He settled with his fortune in Colorado Springs, Colorado, where he and partner Charles L. Tutt had a road constructed to the top of Pikes Peak. They initiated an annual motor car race to the top. In 1918 Penrose opened an opulent resort hotel known as The Broadmoor, built outside the city which was a "dry" community. In 1937 he and his wife Julie established a foundation named "El Pomar", to support activities to improve Colorado. In 2001, Penrose was inducted into the Hall of Great Westerners of the National Cowboy & Western Heritage Museum.