Correlation Between PENN NATL and CyberArk Software

Can any of the company-specific risk be diversified away by investing in both PENN NATL and CyberArk Software 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 NATL and CyberArk Software into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PENN NATL GAMING and CyberArk Software, you can compare the effects of market volatilities on PENN NATL and CyberArk Software 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 NATL with a short position of CyberArk Software. Check out your portfolio center. Please also check ongoing floating volatility patterns of PENN NATL and CyberArk Software.

Diversification Opportunities for PENN NATL and CyberArk Software

0.75

Correlation Coefficient

PENN NATL  CyberArk Software

Poor diversification

The 3 months correlation between PENN and CyberArk is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding PENN NATL GAMING and CyberArk Software in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CyberArk Software and PENN NATL 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 NATL GAMING are associated (or correlated) with CyberArk Software. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CyberArk Software has no effect on the direction of PENN NATL i.e., PENN NATL and CyberArk Software go up and down completely randomly.

Pair Corralation between PENN NATL and CyberArk Software

Assuming the 90 days trading horizon PENN NATL GAMING is expected to under-perform the CyberArk Software. But the stock apears to be less risky and, when comparing its historical volatility, PENN NATL GAMING is 1.02 times less risky than CyberArk Software. The stock trades about 0.0 of its potential returns per unit of risk. The CyberArk Software is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  25,480  in CyberArk Software on September 22, 2024 and sell it today you would earn a total of  4,500  from holding CyberArk Software or generate 17.66% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

PENN NATL GAMING  vs.  CyberArk Software

PENN NATL GAMING

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PENN NATL GAMING has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, PENN NATL is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

CyberArk Software

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in CyberArk Software are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, CyberArk Software unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PENN NATL and CyberArk Software

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

The idea behind PENN NATL GAMING and CyberArk Software 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.