PennyMac Mortgage (Germany) Market Value
| 8PM Stock | EUR 12.40 0.20 1.59% |
| Symbol | PennyMac |
PennyMac Mortgage '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 Mortgage'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 Mortgage.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in PennyMac Mortgage on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding PennyMac Mortgage Investment or generate 0.0% return on investment in PennyMac Mortgage over 30 days. PennyMac Mortgage is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. PennyMac Mortgage Investment Trust, a specialty finance company, invests primarily in residential mortgage loans and mor... More
PennyMac Mortgage 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 Mortgage'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 Mortgage Investment upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.41 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 4.01 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.57 |
PennyMac Mortgage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PennyMac Mortgage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PennyMac Mortgage's standard deviation. In reality, there are many statistical measures that can use PennyMac Mortgage historical prices to predict the future PennyMac Mortgage's volatility.| Risk Adjusted Performance | 0.0588 | |||
| Jensen Alpha | 0.0176 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1803 |
PennyMac Mortgage Backtested Returns
At this point, PennyMac Mortgage is very steady. PennyMac Mortgage maintains Sharpe Ratio (i.e., Efficiency) of 0.058, which implies the firm had a 0.058% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for PennyMac Mortgage, which you can use to evaluate the volatility of the company. Please check PennyMac Mortgage's Coefficient Of Variation of 1324.36, risk adjusted performance of 0.0588, and Semi Deviation of 0.68 to confirm if the risk estimate we provide is consistent with the expected return of 0.051%. PennyMac Mortgage has a performance score of 4 on a scale of 0 to 100. The company holds a Beta of 0.3, which implies not very significant fluctuations relative to the market. As returns on the market increase, PennyMac Mortgage's returns are expected to increase less than the market. However, during the bear market, the loss of holding PennyMac Mortgage is expected to be smaller as well. PennyMac Mortgage right now holds a risk of 0.88%. Please check PennyMac Mortgage information ratio, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if PennyMac Mortgage will be following its historical price patterns.
Auto-correlation | 0.23 |
Weak predictability
PennyMac Mortgage Investment has weak predictability. Overlapping area represents the amount of predictability between PennyMac Mortgage time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd of November 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 PennyMac Mortgage price movement. The serial correlation of 0.23 indicates that over 23.0% of current PennyMac Mortgage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
PennyMac Mortgage lagged returns against current returns
Autocorrelation, which is PennyMac Mortgage 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 Mortgage's stock expected returns. We can calculate the autocorrelation of PennyMac Mortgage returns to help us make a trade decision. For example, suppose you find that PennyMac Mortgage 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 Mortgage 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 Mortgage stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PennyMac Mortgage stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PennyMac Mortgage stock over time.
Current vs Lagged Prices |
| Timeline |
PennyMac Mortgage Lagged Returns
When evaluating PennyMac Mortgage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PennyMac Mortgage stock have on its future price. PennyMac Mortgage 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 Mortgage autocorrelation shows the relationship between PennyMac Mortgage stock current value and its past values and can show if there is a momentum factor associated with investing in PennyMac Mortgage Investment.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in PennyMac Stock
When determining whether PennyMac Mortgage is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if PennyMac Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Pennymac Mortgage Investment Stock. Highlighted below are key reports to facilitate an investment decision about Pennymac Mortgage Investment Stock:Check out PennyMac Mortgage Correlation, PennyMac Mortgage Volatility and PennyMac Mortgage Alpha and Beta module to complement your research on PennyMac Mortgage. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
PennyMac Mortgage 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.