Pennymac Mortgage Investment Preferred Stock Market Value
| PMT-PB Preferred Stock | USD 24.46 0.10 0.41% |
| 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 preferred 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.
| 05/26/2024 |
| 11/22/2024 |
If you would invest 0.00 in PennyMac Mortgage on May 26, 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 180 days. PennyMac Mortgage is related to or competes with ACRES Commercial, Chimera Investment, Cherry Hill, and Cherry Hill. PennyMac Mortgage Investment Trust, a specialty finance company, invests primarily in mortgage-related assets in the Uni... 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 preferred 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 | 0.4212 | |||
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 2.19 | |||
| Value At Risk | (0.68) | |||
| Potential Upside | 0.7426 |
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 | 0.0455 | |||
| Jensen Alpha | 0.0177 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.16) | |||
| Treynor Ratio | 1.16 |
PennyMac Mortgage Backtested Returns
At this point, PennyMac Mortgage is very steady. PennyMac Mortgage maintains Sharpe Ratio (i.e., Efficiency) of 0.0747, which implies the firm had a 0.0747% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for PennyMac Mortgage, which you can use to evaluate the volatility of the company. Please check PennyMac Mortgage's Semi Deviation of 0.3517, risk adjusted performance of 0.0455, and Coefficient Of Variation of 1392.56 to confirm if the risk estimate we provide is consistent with the expected return of 0.031%. PennyMac Mortgage has a performance score of 5 on a scale of 0 to 100. The company holds a Beta of 0.0165, 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 0.41%. Please check PennyMac Mortgage semi variance, rate of daily change, and the relationship between the value at risk and kurtosis , to decide if PennyMac Mortgage will be following its historical price patterns.
Auto-correlation | 0.42 |
Average predictability
PennyMac Mortgage Investment has average predictability. Overlapping area represents the amount of predictability between PennyMac Mortgage time series from 26th of May 2024 to 24th of August 2024 and 24th of August 2024 to 22nd 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 0.42 indicates that just about 42.0% of current PennyMac Mortgage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
PennyMac Mortgage lagged returns against current returns
Autocorrelation, which is PennyMac Mortgage preferred 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 preferred 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 preferred 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 preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PennyMac Mortgage preferred 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 preferred 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 preferred 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 preferred 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 |
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 PennyMac Preferred Stock
PennyMac Mortgage financial ratios help investors to determine whether PennyMac Preferred 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 Mortgage security.