corr
0.39	LEA	Lear	Pair Corr
0.31	WING	Wingstop	Pair Corr

Related Correlations Analysis

	PAG	LAD	AN	ABG	SAH
PAG		0.07	0.81	0.55	0.67	PAG
LAD	0.07		-0.21	0.8	0.68	LAD
AN	0.81	-0.21		0.21	0.27	AN
ABG	0.55	0.8	0.21		0.92	ABG
SAH	0.67	0.68	0.27	0.92		SAH
	PAG	LAD	AN	ABG	SAH

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SAH	+ 0.92	ABG
AN	+ 0.81	PAG
ABG	+ 0.8	LAD
SAH	+ 0.68	LAD
SAH	+ 0.67	PAG
ABG	+ 0.55	PAG

High negative correlations

- 0.21

LAD

Risk-Adjusted Indicators

There is a big difference between Group Stock performing well and Group 1 Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Group 1's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PAG	1.13	(0.17)	0.00	(0.04)	0.00	0.00	2.50	(2.44)	6.98
LAD	1.78	0.29	0.20	0.27	1.54	(2.16)	4.90	(3.18)	13.35
AN	1.56	(0.23)	0.00	(0.03)	0.00	0.00	3.73	(3.00)	8.95
ABG	1.73	(0.03)	0.03	0.08	1.70	(1.84)	4.06	(2.67)	9.76
SAH	1.77	(0.14)	(0.01)	0.04	1.85	(2.18)	3.59	(3.31)	13.17

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC