Correlation Between Penn National and Treasury Wine
Can any of the company-specific risk be diversified away by investing in both Penn National and Treasury Wine 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 Treasury Wine 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 Treasury Wine Estates, you can compare the effects of market volatilities on Penn National and Treasury Wine 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 Treasury Wine. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and Treasury Wine.
Diversification Opportunities for Penn National and Treasury Wine
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Penn and Treasury is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and Treasury Wine Estates in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Treasury Wine Estates 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 Treasury Wine. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Treasury Wine Estates has no effect on the direction of Penn National i.e., Penn National and Treasury Wine go up and down completely randomly.
Pair Corralation between Penn National and Treasury Wine
Assuming the 90 days horizon Penn National Gaming is expected to generate 3.74 times more return on investment than Treasury Wine. However, Penn National is 3.74 times more volatile than Treasury Wine Estates. It trades about -0.09 of its potential returns per unit of risk. Treasury Wine Estates is currently generating about -0.46 per unit of risk. If you would invest 1,964 in Penn National Gaming on October 15, 2024 and sell it today you would lose (114.00) from holding Penn National Gaming or give up 5.8% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Penn National Gaming vs. Treasury Wine Estates
Performance |
| Timeline |
| Penn National Gaming |
| Treasury Wine Estates |
Penn National and Treasury Wine Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Penn National and Treasury Wine
The main advantage of trading using opposite Penn National and Treasury Wine positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, Treasury Wine 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 Treasury Wine will offset losses from the drop in Treasury Wine's long position.| Penn National vs. Astral Foods Limited | Penn National vs. CONTAGIOUS GAMING INC | Penn National vs. Tyson Foods | Penn National vs. INDOFOOD AGRI RES |
| Treasury Wine vs. Penn National Gaming | Treasury Wine vs. Ryanair Holdings plc | Treasury Wine vs. Boyd Gaming | Treasury Wine vs. Media and Games |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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