Correlation Between PENN Entertainment and Singapore Reinsurance

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

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

Diversification Opportunities for PENN Entertainment and Singapore Reinsurance

0.66

Correlation Coefficient

PENN Entertainment  Singapore Reinsurance

Poor diversification

The 3 months correlation between PENN and Singapore is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding PENN Entertainment and Singapore Reinsurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Singapore Reinsurance and PENN Entertainment 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 Entertainment are associated (or correlated) with Singapore Reinsurance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Singapore Reinsurance has no effect on the direction of PENN Entertainment i.e., PENN Entertainment and Singapore Reinsurance go up and down completely randomly.

Pair Corralation between PENN Entertainment and Singapore Reinsurance

Assuming the 90 days trading horizon PENN Entertainment is expected to generate 1.01 times more return on investment than Singapore Reinsurance. However, PENN Entertainment is 1.01 times more volatile than Singapore Reinsurance. It trades about -0.05 of its potential returns per unit of risk. Singapore Reinsurance is currently generating about -0.06 per unit of risk. If you would invest  1,732  in PENN Entertainment on December 23, 2024 and sell it today you would lose (177.00) from holding PENN Entertainment or give up 10.22% of portfolio value over 90 days.

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

PENN Entertainment  vs.  Singapore Reinsurance

PENN Entertainment

Risk-Adjusted Performance

Very Weak

Over the last 90 days PENN Entertainment 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.

Singapore Reinsurance

Risk-Adjusted Performance

Very Weak

Over the last 90 days Singapore Reinsurance has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest unsteady 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 Entertainment and Singapore Reinsurance

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

The idea behind PENN Entertainment and Singapore Reinsurance 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.