Correlation Between Penn National and JPM Research

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

Diversification Opportunities for Penn National and JPM Research

0.0

Correlation Coefficient

Penn National  JPM Research

Pay attention - limited upside

The 3 months correlation between Penn and JPM is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and JPM Research Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPM Research Enhanced 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 JPM Research. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPM Research Enhanced has no effect on the direction of Penn National i.e., Penn National and JPM Research go up and down completely randomly.

Pair Corralation between Penn National and JPM Research

Given the investment horizon of 90 days Penn National Gaming is expected to under-perform the JPM Research. In addition to that, Penn National is 4.43 times more volatile than JPM Research Enhanced. It trades about -0.02 of its total potential returns per unit of risk. JPM Research Enhanced is currently generating about 0.15 per unit of volatility. If you would invest  191,830  in JPM Research Enhanced on October 23, 2024 and sell it today you would earn a total of  87,945  from holding JPM Research Enhanced or generate 45.85% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	73.08%
Values	Daily Returns

Penn National Gaming  vs.  JPM Research Enhanced

Penn National Gaming

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Penn National Gaming are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of very fragile basic indicators, Penn National may actually be approaching a critical reversion point that can send shares even higher in February 2025.

JPM Research Enhanced

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in JPM Research Enhanced are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, JPM Research may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Penn National and JPM Research

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

The idea behind Penn National Gaming and JPM Research Enhanced 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.

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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.