Correlation Between Penn National and LUMI GRUPPEN

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

Diversification Opportunities for Penn National and LUMI GRUPPEN

0.15

Correlation Coefficient

Penn National  LUMI GRUPPEN

Average diversification

The 3 months correlation between Penn and LUMI is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Penn National Gaming and LUMI GRUPPEN AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on LUMI GRUPPEN AS 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 LUMI GRUPPEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of LUMI GRUPPEN AS has no effect on the direction of Penn National i.e., Penn National and LUMI GRUPPEN go up and down completely randomly.

Pair Corralation between Penn National and LUMI GRUPPEN

Assuming the 90 days horizon Penn National Gaming is expected to under-perform the LUMI GRUPPEN. But the stock apears to be less risky and, when comparing its historical volatility, Penn National Gaming is 1.34 times less risky than LUMI GRUPPEN. The stock trades about -0.25 of its potential returns per unit of risk. The LUMI GRUPPEN AS is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest  86.00  in LUMI GRUPPEN AS on October 5, 2024 and sell it today you would earn a total of  20.00  from holding LUMI GRUPPEN AS or generate 23.26% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	94.44%
Values	Daily Returns

Penn National Gaming  vs.  LUMI GRUPPEN AS

Penn National Gaming

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Penn National Gaming has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly fragile basic indicators, Penn National may actually be approaching a critical reversion point that can send shares even higher in February 2025.

LUMI GRUPPEN AS

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in LUMI GRUPPEN AS are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, LUMI GRUPPEN reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Penn National and LUMI GRUPPEN

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

The idea behind Penn National Gaming and LUMI GRUPPEN AS 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.