Correlation Between Japan Tobacco and PENN NATL
Can any of the company-specific risk be diversified away by investing in both Japan Tobacco and PENN NATL 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 Japan Tobacco and PENN NATL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Japan Tobacco and PENN NATL GAMING, you can compare the effects of market volatilities on Japan Tobacco and PENN NATL 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 Japan Tobacco with a short position of PENN NATL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Japan Tobacco and PENN NATL.
Diversification Opportunities for Japan Tobacco and PENN NATL
-0.3 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Japan and PENN is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Japan Tobacco and PENN NATL GAMING in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PENN NATL GAMING and Japan 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 Japan Tobacco are associated (or correlated) with PENN NATL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PENN NATL GAMING has no effect on the direction of Japan Tobacco i.e., Japan Tobacco and PENN NATL go up and down completely randomly.
Pair Corralation between Japan Tobacco and PENN NATL
Assuming the 90 days horizon Japan Tobacco is expected to generate 1.8 times less return on investment than PENN NATL. But when comparing it to its historical volatility, Japan Tobacco is 1.53 times less risky than PENN NATL. It trades about 0.08 of its potential returns per unit of risk. PENN NATL GAMING is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 1,893 in PENN NATL GAMING on September 1, 2024 and sell it today you would earn a total of 90.00 from holding PENN NATL GAMING or generate 4.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Japan Tobacco vs. PENN NATL GAMING
Performance |
| Timeline |
| Japan Tobacco |
| PENN NATL GAMING |
Japan Tobacco and PENN NATL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Japan Tobacco and PENN NATL
The main advantage of trading using opposite Japan Tobacco and PENN NATL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Japan Tobacco position performs unexpectedly, PENN NATL 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 NATL will offset losses from the drop in PENN NATL's long position.| Japan Tobacco vs. Performance Food Group | Japan Tobacco vs. JJ SNACK FOODS | Japan Tobacco vs. MUTUIONLINE | Japan Tobacco vs. LIFEWAY FOODS |
| PENN NATL vs. SIVERS SEMICONDUCTORS AB | PENN NATL vs. Darden Restaurants | PENN NATL vs. Reliance Steel Aluminum | PENN NATL vs. Q2M Managementberatung AG |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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