Penske Automotive (Germany) Market Value
| UA9 Stock | 142.00 2.00 1.39% |
| Symbol | Penske |
Penske Automotive '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 Penske Automotive'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 Penske Automotive.
| 12/13/2024 |
| 03/13/2025 |
If you would invest 0.00 in Penske Automotive on December 13, 2024 and sell it all today you would earn a total of 0.00 from holding Penske Automotive Group or generate 0.0% return on investment in Penske Automotive over 90 days. Penske Automotive is related to or competes with Information Services, MICRONIC MYDATA, United Breweries, Cass Information, China Resources, Public Storage, and Data Modul. More
Penske Automotive 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 Penske Automotive'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 Penske Automotive Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0618 | |||
| Maximum Drawdown | 9.57 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 1.91 |
Penske Automotive Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Penske Automotive's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Penske Automotive's standard deviation. In reality, there are many statistical measures that can use Penske Automotive historical prices to predict the future Penske Automotive's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | 0.1851 | |||
| Treynor Ratio | (0.22) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Penske Automotive'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.
Penske Automotive Backtested Returns
Currently, Penske Automotive Group is very steady. Penske Automotive maintains Sharpe Ratio (i.e., Efficiency) of close to zero, which implies the firm had a close to zero % return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Penske Automotive, which you can use to evaluate the volatility of the company. Please check Penske Automotive's Risk Adjusted Performance of (0.01), coefficient of variation of (5,437), and Variance of 2.12 to confirm if the risk estimate we provide is consistent with the expected return of 0.0131%. The company holds a Beta of 0.17, which implies not very significant fluctuations relative to the market. As returns on the market increase, Penske Automotive's returns are expected to increase less than the market. However, during the bear market, the loss of holding Penske Automotive is expected to be smaller as well. Penske Automotive right now holds a risk of 1.51%. Please check Penske Automotive potential upside, as well as the relationship between the daily balance of power and day typical price , to decide if Penske Automotive will be following its historical price patterns.
Auto-correlation | -0.35 |
Poor reverse predictability
Penske Automotive Group has poor reverse predictability. Overlapping area represents the amount of predictability between Penske Automotive time series from 13th of December 2024 to 27th of January 2025 and 27th of January 2025 to 13th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Penske Automotive price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Penske Automotive price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 7.61 |
Penske Automotive lagged returns against current returns
Autocorrelation, which is Penske Automotive 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 Penske Automotive's stock expected returns. We can calculate the autocorrelation of Penske Automotive returns to help us make a trade decision. For example, suppose you find that Penske Automotive 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 |
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Penske Automotive 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 Penske Automotive stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Penske Automotive stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Penske Automotive stock over time.
Current vs Lagged Prices |
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Penske Automotive Lagged Returns
When evaluating Penske Automotive's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Penske Automotive stock have on its future price. Penske Automotive 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, Penske Automotive autocorrelation shows the relationship between Penske Automotive stock current value and its past values and can show if there is a momentum factor associated with investing in Penske Automotive Group.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Penske Stock Analysis
When running Penske Automotive's price analysis, check to measure Penske Automotive'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 Penske Automotive is operating at the current time. Most of Penske Automotive's value examination focuses on studying past and present price action to predict the probability of Penske Automotive's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Penske Automotive's price. Additionally, you may evaluate how the addition of Penske Automotive to your portfolios can decrease your overall portfolio volatility.