Correlation Between Penn National and Science Applications
Can any of the company-specific risk be diversified away by investing in both Penn National and Science Applications 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 Penn National and Science Applications into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Penn National Gaming and Science Applications International, you can compare the effects of market volatilities on Penn National and Science Applications 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 Penn National with a short position of Science Applications. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and Science Applications.
Diversification Opportunities for Penn National and Science Applications
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Penn and Science is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and Science Applications Internati in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Science Applications and Penn National 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 Penn National Gaming are associated (or correlated) with Science Applications. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Science Applications has no effect on the direction of Penn National i.e., Penn National and Science Applications go up and down completely randomly.
Pair Corralation between Penn National and Science Applications
Assuming the 90 days horizon Penn National Gaming is expected to generate 0.63 times more return on investment than Science Applications. However, Penn National Gaming is 1.58 times less risky than Science Applications. It trades about -0.03 of its potential returns per unit of risk. Science Applications International is currently generating about -0.31 per unit of risk. If you would invest 1,926 in Penn National Gaming on September 13, 2024 and sell it today you would lose (46.00) from holding Penn National Gaming or give up 2.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Penn National Gaming vs. Science Applications Internati
Performance |
| Timeline |
| Penn National Gaming |
| Science Applications |
Penn National and Science Applications Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Penn National and Science Applications
The main advantage of trading using opposite Penn National and Science Applications positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, Science Applications 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 Science Applications will offset losses from the drop in Science Applications' long position.| Penn National vs. Sands China | Penn National vs. Superior Plus Corp | Penn National vs. SIVERS SEMICONDUCTORS AB | Penn National vs. Norsk Hydro ASA |
| Science Applications vs. PSI Software AG | Science Applications vs. Universal Display | Science Applications vs. JD SPORTS FASH | Science Applications vs. Constellation Software |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Global Correlations Find global opportunities by holding instruments from different markets |