PennyMac Mortgage Correlations

PMT Stock

USD 12.69 0.11 0.86%

The current 90-days correlation between PennyMac Mortgage and Chimera Investment is 0.84 (i.e., Very 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

Average diversification

The correlation between PennyMac Mortgage Investment and DJI is 0.12 (i.e., Average 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

0.86	WD	Walker Dunlop	Pair Corr
0.62	BEN	Franklin Resources	Pair Corr
0.74	RKT	Rocket Companies	Pair Corr

Moving against PennyMac Stock

0.53	FDUS	Fidus Investment Corp	Pair Corr
0.45	V	Visa Class A	Pair Corr
0.43	AXP	American Express	Pair Corr
0.42	OPY	Oppenheimer Holdings	Pair Corr
0.4	DFS	Discover Financial	Pair Corr
0.74	PNNT	PennantPark Investment Earnings Call This Week	Pair Corr
0.61	MAIN	Main Street Capital	Pair Corr

Related Correlations Analysis

	CIM	TWO	MFA	IVR	ORC	EARN	ACRE	TRTX	NREF
CIM		0.18	0.83	0.06	-0.28	0.08	0.36	0.14	-0.21	CIM
TWO	0.18		-0.04	0.72	0.35	0.48	-0.27	-0.35	-0.3	TWO
MFA	0.83	-0.04		-0.28	-0.71	-0.21	0.36	0.08	-0.38	MFA
IVR	0.06	0.72	-0.28		0.67	0.68	-0.06	0.1	0.19	IVR
ORC	-0.28	0.35	-0.71	0.67		0.65	-0.29	-0.03	0.34	ORC
EARN	0.08	0.48	-0.21	0.68	0.65		0.03	0.1	0.31	EARN
ACRE	0.36	-0.27	0.36	-0.06	-0.29	0.03		0.76	0.62	ACRE
TRTX	0.14	-0.35	0.08	0.1	-0.03	0.1	0.76		0.7	TRTX
NREF	-0.21	-0.3	-0.38	0.19	0.34	0.31	0.62	0.7		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

MFA	+ 0.83	CIM
TRTX	+ 0.76	ACRE
IVR	+ 0.72	TWO
NREF	+ 0.7	TRTX
EARN	+ 0.68	IVR
ORC	+ 0.67	IVR

High negative correlations

ORC	- 0.71	MFA
NREF	- 0.38	MFA
TRTX	- 0.35	TWO
NREF	- 0.3	TWO
ACRE	- 0.29	ORC
IVR	- 0.28	MFA

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	1.04	(0.06)	0.00	(1.49)	0.00	0.00	1.89	(3.19)	6.51
TWO	1.13	(0.04)	(0.05)	0.01	1.60	(1.21)	2.25	(2.21)	6.57
MFA	1.18	(0.22)	0.00	(2.98)	0.00	0.00	2.13	(3.67)	8.74
IVR	1.11	(0.01)	(0.04)	0.08	1.44	(1.18)	2.21	(1.81)	8.74
ORC	0.79	0.08	(0.01)	(1.75)	0.91	(0.86)	1.41	(1.68)	4.16
EARN	1.08	(0.05)	0.00	(0.27)	0.00	0.00	2.00	(2.16)	6.31
ACRE	1.77	(0.19)	0.00	(0.18)	0.00	0.00	3.87	(3.82)	15.68
TRTX	1.01	0.01	(0.05)	0.13	1.25	(1.08)	1.92	(2.15)	9.77
NREF	1.30	0.09	0.01	0.78	1.47	(1.50)	2.98	(2.69)	11.12

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