Penske Automotive Correlations

PAG Stock

USD 160.50 0.80 0.50%

The current 90-days correlation between Penske Automotive and Group 1 Automotive is 0.67 (i.e., Poor diversification). The correlation of Penske Automotive 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.

Penske Automotive Correlation With Market

Modest diversification

The correlation between Penske Automotive Group and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Penske Automotive Group and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Penske Automotive Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Penske Stock

0.68	AN	AutoNation	Pair Corr
0.81	HD	Home Depot	Pair Corr
0.8	WINA	Winmark	Pair Corr
0.86	ABG	Asbury Automotive	Pair Corr

Moving against Penske Stock

0.57	JL	J Long Group	Pair Corr
0.36	DXLG	Destination XL Group	Pair Corr
0.5	ASO	Academy Sports Outdoors	Pair Corr
0.46	FNKO	Funko Inc	Pair Corr
0.4	BGI	Birks Group	Pair Corr

Related Correlations Analysis

	GPI	LAD	AN	ABG	SAH
GPI		0.8	0.81	0.76	0.94	GPI
LAD	0.8		0.54	0.92	0.9	LAD
AN	0.81	0.54		0.61	0.79	AN
ABG	0.76	0.92	0.61		0.86	ABG
SAH	0.94	0.9	0.79	0.86		SAH
	GPI	LAD	AN	ABG	SAH

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Risk-Adjusted Indicators

There is a big difference between Penske Stock performing well and Penske Automotive 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 Penske Automotive'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
GPI	1.34	0.35	0.22	0.80	1.18	(1.47)	2.86	(2.48)	11.29
LAD	1.35	0.25	0.17	0.46	1.22	(1.54)	3.06	(2.43)	13.82
AN	1.21	0.16	0.10	0.34	1.37	(1.29)	2.67	(2.31)	7.41
ABG	1.36	0.15	0.09	0.25	1.35	(1.39)	3.07	(2.34)	10.57
SAH	1.56	0.36	0.24	0.62	1.18	(1.98)	4.59	(2.62)	13.72

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