PennyMac Mortgage Correlations

PMT Stock

USD 13.77 0.05 0.36%

The current 90-days correlation between PennyMac Mortgage and Chimera Investment is 0.63 (i.e., Poor 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. If the correlation is 0, the equities are not correlated; they are entirely random.

PennyMac Mortgage Correlation With Market

Modest diversification

The correlation between PennyMac Mortgage Investment and DJI is 0.24 (i.e., Modest 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.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in PennyMac Mortgage Investment. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with PennyMac Stock

0.66	V	Visa Class A	Pair Corr
0.67	DX	Dynex Capital	Pair Corr
0.77	MA	Mastercard Sell-off Trend	Pair Corr
0.73	VINP	Vinci Partners Inves	Pair Corr
0.67	ENVA	Enova International	Pair Corr
0.7	ARI	Apollo Commercial Real	Pair Corr
0.67	ARR	ARMOUR Residential REIT Sell-off Trend	Pair Corr
0.65	EFC	Ellington Financial	Pair Corr
0.79	IVZ	Invesco Plc	Pair Corr
0.72	JHG	Janus Henderson Group	Pair Corr
0.7	ORC	Orchid Island Capital	Pair Corr

Moving against PennyMac Stock

0.49	LGHLW	Lion Financial Group	Pair Corr
0.4	TW	Tradeweb Markets	Pair Corr
0.33	AMG	Affiliated Managers	Pair Corr
0.44	FTII	Futuretech II Acquisition	Pair Corr

Related Correlations Analysis

	CIM	TWO	MFA	IVR	ORC	EARN	ACRE	TRTX	NREF
CIM		0.51	0.67	0.62	0.44	0.36	0.27	0.43	0.19	CIM
TWO	0.51		0.24	0.92	0.96	0.34	-0.54	-0.06	-0.36	TWO
MFA	0.67	0.24		0.29	0.13	0.12	0.61	0.76	0.56	MFA
IVR	0.62	0.92	0.29		0.93	0.51	-0.41	0.09	-0.2	IVR
ORC	0.44	0.96	0.13	0.93		0.42	-0.58	-0.07	-0.33	ORC
EARN	0.36	0.34	0.12	0.51	0.42		0.02	0.32	0.22	EARN
ACRE	0.27	-0.54	0.61	-0.41	-0.58	0.02		0.73	0.84	ACRE
TRTX	0.43	-0.06	0.76	0.09	-0.07	0.32	0.73		0.81	TRTX
NREF	0.19	-0.36	0.56	-0.2	-0.33	0.22	0.84	0.81		NREF
	CIM	TWO	MFA	IVR	ORC	EARN	ACRE	TRTX	NREF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ORC	+ 0.96	TWO
ORC	+ 0.93	IVR
IVR	+ 0.92	TWO
NREF	+ 0.84	ACRE
NREF	+ 0.81	TRTX
TRTX	+ 0.76	MFA

High negative correlations

ACRE	- 0.58	ORC
ACRE	- 0.54	TWO
ACRE	- 0.41	IVR
NREF	- 0.36	TWO
NREF	- 0.33	ORC
NREF	- 0.2	IVR

Risk-Adjusted Indicators

There is a big difference between PennyMac 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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CIM	1.14	(0.08)	0.00	(0.11)	0.00	0.00	2.63	(3.19)	10.76
TWO	1.04	0.25	0.22	0.43	0.90	(1.24)	2.25	(1.60)	7.92
MFA	1.08	(0.07)	0.00	(0.08)	0.00	0.00	2.26	(1.99)	7.26
IVR	1.11	0.16	0.11	0.30	1.27	(1.24)	2.32	(1.57)	8.74
ORC	0.82	0.22	0.23	1.69	0.67	(0.93)	1.93	(1.56)	6.76
EARN	0.94	0.03	0.02	0.05	1.15	(1.00)	1.88	(2.03)	5.11
ACRE	1.88	(0.45)	0.00	(0.46)	0.00	0.00	2.99	(4.93)	16.58
TRTX	0.96	(0.03)	0.00	(0.06)	0.00	0.00	1.92	(2.15)	5.54
NREF	1.04	(0.01)	0.00	(0.01)	0.00	0.00	2.62	(2.33)	7.85

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