PennyMac Mortgage Correlations

Preferred Stocks . USA . 
Preferred Stock . PennyMac Mortgage Investment
PMT-PA Preferred Stock  USD 24.69  0.09  0.37%   
The current 90-days correlation between PennyMac Mortgage and Chimera Investment is 0.16 (i.e., Average diversification). The correlation of PennyMac Mortgage 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

PennyMac Mortgage Correlation With Market

Significant diversification

The correlation between PennyMac Mortgage Investment and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Mortgage Investment and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to PennyMac Mortgage could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace PennyMac Mortgage 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 PennyMac Mortgage - 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 PennyMac Mortgage Investment to buy it.

Moving together with PennyMac Preferred Stock

  0.85MITT-PA AG Mortgage InvestmentPairCorr
  0.88MITT-PB AG Mortgage InvestmentPairCorr
  0.73MITT-PC AG Mortgage InvestmentPairCorr
  0.69NREF-PA NexPoint Real EstatePairCorr
  0.76LFT-PA Lument Finance TrustPairCorr
  0.67ACR-PC ACRES Commercial RealtyPairCorr
  0.63SACH-PA Sachem Capital CorpPairCorr
  0.76TRTX-PC TPG RE FinancePairCorr
  0.83RC-PE Ready CapitalPairCorr
  0.61NLY-PF Annaly Capital ManagementPairCorr
  0.69ABR-PF Arbor Realty TrustPairCorr
  0.84ABR-PE Arbor Realty TrustPairCorr
  0.82ABR-PD Arbor Realty TrustPairCorr
  0.63LOAN Manhattan Bridge CapitalPairCorr
  0.76RITM-PD Rithm Capital CorpPairCorr
  0.63RITM-PA Rithm Capital CorpPairCorr
  0.66RITM-PB Rithm Capital CorpPairCorr
  0.68NYMTZ New York MortgagePairCorr
  0.8NYMTN New York MortgagePairCorr
  0.65NYMTM New York MortgagePairCorr
  0.77ARR-PC ARMOUR Residential REITPairCorr
  0.8CHMI-PA Cherry Hill Mortgage Downward RallyPairCorr
  0.72CHMI-PB Cherry Hill MortgagePairCorr
  0.81TWO-PC Two Harbors InvestmentPairCorr
  0.79TWO-PB Two Harbors InvestmentPairCorr
  0.87TWO-PA Two Harbors InvestmentPairCorr

Moving against PennyMac Preferred Stock

  0.63MRTI Maxus Realty TrustPairCorr
  0.42ECRO Ecc Cap CorpPairCorr
  0.52EXETF ExtendicarePairCorr
  0.39DTLAP Brookfield DTLAPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between PennyMac Preferred Stock performing well and PennyMac Mortgage Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze PennyMac Mortgage's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.
Mean DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CIM-PC  0.52  0.09  0.03  0.53  0.51 
(0.57)
 1.13 
(0.97)
 3.71 
CIM-PD  0.26  0.03 (0.14) 2.78  0.26 
(0.27)
 0.57 
(0.57)
 1.56 
CIM-PA  0.56  0.03 (0.08)(6.77) 0.73 
(0.63)
 1.14 
(1.20)
 2.78 
PMT-PC  0.61  0.05 (0.02) 0.32  0.74 
(0.64)
 1.28 
(1.44)
 3.68 
PMT-PB  0.30  0.02 (0.16) 1.16  0.35 
(0.31)
 0.74 
(0.68)
 2.19 
TWO-PB  0.46  0.02 (0.11)(8.21) 0.52 
(0.52)
 1.01 
(0.70)
 2.77 
TWO-PA  0.40  0.03 (0.11)(0.66) 0.42 
(0.45)
 0.89 
(0.69)
 2.69 
MITT-PC  0.20  0.06 (0.13)(0.76) 0.00 
(0.24)
 0.61 
(0.36)
 1.20 
CHMI-PA  0.53  0.02 (0.05) 0.14  0.55 
(0.60)
 1.13 
(1.04)
 4.08 
LFT-PA  0.81  0.15  0.07  0.61  0.69 
(1.13)
 2.35 
(1.58)
 6.14 

Be your own money manager

Our tools can tell you how much better you can do entering a position in PennyMac Mortgage without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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