PennyMac Mortgage Correlations
| PMT-PB Preferred Stock | USD 24.44 0.04 0.16% |
The current 90-days correlation between PennyMac Mortgage and Chimera Investment is 0.41 (i.e., Very weak 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
Weak diversification
The correlation between PennyMac Mortgage Investment and DJI is 0.37 (i.e., Weak 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.
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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
| 0.92 | DX | Dynex Capital | PairCorr |
| 0.93 | MITT | AG Mortgage Investment | PairCorr |
| 0.91 | MITT-PA | AG Mortgage Investment | PairCorr |
| 0.85 | MITT-PB | AG Mortgage Investment | PairCorr |
| 0.88 | MITT-PC | AG Mortgage Investment | PairCorr |
| 0.92 | RITM-PC | Rithm Capital Corp | PairCorr |
| 0.86 | RITM-PD | Rithm Capital Corp | PairCorr |
| 0.84 | RITM-PA | Rithm Capital Corp | PairCorr |
| 0.92 | RITM-PB | Rithm Capital Corp | PairCorr |
| 0.76 | NREF | Nexpoint Real Estate | PairCorr |
| 0.84 | NYMT | New York Mortgage | PairCorr |
| 0.61 | NYMTN | New York Mortgage | PairCorr |
| 0.87 | FBRT | Franklin BSP Realty | PairCorr |
| 0.63 | ARR-PC | ARMOUR Residential REIT | PairCorr |
| 0.85 | ACR | Acres Commercial Realty | PairCorr |
| 0.86 | ARI | Apollo Commercial Real | PairCorr |
| 0.61 | ARR | ARMOUR Residential REIT Sell-off Trend | PairCorr |
| 0.91 | EFC | Ellington Financial | PairCorr |
| 0.77 | IVR | Invesco Mortgage Capital | PairCorr |
| 0.89 | LFT | Lument Finance Trust | PairCorr |
| 0.87 | MFA | MFA Financial | PairCorr |
| 0.91 | NLY | Annaly Capital Management | PairCorr |
| 0.76 | ORC | Orchid Island Capital | PairCorr |
| 0.95 | PMT | PennyMac Mortgage | PairCorr |
| 0.72 | TWO-PC | Two Harbors Investment | PairCorr |
| 0.86 | TWO-PB | Two Harbors Investment | PairCorr |
| 0.69 | RPT | Rithm Property Trust Symbol Change | PairCorr |
Moving against PennyMac Preferred Stock
| 0.72 | RC | Ready Capital Corp | PairCorr |
| 0.64 | ABR | Arbor Realty Trust | PairCorr |
| 0.58 | NYMTL | New York Mortgage | PairCorr |
| 0.5 | EARN | Ellington Residential | PairCorr |
| 0.6 | LFT-PA | Lument Finance Trust | PairCorr |
| 0.35 | CHMI-PA | Cherry Hill Mortgage | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
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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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CIM-PD | 0.26 | (0.02) | 0.00 | (0.27) | 0.00 | 0.66 | 2.03 | |||
| CIM-PA | 0.54 | (0.04) | 0.00 | (0.66) | 0.00 | 1.04 | 4.61 | |||
| MITT-PB | 0.53 | 0.04 | 0.07 | 0.10 | 0.70 | 1.20 | 3.66 | |||
| CIM-PC | 0.45 | 0.01 | 0.05 | 0.17 | 0.68 | 0.84 | 3.21 | |||
| TWO-PB | 0.65 | 0.04 | 0.07 | 0.30 | 0.78 | 1.34 | 5.02 | |||
| CIM-PB | 0.24 | 0.01 | 0.10 | 0.05 | 0.27 | 0.58 | 1.49 | |||
| PMT-PA | 0.68 | 0.07 | 0.10 | 0.14 | 0.75 | 1.76 | 3.80 | |||
| TWO-PA | 0.58 | 0.07 | 0.15 | (38.36) | 0.54 | 1.35 | 4.63 |
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.Did you try this?
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PennyMac Mortgage Corporate Management
| Daniel Perotti | MD CFO | Profile | |
| Vandad Fartaj | MD Officer | Profile | |
| Steven Bailey | MD Officer | Profile | |
| Anne McCallion | MD Officer | Profile | |
| Kevin Chamberlain | Ex Relations | Profile | |
| David Spector | Chairman CEO | Profile | |
| Jeffrey Grogin | Sr Relations | Profile |