Correlation Between PENN Entertainment and Vastned Retail

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

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

Diversification Opportunities for PENN Entertainment and Vastned Retail

0.17

Correlation Coefficient

PENN Entertainment  Vastned Retail

Average diversification

The 3 months correlation between PENN and Vastned is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding PENN Entertainment and Vastned Retail NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vastned Retail NV 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 Vastned Retail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vastned Retail NV has no effect on the direction of PENN Entertainment i.e., PENN Entertainment and Vastned Retail go up and down completely randomly.

Pair Corralation between PENN Entertainment and Vastned Retail

Assuming the 90 days trading horizon PENN Entertainment is expected to under-perform the Vastned Retail. In addition to that, PENN Entertainment is 2.69 times more volatile than Vastned Retail NV. It trades about -0.09 of its total potential returns per unit of risk. Vastned Retail NV is currently generating about -0.2 per unit of volatility. If you would invest  2,245  in Vastned Retail NV on October 8, 2024 and sell it today you would lose (85.00) from holding Vastned Retail NV or give up 3.79% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	87.5%
Values	Daily Returns

PENN Entertainment  vs.  Vastned Retail NV

PENN Entertainment

Risk-Adjusted Performance

4 of 100

Insignificant

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

Vastned Retail NV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vastned Retail NV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Vastned Retail is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with PENN Entertainment and Vastned Retail

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

The idea behind PENN Entertainment and Vastned Retail NV 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.