Pengana Private (Australia) Market Value
| PE1 Stock | 1.13 0.03 2.59% |
| Symbol | Pengana |
Pengana Private '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 Pengana Private'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 Pengana Private.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Pengana Private on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Pengana Private Equity or generate 0.0% return on investment in Pengana Private over 30 days. Pengana Private is related to or competes with Champion Iron, IShares Global, Peel Mining, Perpetual Credit, Talisman Mining, Tombador Iron, and Gratifii. Pengana Private is entity of Australia. It is traded as Stock on AU exchange. More
Pengana Private 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 Pengana Private'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 Pengana Private Equity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 8.68 | |||
| Value At Risk | (3.10) | |||
| Potential Upside | 2.52 |
Pengana Private Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pengana Private's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pengana Private's standard deviation. In reality, there are many statistical measures that can use Pengana Private historical prices to predict the future Pengana Private's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 1.63 |
Pengana Private Equity Backtested Returns
Pengana Private Equity maintains Sharpe Ratio (i.e., Efficiency) of -0.0563, which implies the firm had a -0.0563% return per unit of risk over the last 3 months. Pengana Private Equity exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Pengana Private's Variance of 2.52, risk adjusted performance of (0.04), and Coefficient Of Variation of (1,577) to confirm the risk estimate we provide. The company holds a Beta of -0.068, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Pengana Private are expected to decrease at a much lower rate. During the bear market, Pengana Private is likely to outperform the market. At this point, Pengana Private Equity has a negative expected return of -0.09%. Please make sure to check Pengana Private's total risk alpha, maximum drawdown, skewness, as well as the relationship between the treynor ratio and potential upside , to decide if Pengana Private Equity performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.43 |
Average predictability
Pengana Private Equity has average predictability. Overlapping area represents the amount of predictability between Pengana Private time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd of December 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 Pengana Private Equity price movement. The serial correlation of 0.43 indicates that just about 43.0% of current Pengana Private price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.43 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Pengana Private Equity lagged returns against current returns
Autocorrelation, which is Pengana Private 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 Pengana Private's stock expected returns. We can calculate the autocorrelation of Pengana Private returns to help us make a trade decision. For example, suppose you find that Pengana Private 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 |
Pengana Private 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 Pengana Private stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pengana Private stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pengana Private stock over time.
Current vs Lagged Prices |
| Timeline |
Pengana Private Lagged Returns
When evaluating Pengana Private's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pengana Private stock have on its future price. Pengana Private 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, Pengana Private autocorrelation shows the relationship between Pengana Private stock current value and its past values and can show if there is a momentum factor associated with investing in Pengana Private Equity.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Additional Tools for Pengana Stock Analysis
When running Pengana Private's price analysis, check to measure Pengana Private'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 Pengana Private is operating at the current time. Most of Pengana Private's value examination focuses on studying past and present price action to predict the probability of Pengana Private's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Pengana Private's price. Additionally, you may evaluate how the addition of Pengana Private to your portfolios can decrease your overall portfolio volatility.