Correlation Between Penn National and Vale SA
Can any of the company-specific risk be diversified away by investing in both Penn National and Vale SA 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 Vale SA 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 Vale SA, you can compare the effects of market volatilities on Penn National and Vale SA 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 Vale SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and Vale SA.
Diversification Opportunities for Penn National and Vale SA
-0.3 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Penn and Vale is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and Vale SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vale SA 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 Vale SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vale SA has no effect on the direction of Penn National i.e., Penn National and Vale SA go up and down completely randomly.
Pair Corralation between Penn National and Vale SA
Assuming the 90 days horizon Penn National Gaming is expected to generate 1.62 times more return on investment than Vale SA. However, Penn National is 1.62 times more volatile than Vale SA. It trades about 0.11 of its potential returns per unit of risk. Vale SA is currently generating about -0.16 per unit of risk. If you would invest 1,904 in Penn National Gaming on August 31, 2024 and sell it today you would earn a total of 113.00 from holding Penn National Gaming or generate 5.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Penn National Gaming vs. Vale SA
Performance |
| Timeline |
| Penn National Gaming |
| Vale SA |
Penn National and Vale SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Penn National and Vale SA
The main advantage of trading using opposite Penn National and Vale SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, Vale SA 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 Vale SA will offset losses from the drop in Vale SA's long position.| Penn National vs. Superior Plus Corp | Penn National vs. NMI Holdings | Penn National vs. Origin Agritech | Penn National vs. SIVERS SEMICONDUCTORS AB |
| Vale SA vs. HOCHSCHILD MINING | Vale SA vs. CI GAMES SA | Vale SA vs. Penn National Gaming | Vale SA vs. CARSALESCOM |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Other Complementary Tools
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins |