Penn Mutual Am Fund Market Value
| PMEFX Fund | USD 10.46 0.01 0.1% |
| Symbol | Penn |
Penn Mutual '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 Mutual's mutual fund 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 Mutual.
| 04/23/2025 |
| 07/22/2025 |
If you would invest 0.00 in Penn Mutual on April 23, 2025 and sell it all today you would earn a total of 0.00 from holding Penn Mutual Am or generate 0.0% return on investment in Penn Mutual over 90 days. Penn Mutual is related to or competes with Nuveen Short, Lord Abbett, Boston Partners, Aqr Sustainable, and Chartwell Short. In seeking to achieve its investment objective, the fund principally invests in a portfolio of corporate bonds, dividend... More
Penn Mutual 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 Mutual's mutual fund 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 Mutual Am upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4714 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 1.95 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 0.9045 |
Penn Mutual Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Penn Mutual's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Penn Mutual's standard deviation. In reality, there are many statistical measures that can use Penn Mutual historical prices to predict the future Penn Mutual's volatility.| Risk Adjusted Performance | 0.2854 | |||
| Jensen Alpha | 0.0881 | |||
| Total Risk Alpha | 0.0686 | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.389 |
Penn Mutual Am Backtested Returns
At this stage we consider Penn Mutual Fund to be very steady. Penn Mutual Am maintains Sharpe Ratio (i.e., Efficiency) of 0.31, which implies the entity had a 0.31 % return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Penn Mutual Am, which you can use to evaluate the volatility of the fund. Please check Penn Mutual's Standard Deviation of 0.4583, downside deviation of 0.4714, and Risk Adjusted Performance of 0.2854 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The fund holds a Beta of 0.35, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Penn Mutual's returns are expected to increase less than the market. However, during the bear market, the loss of holding Penn Mutual is expected to be smaller as well.
Auto-correlation | 0.90 |
Excellent predictability
Penn Mutual Am has excellent predictability. Overlapping area represents the amount of predictability between Penn Mutual time series from 23rd of April 2025 to 7th of June 2025 and 7th of June 2025 to 22nd of July 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 Mutual Am price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Penn Mutual price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Penn Mutual Am lagged returns against current returns
Autocorrelation, which is Penn Mutual mutual fund'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 Mutual's mutual fund expected returns. We can calculate the autocorrelation of Penn Mutual returns to help us make a trade decision. For example, suppose you find that Penn Mutual has exhibited high autocorrelation historically, and you observe that the mutual fund 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 Mutual 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 Mutual mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Penn Mutual mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Penn Mutual mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Penn Mutual Lagged Returns
When evaluating Penn Mutual's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Penn Mutual mutual fund have on its future price. Penn Mutual 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 Mutual autocorrelation shows the relationship between Penn Mutual mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Penn Mutual Am.
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 Penn Mutual Fund
Penn Mutual financial ratios help investors to determine whether Penn Mutual Fund 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 Penn with respect to the benefits of owning Penn Mutual security.
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