Correlation Between Penn National and National Retail

Can any of the company-specific risk be diversified away by investing in both Penn National and National Retail 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 National Retail 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 National Retail Properties, you can compare the effects of market volatilities on Penn National and National Retail 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 National Retail. Check out your portfolio center. Please also check ongoing floating volatility patterns of Penn National and National Retail.

Diversification Opportunities for Penn National and National Retail

-0.49

Correlation Coefficient

Penn National  National Retail

Very good diversification

The 3 months correlation between Penn and National is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and National Retail Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on National Retail Prop 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 National Retail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of National Retail Prop has no effect on the direction of Penn National i.e., Penn National and National Retail go up and down completely randomly.

Pair Corralation between Penn National and National Retail

Assuming the 90 days horizon Penn National Gaming is expected to generate 1.77 times more return on investment than National Retail. However, Penn National is 1.77 times more volatile than National Retail Properties. It trades about 0.04 of its potential returns per unit of risk. National Retail Properties is currently generating about -0.08 per unit of risk. If you would invest  1,701  in Penn National Gaming on September 29, 2024 and sell it today you would earn a total of  80.00  from holding Penn National Gaming or generate 4.7% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Penn National Gaming  vs.  National Retail Properties

Penn National Gaming

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Penn National Gaming are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Penn National may actually be approaching a critical reversion point that can send shares even higher in January 2025.

National Retail Prop

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days National Retail Properties has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest fragile performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Pair Trading with Penn National and National Retail

The main advantage of trading using opposite Penn National and National Retail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Penn National position performs unexpectedly, National Retail 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 National Retail will offset losses from the drop in National Retail's long position.

The idea behind Penn National Gaming and National Retail Properties pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.