PennyMac Financial (Germany) Market Value
| 1AC Stock | EUR 105.00 3.00 2.94% |
| Symbol | PennyMac |
PennyMac Financial '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 PennyMac Financial'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 PennyMac Financial.
| 01/01/2025 |
| 01/31/2025 |
If you would invest 0.00 in PennyMac Financial on January 1, 2025 and sell it all today you would earn a total of 0.00 from holding PennyMac Financial Services or generate 0.0% return on investment in PennyMac Financial over 30 days. PennyMac Financial is related to or competes with Mr Cooper, OSB GROUP, Deutsche Pfandbriefbank, ELLINGTON FINL, LOANDEPOT INC, and TIMBERCREEK FINL. PennyMac Financial Services, Inc., through its subsidiaries, engages in the mortgage banking and investment management a... More
PennyMac Financial 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 PennyMac Financial'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 PennyMac Financial Services upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.02 | |||
| Information Ratio | 0.0448 | |||
| Maximum Drawdown | 10.21 | |||
| Value At Risk | (3.19) | |||
| Potential Upside | 4.62 |
PennyMac Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PennyMac Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PennyMac Financial's standard deviation. In reality, there are many statistical measures that can use PennyMac Financial historical prices to predict the future PennyMac Financial's volatility.| Risk Adjusted Performance | 0.083 | |||
| Jensen Alpha | 0.2107 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0468 | |||
| Treynor Ratio | (0.63) |
PennyMac Financial Backtested Returns
PennyMac Financial appears to be very steady, given 3 months investment horizon. PennyMac Financial maintains Sharpe Ratio (i.e., Efficiency) of 0.14, which implies the firm had a 0.14 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for PennyMac Financial, which you can use to evaluate the volatility of the company. Please evaluate PennyMac Financial's Semi Deviation of 1.74, risk adjusted performance of 0.083, and Coefficient Of Variation of 1085.44 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, PennyMac Financial holds a performance score of 11. The company holds a Beta of -0.29, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning PennyMac Financial are expected to decrease at a much lower rate. During the bear market, PennyMac Financial is likely to outperform the market. Please check PennyMac Financial's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and information ratio , to make a quick decision on whether PennyMac Financial's historical price patterns will revert.
Auto-correlation | 0.53 |
Modest predictability
PennyMac Financial Services has modest predictability. Overlapping area represents the amount of predictability between PennyMac Financial time series from 1st of January 2025 to 16th of January 2025 and 16th of January 2025 to 31st of January 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 PennyMac Financial price movement. The serial correlation of 0.53 indicates that about 53.0% of current PennyMac Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 4.47 |
PennyMac Financial lagged returns against current returns
Autocorrelation, which is PennyMac Financial 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 PennyMac Financial's stock expected returns. We can calculate the autocorrelation of PennyMac Financial returns to help us make a trade decision. For example, suppose you find that PennyMac Financial 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 |
PennyMac Financial 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 PennyMac Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PennyMac Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PennyMac Financial stock over time.
Current vs Lagged Prices |
| Timeline |
PennyMac Financial Lagged Returns
When evaluating PennyMac Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PennyMac Financial stock have on its future price. PennyMac Financial 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, PennyMac Financial autocorrelation shows the relationship between PennyMac Financial stock current value and its past values and can show if there is a momentum factor associated with investing in PennyMac Financial Services.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in PennyMac Stock
PennyMac Financial financial ratios help investors to determine whether PennyMac 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 PennyMac with respect to the benefits of owning PennyMac Financial security.