PENN Entertainment (Germany) Market Value
| PN1 Stock | 17.49 0.61 3.37% |
| Symbol | PENN |
PENN Entertainment '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 PENN Entertainment'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 PENN Entertainment.
| 12/11/2024 |
| 01/10/2025 |
If you would invest 0.00 in PENN Entertainment on December 11, 2024 and sell it all today you would earn a total of 0.00 from holding PENN Entertainment or generate 0.0% return on investment in PENN Entertainment over 30 days. PENN Entertainment is related to or competes with PARKEN Sport, SEI INVESTMENTS, Japan Asia, WisdomTree Investments, REMEDY ENTERTAINMENT, and ATRESMEDIA. More
PENN Entertainment 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 PENN Entertainment'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 PENN Entertainment upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.0 | |||
| Information Ratio | 0.0514 | |||
| Maximum Drawdown | 13.35 | |||
| Value At Risk | (4.29) | |||
| Potential Upside | 4.76 |
PENN Entertainment Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PENN Entertainment's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PENN Entertainment's standard deviation. In reality, there are many statistical measures that can use PENN Entertainment historical prices to predict the future PENN Entertainment's volatility.| Risk Adjusted Performance | 0.0558 | |||
| Jensen Alpha | 0.1807 | |||
| Total Risk Alpha | 0.1025 | |||
| Sortino Ratio | 0.0494 | |||
| Treynor Ratio | (0.20) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PENN Entertainment'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.
PENN Entertainment Backtested Returns
Currently, PENN Entertainment is not too volatile. PENN Entertainment maintains Sharpe Ratio (i.e., Efficiency) of 0.0379, which implies the firm had a 0.0379% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for PENN Entertainment, which you can use to evaluate the volatility of the company. Please check PENN Entertainment's risk adjusted performance of 0.0558, and Semi Deviation of 2.73 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. PENN Entertainment has a performance score of 2 on a scale of 0 to 100. The company holds a Beta of -0.84, which implies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning PENN Entertainment are expected to decrease at a much lower rate. During the bear market, PENN Entertainment is likely to outperform the market. PENN Entertainment currently holds a risk of 3.0%. Please check PENN Entertainment semi variance, day median price, and the relationship between the value at risk and kurtosis , to decide if PENN Entertainment will be following its historical price patterns.
Auto-correlation | 0.50 |
Modest predictability
PENN Entertainment has modest predictability. Overlapping area represents the amount of predictability between PENN Entertainment time series from 11th of December 2024 to 26th of December 2024 and 26th of December 2024 to 10th 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 PENN Entertainment price movement. The serial correlation of 0.5 indicates that about 50.0% of current PENN Entertainment price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
PENN Entertainment lagged returns against current returns
Autocorrelation, which is PENN Entertainment 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 PENN Entertainment's stock expected returns. We can calculate the autocorrelation of PENN Entertainment returns to help us make a trade decision. For example, suppose you find that PENN Entertainment 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 |
PENN Entertainment 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 PENN Entertainment stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PENN Entertainment stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PENN Entertainment stock over time.
Current vs Lagged Prices |
| Timeline |
PENN Entertainment Lagged Returns
When evaluating PENN Entertainment's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PENN Entertainment stock have on its future price. PENN Entertainment 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, PENN Entertainment autocorrelation shows the relationship between PENN Entertainment stock current value and its past values and can show if there is a momentum factor associated with investing in PENN Entertainment.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for PENN Stock Analysis
When running PENN Entertainment's price analysis, check to measure PENN Entertainment'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 PENN Entertainment is operating at the current time. Most of PENN Entertainment's value examination focuses on studying past and present price action to predict the probability of PENN Entertainment's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PENN Entertainment's price. Additionally, you may evaluate how the addition of PENN Entertainment to your portfolios can decrease your overall portfolio volatility.