PennyMac Mortgage Correlations

PMTU Stock

25.70 0.10 0.39%

The current 90-days correlation between PennyMac Mortgage and Figs Inc is -0.05 (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

Modest diversification

The correlation between PennyMac Mortgage Investment and DJI is 0.23 (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 estimate.

Moving together with PennyMac Stock

0.69	AB	AllianceBernstein Normal Trading	Pair Corr
0.66	VCIC	Vine Hill Capital	Pair Corr
0.72	RJF-PB	Raymond James Financial	Pair Corr

Moving against PennyMac Stock

0.72	WT	WisdomTree	Pair Corr
0.71	DHIL	Diamond Hill Investment	Pair Corr
0.52	HR	Healthcare Realty Trust	Pair Corr
0.46	RC	Ready Capital Corp	Pair Corr
0.43	TW	Tradeweb Markets	Pair Corr
0.39	BX	Blackstone Group	Pair Corr
0.74	PSEC-PA	Prospect Capital	Pair Corr
0.58	ADC-PA	Agree Realty	Pair Corr
0.54	VALU	Value Line	Pair Corr

Related Correlations Analysis

	FIGS	SKX	GAP	GPAIF	TRUA	RL	EME	GIL
FIGS		0.45	0.08	0.0	0.0	-0.09	0.05	-0.36	FIGS
SKX	0.45		0.27	0.0	0.0	-0.01	0.15	-0.07	SKX
GAP	0.08	0.27		0.0	0.0	-0.49	0.54	-0.36	GAP
GPAIF	0.0	0.0	0.0		1.0	0.0	0.0	0.0	GPAIF
TRUA	0.0	0.0	0.0	1.0		0.0	0.0	0.0	TRUA
RL	-0.09	-0.01	-0.49	0.0	0.0		-0.64	0.76	RL
EME	0.05	0.15	0.54	0.0	0.0	-0.64		-0.45	EME
GIL	-0.36	-0.07	-0.36	0.0	0.0	0.76	-0.45		GIL
	FIGS	SKX	GAP	GPAIF	TRUA	RL	EME	GIL

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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

TRUA	+ 1.0	GPAIF
GIL	+ 0.76	RL
EME	+ 0.54	GAP
SKX	+ 0.45	FIGS
GAP	+ 0.27	SKX
EME	+ 0.15	SKX

High negative correlations

EME	- 0.64	RL
RL	- 0.49	GAP
GIL	- 0.45	EME
GIL	- 0.36	GAP
GIL	- 0.36	FIGS
RL	- 0.09	FIGS

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
FIGS	2.66	0.02	0.01	(0.07)	3.89	(2.97)	5.51	(4.39)	26.70
SKX	1.74	0.05	0.02	(0.59)	3.11	(1.61)	2.93	(3.71)	18.16
GAP	1.84	0.10	0.05	0.08	2.05	(2.11)	3.65	(3.99)	17.34
GPAIF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TRUA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RL	1.40	0.44	0.27	0.61	1.22	(1.60)	3.70	(2.95)	12.77
EME	1.90	(0.32)	0.00	(0.55)	0.00	0.00	3.50	(4.35)	24.49
GIL	0.92	0.14	0.14	0.29	0.92	(1.02)	2.54	(1.65)	5.36

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