PENN NATL (Germany) Market Value
| PN1 Stock | EUR 19.83 0.03 0.15% |
| 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.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in PENN NATL on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding PENN NATL GAMING or generate 0.0% return on investment in PENN NATL over 720 days. PENN NATL is related to or competes with SIVERS SEMICONDUCTORS, Darden Restaurants, Reliance Steel, Q2M Managementberatu, Hyster-Yale Materials, Hastings Technology, and Meli Hotels. More
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.
| Downside Deviation | 2.07 | |||
| Information Ratio | 0.0663 | |||
| Maximum Drawdown | 11.98 | |||
| Value At Risk | (3.51) | |||
| Potential Upside | 4.09 |
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 | 0.1024 | |||
| Jensen Alpha | 0.1734 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0749 | |||
| Treynor Ratio | 0.33 |
PENN NATL GAMING Backtested Returns
PENN NATL appears to be not too volatile, given 3 months investment horizon. PENN NATL GAMING maintains Sharpe Ratio (i.e., Efficiency) of 0.12, which implies the firm had a 0.12% return per unit of volatility over the last 3 months. We have found twenty-seven technical indicators for PENN NATL GAMING, which you can use to evaluate the volatility of the company. Please evaluate PENN NATL's semi deviation of 1.8, and Risk Adjusted Performance of 0.1024 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, PENN NATL holds a performance score of 9. The company holds a Beta of 0.86, which implies possible diversification benefits within a given portfolio. PENN NATL returns are very sensitive to returns on the market. As the market goes up or down, PENN NATL is expected to follow. Please check PENN NATL's sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to make a quick decision on whether PENN NATL's historical price patterns will revert.
Auto-correlation | 0.45 |
Average predictability
PENN NATL GAMING has average predictability. Overlapping area represents the amount of predictability between PENN NATL time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 PENN NATL GAMING price movement. The serial correlation of 0.45 indicates that just about 45.0% of current PENN NATL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 5.51 |
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.Other Information on Investing in PENN Stock
PENN NATL financial ratios help investors to determine whether PENN Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in PENN with respect to the benefits of owning PENN NATL security.