Correlation Between Penn National and SBM OFFSHORE
Can any of the company-specific risk be diversified away by investing in both Penn National and SBM OFFSHORE 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 SBM OFFSHORE 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 SBM OFFSHORE, you can compare the effects of market volatilities on Penn National and SBM OFFSHORE 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 SBM OFFSHORE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and SBM OFFSHORE.
Diversification Opportunities for Penn National and SBM OFFSHORE
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Penn and SBM is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and SBM OFFSHORE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SBM OFFSHORE 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 SBM OFFSHORE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SBM OFFSHORE has no effect on the direction of Penn National i.e., Penn National and SBM OFFSHORE go up and down completely randomly.
Pair Corralation between Penn National and SBM OFFSHORE
Assuming the 90 days horizon Penn National Gaming is expected to generate 1.62 times more return on investment than SBM OFFSHORE. However, Penn National is 1.62 times more volatile than SBM OFFSHORE. It trades about 0.09 of its potential returns per unit of risk. SBM OFFSHORE is currently generating about 0.13 per unit of risk. If you would invest 1,830 in Penn National Gaming on August 28, 2024 and sell it today you would earn a total of 88.00 from holding Penn National Gaming or generate 4.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Penn National Gaming vs. SBM OFFSHORE
Performance |
| Timeline |
| Penn National Gaming |
| SBM OFFSHORE |
Penn National and SBM OFFSHORE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Penn National and SBM OFFSHORE
The main advantage of trading using opposite Penn National and SBM OFFSHORE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, SBM OFFSHORE 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 SBM OFFSHORE will offset losses from the drop in SBM OFFSHORE's long position.| Penn National vs. Autohome ADR | Penn National vs. Ribbon Communications | Penn National vs. Taylor Morrison Home | Penn National vs. Aedas Homes SA |
| SBM OFFSHORE vs. CarsalesCom | SBM OFFSHORE vs. Tyson Foods | SBM OFFSHORE vs. Performance Food Group | SBM OFFSHORE vs. YATRA ONLINE DL 0001 |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Other Complementary Tools
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes |