Correlation Between Penn National and Anglo American
Can any of the company-specific risk be diversified away by investing in both Penn National and Anglo American 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 Anglo American 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 Anglo American plc, you can compare the effects of market volatilities on Penn National and Anglo American 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 Anglo American. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and Anglo American.
Diversification Opportunities for Penn National and Anglo American
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Penn and Anglo is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and Anglo American plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Anglo American plc 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 Anglo American. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Anglo American plc has no effect on the direction of Penn National i.e., Penn National and Anglo American go up and down completely randomly.
Pair Corralation between Penn National and Anglo American
Assuming the 90 days horizon Penn National Gaming is expected to generate 1.12 times more return on investment than Anglo American. However, Penn National is 1.12 times more volatile than Anglo American plc. It trades about 0.25 of its potential returns per unit of risk. Anglo American plc is currently generating about 0.1 per unit of risk. If you would invest 1,771 in Penn National Gaming on September 5, 2024 and sell it today you would earn a total of 267.00 from holding Penn National Gaming or generate 15.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Penn National Gaming vs. Anglo American plc
Performance |
| Timeline |
| Penn National Gaming |
| Anglo American plc |
Penn National and Anglo American Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Penn National and Anglo American
The main advantage of trading using opposite Penn National and Anglo American positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, Anglo American 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 Anglo American will offset losses from the drop in Anglo American's long position.| Penn National vs. GOODYEAR T RUBBER | Penn National vs. VIRG NATL BANKSH | Penn National vs. National Bank Holdings | Penn National vs. Sumitomo Rubber Industries |
| Anglo American vs. QINGCI GAMES INC | Anglo American vs. STMicroelectronics NV | Anglo American vs. HOCHSCHILD MINING | Anglo American vs. Penn National Gaming |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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