PennyMac Mortgage Correlations

PMT Stock

USD 14.65 0.08 0.54%

The current 90-days correlation between PennyMac Mortgage and Chimera Investment is -0.1 (i.e., Good 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

Very good diversification

The correlation between PennyMac Mortgage Investment and DJI is -0.23 (i.e., Very good 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

0.73	V	Visa Class A Sell-off Trend	Pair Corr
0.89	DB	Deutsche Bank AG	Pair Corr
0.85	LU	Lufax Holding	Pair Corr
0.9	LX	Lexinfintech Holdings	Pair Corr
0.64	WU	Western Union	Pair Corr
0.92	XP	Xp Inc	Pair Corr
0.85	DMYY	dMY Squared Technology	Pair Corr
0.71	DOMH	Dominari Holdings Earnings Call This Week	Pair Corr

Moving against PennyMac Stock

0.91	LC	LendingClub Corp	Pair Corr
0.83	BX	Blackstone Group	Pair Corr
0.73	CG	Carlyle Group Normal Trading	Pair Corr
0.71	MC	Moelis	Pair Corr
0.64	SF	Stifel Financial	Pair Corr
0.61	PX	P10 Inc	Pair Corr
0.58	DHIL	Diamond Hill Investment	Pair Corr
0.5	RM	Regional Management Corp	Pair Corr
0.49	BN	Brookfield Corp	Pair Corr
0.32	MS	Morgan Stanley	Pair Corr
0.92	VRTS	Virtus Investment	Pair Corr
0.89	WULF	Terawulf	Pair Corr
0.77	WT	WisdomTree	Pair Corr
0.77	LGHLW	Lion Financial Group	Pair Corr
0.75	WD	Walker Dunlop	Pair Corr
0.71	ECPG	Encore Capital Group	Pair Corr
0.7	ABR	Arbor Realty Trust	Pair Corr
0.65	AXP	American Express	Pair Corr
0.64	AMP	Ameriprise Financial	Pair Corr
0.61	BLK	BlackRock	Pair Corr
0.47	VCTR	Victory Capital Holdings	Pair Corr

Related Correlations Analysis

	CIM	TWO	MFA	IVR	ORC	EARN	ACRE	TRTX	NREF
CIM		-0.16	-0.02	0.03	-0.13	0.58	0.68	0.28	-0.4	CIM
TWO	-0.16		0.84	0.93	0.93	-0.3	-0.58	0.34	0.61	TWO
MFA	-0.02	0.84		0.79	0.67	-0.46	-0.38	0.52	0.64	MFA
IVR	0.03	0.93	0.79		0.92	-0.15	-0.39	0.41	0.5	IVR
ORC	-0.13	0.93	0.67	0.92		-0.11	-0.54	0.25	0.5	ORC
EARN	0.58	-0.3	-0.46	-0.15	-0.11		0.5	-0.03	-0.52	EARN
ACRE	0.68	-0.58	-0.38	-0.39	-0.54	0.5		0.04	-0.72	ACRE
TRTX	0.28	0.34	0.52	0.41	0.25	-0.03	0.04		0.4	TRTX
NREF	-0.4	0.61	0.64	0.5	0.5	-0.52	-0.72	0.4		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

IVR	+ 0.93	TWO
ORC	+ 0.93	TWO
ORC	+ 0.92	IVR
MFA	+ 0.84	TWO
IVR	+ 0.79	MFA
ACRE	+ 0.68	CIM

High negative correlations

NREF	- 0.72	ACRE
ACRE	- 0.58	TWO
ACRE	- 0.54	ORC
NREF	- 0.52	EARN
EARN	- 0.46	MFA
NREF	- 0.4	CIM

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	1.13	(0.06)	0.00	(0.08)	0.00	0.00	2.63	(2.40)	10.76
TWO	1.09	0.30	0.25	0.38	0.92	(1.26)	2.32	(1.58)	10.25
MFA	1.07	0.13	0.09	0.17	1.36	(1.07)	2.45	(1.97)	7.26
IVR	1.19	0.07	0.04	0.10	1.64	(1.23)	2.32	(2.16)	8.74
ORC	0.96	0.09	0.09	(0.49)	1.07	(1.01)	1.93	(1.73)	8.39
EARN	0.83	(0.11)	0.00	0.51	0.00	0.00	1.58	(2.06)	5.74
ACRE	1.74	(0.34)	0.00	(0.36)	0.00	0.00	2.99	(3.89)	16.02
TRTX	0.94	(0.02)	0.00	(0.04)	0.00	0.00	1.91	(1.64)	7.81
NREF	1.10	0.05	0.03	0.09	1.59	(1.07)	2.02	(2.22)	7.47

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