Penneo AS (Denmark) Market Value
| PENNEO Stock | DKK 15.80 7.94 101.02% |
| Symbol | Penneo |
Penneo AS '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 Penneo AS'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 Penneo AS.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Penneo AS on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Penneo AS or generate 0.0% return on investment in Penneo AS over 210 days. Penneo AS is related to or competes with CBrain AS, FOM Technologies, ChemoMetec, BioPorto, and Netcompany Group. Penneo AS, a software-as-a-service company, provides an eco-system of automation solutions that digitizes companies work... More
Penneo AS 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 Penneo AS'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 Penneo AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.29 | |||
| Information Ratio | 0.09 | |||
| Maximum Drawdown | 7.69 | |||
| Value At Risk | (3.08) | |||
| Potential Upside | 3.43 |
Penneo AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Penneo AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Penneo AS's standard deviation. In reality, there are many statistical measures that can use Penneo AS historical prices to predict the future Penneo AS's volatility.| Risk Adjusted Performance | 0.0865 | |||
| Jensen Alpha | 1.23 | |||
| Total Risk Alpha | (0.84) | |||
| Sortino Ratio | 0.4958 | |||
| Treynor Ratio | 5.13 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Penneo AS'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.
Penneo AS Backtested Returns
Penneo AS is relatively risky given 3 months investment horizon. Penneo AS maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the firm had a 0.11% return per unit of risk over the last 3 months. We were able to interpolate twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.38% are justified by taking the suggested risk. Use Penneo AS Coefficient Of Variation of 991.6, risk adjusted performance of 0.0865, and Semi Deviation of 1.47 to evaluate company specific risk that cannot be diversified away. Penneo AS holds a performance score of 8 on a scale of zero to a hundred. The company holds a Beta of 0.25, which implies not very significant fluctuations relative to the market. As returns on the market increase, Penneo AS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Penneo AS is expected to be smaller as well. Use Penneo AS treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to analyze future returns on Penneo AS.
Auto-correlation | 0.41 |
Average predictability
Penneo AS has average predictability. Overlapping area represents the amount of predictability between Penneo AS time series from 6th of May 2024 to 19th of August 2024 and 19th of August 2024 to 2nd of December 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 Penneo AS price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Penneo AS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.2 |
Penneo AS lagged returns against current returns
Autocorrelation, which is Penneo AS 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 Penneo AS's stock expected returns. We can calculate the autocorrelation of Penneo AS returns to help us make a trade decision. For example, suppose you find that Penneo AS 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 |
Penneo AS 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 Penneo AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Penneo AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Penneo AS stock over time.
Current vs Lagged Prices |
| Timeline |
Penneo AS Lagged Returns
When evaluating Penneo AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Penneo AS stock have on its future price. Penneo AS 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, Penneo AS autocorrelation shows the relationship between Penneo AS stock current value and its past values and can show if there is a momentum factor associated with investing in Penneo AS.
Regressed Prices |
| Timeline |
Pair Trading with Penneo AS
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Penneo AS position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Penneo AS will appreciate offsetting losses from the drop in the long position's value.Moving against Penneo Stock
The ability to find closely correlated positions to Penneo AS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Penneo AS when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Penneo AS - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Penneo AS to buy it.
The correlation of Penneo AS is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Penneo AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Penneo AS moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Penneo AS can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Penneo Stock
Penneo AS financial ratios help investors to determine whether Penneo 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 Penneo with respect to the benefits of owning Penneo AS security.