Correlation Between Science Applications and Penn National
Can any of the company-specific risk be diversified away by investing in both Science Applications and Penn National 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 Science Applications and Penn National into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Science Applications International and Penn National Gaming, you can compare the effects of market volatilities on Science Applications and Penn National 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 Science Applications with a short position of Penn National. Check out your portfolio center. Please also check ongoing floating volatility patterns of Science Applications and Penn National.
Diversification Opportunities for Science Applications and Penn National
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Science and Penn is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Science Applications Internati and Penn National Gaming in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Penn National Gaming and Science Applications 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 Science Applications International are associated (or correlated) with Penn National. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Penn National Gaming has no effect on the direction of Science Applications i.e., Science Applications and Penn National go up and down completely randomly.
Pair Corralation between Science Applications and Penn National
Assuming the 90 days trading horizon Science Applications International is expected to generate 0.54 times more return on investment than Penn National. However, Science Applications International is 1.86 times less risky than Penn National. It trades about 0.01 of its potential returns per unit of risk. Penn National Gaming is currently generating about -0.01 per unit of risk. If you would invest 11,157 in Science Applications International on September 12, 2024 and sell it today you would lose (157.00) from holding Science Applications International or give up 1.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Science Applications Internati vs. Penn National Gaming
Performance |
| Timeline |
| Science Applications |
| Penn National Gaming |
Science Applications and Penn National Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Science Applications and Penn National
The main advantage of trading using opposite Science Applications and Penn National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Science Applications position performs unexpectedly, Penn National 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 Penn National will offset losses from the drop in Penn National's long position.| Science Applications vs. Apple Inc | Science Applications vs. Apple Inc | Science Applications vs. Apple Inc | Science Applications vs. Apple Inc |
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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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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