PENGANA PRIVATE EQUITY TRUST Research Report

Summary

Stock price forecasting is a popular and important topic in financial and academic studies. Share market is an volatile place for predicting since there are no significant rules to estimate or predict the price of a share in the share market. Many methods like technical analysis, fundamental analysis, time series analysis and statistical analysis etc. are used to predict the price in tie share market but none of these methods are proved as a consistently acceptable prediction tool. In this paper, we implemented a Random Forest approach to predict stock market prices. We evaluate PENGANA PRIVATE EQUITY TRUST prediction models with Modular Neural Network (DNN Layer) and Wilcoxon Sign-Rank Test1,2,3,4 and conclude that the PE1 stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Buy PE1 stock.

Key Points

1. How do you know when a stock will go up or down?
2. Technical Analysis with Algorithmic Trading
3. Investment Risk

PE1 Target Price Prediction Modeling Methodology

We consider PENGANA PRIVATE EQUITY TRUST Stock Decision Process with Modular Neural Network (DNN Layer) where A is the set of discrete actions of PE1 stock holders, F is the set of discrete states, P : S × F × S → R is the transition probability distribution, R : S × F → R is the reaction function, and γ ∈ [0, 1] is a move factor for expectation.1,2,3,4

F(Wilcoxon Sign-Rank Test)5,6,7= $\begin{array}{cccc}{p}_{a1}& {p}_{a2}& \dots & {p}_{1n}\\ & ⋮\\ {p}_{j1}& {p}_{j2}& \dots & {p}_{jn}\\ & ⋮\\ {p}_{k1}& {p}_{k2}& \dots & {p}_{kn}\\ & ⋮\\ {p}_{n1}& {p}_{n2}& \dots & {p}_{nn}\end{array}$ X R(Modular Neural Network (DNN Layer)) X S(n):→ (n+3 month) $R=\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right)$

n:Time series to forecast

p:Price signals of PE1 stock

j:Nash equilibria (Neural Network)

k:Dominated move

a:Best response for target price

For further technical information as per how our model work we invite you to visit the article below:

How do AC Investment Research machine learning (predictive) algorithms actually work?

PE1 Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: PE1 PENGANA PRIVATE EQUITY TRUST
Time series to forecast n: 28 Nov 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Buy PE1 stock.

X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)

Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)

Z axis (Yellow to Green): *Technical Analysis%

Adjusted IFRS* Prediction Methods for PENGANA PRIVATE EQUITY TRUST

1. When measuring the fair values of the part that continues to be recognised and the part that is derecognised for the purposes of applying paragraph 3.2.13, an entity applies the fair value measurement requirements in IFRS 13 Fair Value Measurement in addition to paragraph 3.2.14.
2. An entity that first applies these amendments at the same time it first applies this Standard shall apply paragraphs 7.2.1–7.2.28 instead of paragraphs 7.2.31–7.2.34.
3. A similar example of a non-financial item is a specific type of crude oil from a particular oil field that is priced off the relevant benchmark crude oil. If an entity sells that crude oil under a contract using a contractual pricing formula that sets the price per barrel at the benchmark crude oil price minus CU10 with a floor of CU15, the entity can designate as the hedged item the entire cash flow variability under the sales contract that is attributable to the change in the benchmark crude oil price. However, the entity cannot designate a component that is equal to the full change in the benchmark crude oil price. Hence, as long as the forward price (for each delivery) does not fall below CU25, the hedged item has the same cash flow variability as a crude oil sale at the benchmark crude oil price (or with a positive spread). However, if the forward price for any delivery falls below CU25, the hedged item has a lower cash flow variability than a crude oil sale at the benchmark crude oil price (or with a positive spread).
4. Annual Improvements to IFRS Standards 2018–2020, issued in May 2020, added paragraphs 7.2.35 and B3.3.6A and amended paragraph B3.3.6. An entity shall apply that amendment for annual reporting periods beginning on or after 1 January 2022. Earlier application is permitted. If an entity applies the amendment for an earlier period, it shall disclose that fact.

*International Financial Reporting Standards (IFRS) are a set of accounting rules for the financial statements of public companies that are intended to make them consistent, transparent, and easily comparable around the world.

Conclusions

PENGANA PRIVATE EQUITY TRUST assigned short-term Baa2 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (DNN Layer) with Wilcoxon Sign-Rank Test1,2,3,4 and conclude that the PE1 stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Buy PE1 stock.

Financial State Forecast for PE1 PENGANA PRIVATE EQUITY TRUST Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Baa2B2
Operational Risk 8064
Market Risk7770
Technical Analysis8544
Fundamental Analysis6732
Risk Unsystematic6046

Prediction Confidence Score

Trust metric by Neural Network: 81 out of 100 with 663 signals.

References

1. Li L, Chen S, Kleban J, Gupta A. 2014. Counterfactual estimation and optimization of click metrics for search engines: a case study. In Proceedings of the 24th International Conference on the World Wide Web, pp. 929–34. New York: ACM
2. E. Altman. Constrained Markov decision processes, volume 7. CRC Press, 1999
3. Christou, C., P. A. V. B. Swamy G. S. Tavlas (1996), "Modelling optimal strategies for the allocation of wealth in multicurrency investments," International Journal of Forecasting, 12, 483–493.
4. Mikolov T, Chen K, Corrado GS, Dean J. 2013a. Efficient estimation of word representations in vector space. arXiv:1301.3781 [cs.CL]
5. Batchelor, R. P. Dua (1993), "Survey vs ARCH measures of inflation uncertainty," Oxford Bulletin of Economics Statistics, 55, 341–353.
6. Abadie A, Imbens GW. 2011. Bias-corrected matching estimators for average treatment effects. J. Bus. Econ. Stat. 29:1–11
7. Y. Le Tallec. Robust, risk-sensitive, and data-driven control of Markov decision processes. PhD thesis, Massachusetts Institute of Technology, 2007.
Frequently Asked QuestionsQ: What is the prediction methodology for PE1 stock?
A: PE1 stock prediction methodology: We evaluate the prediction models Modular Neural Network (DNN Layer) and Wilcoxon Sign-Rank Test
Q: Is PE1 stock a buy or sell?
A: The dominant strategy among neural network is to Buy PE1 Stock.
Q: Is PENGANA PRIVATE EQUITY TRUST stock a good investment?
A: The consensus rating for PENGANA PRIVATE EQUITY TRUST is Buy and assigned short-term Baa2 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of PE1 stock?
A: The consensus rating for PE1 is Buy.
Q: What is the prediction period for PE1 stock?
A: The prediction period for PE1 is (n+3 month)