PBF Energy (Germany) Market Value
| PEN Stock | 29.71 0.05 0.17% |
| Symbol | PBF |
PBF Energy '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 PBF Energy'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 PBF Energy.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in PBF Energy on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding PBF Energy or generate 0.0% return on investment in PBF Energy over 30 days. PBF Energy is related to or competes with CompuGroup Medical, CapitaLand Investment, URBAN OUTFITTERS, Microbot Medical, Virtus Investment, Diamyd Medical, and Genco Shipping. More
PBF Energy 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 PBF Energy'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 PBF Energy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.54 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 14.73 | |||
| Value At Risk | (4.50) | |||
| Potential Upside | 3.23 |
PBF Energy Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PBF Energy's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PBF Energy's standard deviation. In reality, there are many statistical measures that can use PBF Energy historical prices to predict the future PBF Energy's volatility.| Risk Adjusted Performance | 0.026 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0579 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PBF Energy'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.
PBF Energy Backtested Returns
Currently, PBF Energy is very steady. PBF Energy maintains Sharpe Ratio (i.e., Efficiency) of 0.0066, which implies the company had a 0.0066% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for PBF Energy, which you can use to evaluate the volatility of the entity. Please check PBF Energy's market risk adjusted performance of 0.0679, and Coefficient Of Variation of 3987.15 to confirm if the risk estimate we provide is consistent with the expected return of 0.0153%. The firm holds a Beta of 0.85, which implies possible diversification benefits within a given portfolio. As returns on the market increase, PBF Energy's returns are expected to increase less than the market. However, during the bear market, the loss of holding PBF Energy is expected to be smaller as well. PBF Energy now holds a risk of 2.31%. Please check PBF Energy jensen alpha, semi variance, day typical price, as well as the relationship between the maximum drawdown and accumulation distribution , to decide if PBF Energy will be following its historical price patterns.
Auto-correlation | 0.31 |
Below average predictability
PBF Energy has below average predictability. Overlapping area represents the amount of predictability between PBF Energy time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 PBF Energy price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current PBF Energy price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.21 |
PBF Energy lagged returns against current returns
Autocorrelation, which is PBF Energy 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 PBF Energy's stock expected returns. We can calculate the autocorrelation of PBF Energy returns to help us make a trade decision. For example, suppose you find that PBF Energy 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 |
PBF Energy 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 PBF Energy stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PBF Energy stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PBF Energy stock over time.
Current vs Lagged Prices |
| Timeline |
PBF Energy Lagged Returns
When evaluating PBF Energy's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PBF Energy stock have on its future price. PBF Energy 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, PBF Energy autocorrelation shows the relationship between PBF Energy stock current value and its past values and can show if there is a momentum factor associated with investing in PBF Energy.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Additional Tools for PBF Stock Analysis
When running PBF Energy's price analysis, check to measure PBF Energy'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 PBF Energy is operating at the current time. Most of PBF Energy's value examination focuses on studying past and present price action to predict the probability of PBF Energy's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PBF Energy's price. Additionally, you may evaluate how the addition of PBF Energy to your portfolios can decrease your overall portfolio volatility.