PennyMac Mortgage Correlations
| PMT-PC Preferred Stock | 19.99 0.06 0.30% |
The current 90-days correlation between PennyMac Mortgage and PennyMac Mortgage Investment is 0.36 (i.e., 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
Average diversification
The correlation between PennyMac Mortgage Investment and DJI is 0.16 (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.
PennyMac |
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
| 0.76 | MITT-PA | AG Mortgage Investment | PairCorr |
| 0.66 | MITT-PB | AG Mortgage Investment | PairCorr |
| 0.81 | MITT-PC | AG Mortgage Investment | PairCorr |
| 0.74 | NREF-PA | NexPoint Real Estate | PairCorr |
| 0.9 | ACR-PC | ACRES Commercial Realty | PairCorr |
| 0.84 | NLY-PI | Annaly Capital Management | PairCorr |
| 0.83 | NLY-PF | Annaly Capital Management | PairCorr |
| 0.83 | NLY-PG | Annaly Capital Management | PairCorr |
| 0.85 | RITM-PC | Rithm Capital Corp | PairCorr |
| 0.88 | RITM-PD | Rithm Capital Corp | PairCorr |
| 0.84 | RITM-PA | Rithm Capital Corp | PairCorr |
| 0.85 | RITM-PB | Rithm Capital Corp | PairCorr |
| 0.79 | ARR-PC | ARMOUR Residential REIT | PairCorr |
| 0.76 | TWO-PC | Two Harbors Investment | PairCorr |
| 0.87 | TWO-PB | Two Harbors Investment | PairCorr |
| 0.67 | TWO-PA | Two Harbors Investment | PairCorr |
| 0.82 | MFA-PC | MFA Financial | PairCorr |
| 0.74 | MFA-PB | MFA Financial | PairCorr |
| 0.84 | AGNCP | AGNC Investment Corp | PairCorr |
| 0.85 | AGNCO | AGNC Investment Corp | PairCorr |
| 0.82 | AGNCN | AGNC Investment Corp | PairCorr |
| 0.69 | AGNCM | AGNC Investment Corp | PairCorr |
Moving against PennyMac Preferred Stock
| 0.72 | RC-PC | Ready Capital | PairCorr |
| 0.7 | RC-PE | Ready Capital | PairCorr |
| 0.65 | ABR-PE | Arbor Realty Trust | PairCorr |
| 0.53 | LFT-PA | Lument Finance Trust | PairCorr |
| 0.53 | ABR-PD | Arbor Realty Trust | PairCorr |
| 0.5 | ABR-PF | Arbor Realty Trust | PairCorr |
| 0.6 | NYMTL | New York Mortgage | PairCorr |
| 0.57 | CIM-PA | Chimera Investment | PairCorr |
| 0.41 | RWT-PA | Redwood Trust | PairCorr |
| 0.35 | CHMI-PA | Cherry Hill Mortgage | PairCorr |
Related Correlations Analysis
| 0.46 | 0.86 | 0.76 | 0.86 | RITM-PD | ||
| 0.46 | 0.59 | 0.43 | 0.53 | CIM-PB | ||
| 0.86 | 0.59 | 0.64 | 0.86 | TWO-PB | ||
| 0.76 | 0.43 | 0.64 | 0.63 | ARR-PC | ||
| 0.86 | 0.53 | 0.86 | 0.63 | PMT-PB | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RITM-PD | 0.24 | 0.05 | 0.22 | 0.83 | 0.13 | 0.57 | 1.40 | |||
| CIM-PB | 0.24 | 0.01 | 0.10 | 0.05 | 0.27 | 0.58 | 1.49 | |||
| TWO-PB | 0.65 | 0.04 | 0.07 | 0.30 | 0.78 | 1.34 | 5.02 | |||
| ARR-PC | 0.53 | 0.08 | 0.11 | 0.36 | 0.77 | 1.67 | 4.92 | |||
| PMT-PB | 0.50 | 0.07 | 0.14 | 0.18 | 0.50 | 1.46 | 3.32 |
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?
Run FinTech Suite Now
FinTech SuiteUse AI to screen and filter profitable investment opportunities |
| All Next | Launch Module |
PennyMac Mortgage Corporate Management
| Vandad Fartaj | MD Officer | Profile | |
| Steven Bailey | MD Officer | Profile | |
| Anne McCallion | MD Officer | Profile | |
| Kevin Chamberlain | Ex Relations | Profile | |
| Jeffrey Grogin | Sr Relations | Profile |