Correlation Between IMPERIAL TOBACCO and Penn National
Can any of the company-specific risk be diversified away by investing in both IMPERIAL TOBACCO 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 IMPERIAL TOBACCO and Penn National into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IMPERIAL TOBACCO and Penn National Gaming, you can compare the effects of market volatilities on IMPERIAL TOBACCO 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 IMPERIAL TOBACCO with a short position of Penn National. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMPERIAL TOBACCO and Penn National.
Diversification Opportunities for IMPERIAL TOBACCO and Penn National
0.33 | Correlation Coefficient |
Weak diversification
The 3 months correlation between IMPERIAL and Penn is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding IMPERIAL TOBACCO 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 IMPERIAL TOBACCO 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 IMPERIAL TOBACCO 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 IMPERIAL TOBACCO i.e., IMPERIAL TOBACCO and Penn National go up and down completely randomly.
Pair Corralation between IMPERIAL TOBACCO and Penn National
Assuming the 90 days trading horizon IMPERIAL TOBACCO is expected to generate 0.33 times more return on investment than Penn National. However, IMPERIAL TOBACCO is 3.04 times less risky than Penn National. It trades about 0.09 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 2,022 in IMPERIAL TOBACCO on November 1, 2024 and sell it today you would earn a total of 1,166 from holding IMPERIAL TOBACCO or generate 57.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
IMPERIAL TOBACCO vs. Penn National Gaming
Performance |
| Timeline |
| IMPERIAL TOBACCO |
| Penn National Gaming |
IMPERIAL TOBACCO and Penn National Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IMPERIAL TOBACCO and Penn National
The main advantage of trading using opposite IMPERIAL TOBACCO and Penn National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMPERIAL TOBACCO 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.| IMPERIAL TOBACCO vs. Gaztransport Technigaz SA | IMPERIAL TOBACCO vs. GAZTRTECHNIUADR15EO01 | IMPERIAL TOBACCO vs. JD SPORTS FASH | IMPERIAL TOBACCO vs. GLG LIFE TECH |
| Penn National vs. IMPERIAL TOBACCO | Penn National vs. Monument Mining Limited | Penn National vs. ELECTRONIC ARTS | Penn National vs. MAG SILVER |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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