Correlation Between Allegheny Technologies and Penn National
Can any of the company-specific risk be diversified away by investing in both Allegheny Technologies 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 Allegheny Technologies and Penn National into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Allegheny Technologies Incorporated and Penn National Gaming, you can compare the effects of market volatilities on Allegheny Technologies 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 Allegheny Technologies with a short position of Penn National. Check out your portfolio center. Please also check ongoing floating volatility patterns of Allegheny Technologies and Penn National.
Diversification Opportunities for Allegheny Technologies and Penn National
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Allegheny and Penn is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Allegheny Technologies Incorpo 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 Allegheny Technologies 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 Allegheny Technologies Incorporated 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 Allegheny Technologies i.e., Allegheny Technologies and Penn National go up and down completely randomly.
Pair Corralation between Allegheny Technologies and Penn National
Assuming the 90 days trading horizon Allegheny Technologies Incorporated is expected to under-perform the Penn National. In addition to that, Allegheny Technologies is 1.18 times more volatile than Penn National Gaming. It trades about -0.31 of its total potential returns per unit of risk. Penn National Gaming is currently generating about -0.1 per unit of volatility. If you would invest 1,992 in Penn National Gaming on December 8, 2024 and sell it today you would lose (145.00) from holding Penn National Gaming or give up 7.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Allegheny Technologies Incorpo vs. Penn National Gaming
Performance |
| Timeline |
| Allegheny Technologies |
| Penn National Gaming |
Allegheny Technologies and Penn National Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Allegheny Technologies and Penn National
The main advantage of trading using opposite Allegheny Technologies and Penn National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Allegheny Technologies 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.| Allegheny Technologies vs. Cembra Money Bank | ||
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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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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