PENN NATL (Germany) Market Value
| PN1 Stock | EUR 14.46 0.07 0.49% |
| Symbol | PENN |
PENN NATL 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to PENN NATL's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of PENN NATL.
| 02/19/2024 |
| 05/19/2024 |
PENN NATL Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure PENN NATL's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess PENN NATL GAMING upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 14.76 | |||
| Value At Risk | (6.32) | |||
| Potential Upside | 3.32 |
PENN NATL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PENN NATL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PENN NATL's standard deviation. In reality, there are many statistical measures that can use PENN NATL historical prices to predict the future PENN NATL's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.59) | |||
| Total Risk Alpha | (1.07) | |||
| Treynor Ratio | (1.07) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PENN NATL's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
PENN NATL GAMING Backtested Returns
PENN NATL GAMING maintains Sharpe Ratio (i.e., Efficiency) of -0.0709, which implies the firm had a -0.0709% return per unit of volatility over the last 3 months. PENN NATL GAMING exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PENN NATL's risk adjusted performance of (0.08), and Coefficient Of Variation of (653.88) to confirm the risk estimate we provide. The company holds a Beta of 0.5, which implies possible diversification benefits within a given portfolio. As returns on the market increase, PENN NATL's returns are expected to increase less than the market. However, during the bear market, the loss of holding PENN NATL is expected to be smaller as well. PENN NATL GAMING has an expected return of -0.21%. Please make sure to check PENN NATL GAMING treynor ratio, skewness, and the relationship between the total risk alpha and potential upside , to decide if PENN NATL GAMING performance from the past will be repeated at future time.
Auto-correlation | 0.13 |
Insignificant predictability
PENN NATL GAMING has insignificant predictability. Overlapping area represents the amount of predictability between PENN NATL time series from 19th of February 2024 to 4th of April 2024 and 4th of April 2024 to 19th of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PENN NATL GAMING price movement. The serial correlation of 0.13 indicates that less than 13.0% of current PENN NATL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.48 |
PENN NATL GAMING lagged returns against current returns
Autocorrelation, which is PENN NATL stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting PENN NATL's stock expected returns. We can calculate the autocorrelation of PENN NATL returns to help us make a trade decision. For example, suppose you find that PENN NATL has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
PENN NATL regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If PENN NATL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PENN NATL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PENN NATL stock over time.
Current vs Lagged Prices |
| Timeline |
PENN NATL Lagged Returns
When evaluating PENN NATL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PENN NATL stock have on its future price. PENN NATL autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, PENN NATL autocorrelation shows the relationship between PENN NATL stock current value and its past values and can show if there is a momentum factor associated with investing in PENN NATL GAMING.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out PENN NATL Correlation, PENN NATL Volatility and PENN NATL Alpha and Beta module to complement your research on PENN NATL. You can also try the Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Complementary Tools for PENN Stock analysis
When running PENN NATL's price analysis, check to measure PENN NATL's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy PENN NATL is operating at the current time. Most of PENN NATL's value examination focuses on studying past and present price action to predict the probability of PENN NATL's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PENN NATL's price. Additionally, you may evaluate how the addition of PENN NATL to your portfolios can decrease your overall portfolio volatility.
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PENN NATL technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.