Penske Automotive Correlations

PAG Stock

USD 160.91 3.68 2.34%

The current 90-days correlation between Penske Automotive and Group 1 Automotive is 0.68 (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

Poor diversification

The correlation between Penske Automotive Group and DJI is 0.62 (i.e., Poor 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

0.66	AAP	Advance Auto Parts	Pair Corr
0.66	DKS	Dicks Sporting Goods	Pair Corr
0.82	KMX	CarMax Inc	Pair Corr
0.69	ZUMZ	Zumiez Inc	Pair Corr
0.78	JILL	JJill Inc	Pair Corr

Moving against Penske Stock

0.56	FIVE	Five Below Earnings Call This Week	Pair Corr
0.44	FNKO	Funko Inc	Pair Corr
0.43	BBW	Build A Bear Earnings Call This Week	Pair Corr
0.37	BQ	Boqii Holding Limited	Pair Corr
0.37	DLTH	Duluth Holdings Earnings Call This Week	Pair Corr
0.36	HD	Home Depot	Pair Corr
0.38	LOW	Lowes Companies	Pair Corr
0.35	TLF	Tandy Leather Factory	Pair Corr

Related Correlations Analysis

	GPI	LAD	AN	ABG	SAH
GPI		0.72	0.27	0.84	0.78	GPI
LAD	0.72		-0.23	0.79	0.65	LAD
AN	0.27	-0.23		0.2	0.28	AN
ABG	0.84	0.79	0.2		0.91	ABG
SAH	0.78	0.65	0.28	0.91		SAH
	GPI	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	+ 0.91	ABG
ABG	+ 0.84	GPI
ABG	+ 0.79	LAD
SAH	+ 0.78	GPI
LAD	+ 0.72	GPI
SAH	+ 0.65	LAD

High negative correlations

- 0.23

LAD

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	1.58	0.06	0.07	0.12	1.53	(1.77)	3.60	(2.70)	11.29
LAD	1.75	0.28	0.19	0.25	1.58	(2.10)	4.90	(3.18)	13.35
AN	1.54	(0.22)	0.00	(0.04)	0.00	0.00	3.73	(3.00)	8.95
ABG	1.75	0.01	0.04	0.09	1.69	(1.86)	4.06	(2.67)	9.76
SAH	1.73	(0.15)	(0.02)	0.02	1.86	(2.16)	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