PennyMac Mortgage Correlations

PMTU Stock

25.44 0.01 0.04%

The current 90-days correlation between PennyMac Mortgage and Bankwell Financial Group is 0.24 (i.e., Modest 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

Weak diversification

The correlation between PennyMac Mortgage Investment and DJI is 0.34 (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.

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

0.62	TW	Tradeweb Markets	Pair Corr
0.66	VACH	Voyager Acquisition Corp	Pair Corr
0.66	VCIC	Vine Hill Capital	Pair Corr
0.62	VNO-PL	Vornado Realty Trust	Pair Corr

Moving against PennyMac Stock

0.64	RC	Ready Capital Corp	Pair Corr
0.64	WT	WisdomTree	Pair Corr
0.55	MC	Moelis	Pair Corr
0.41	PX	P10 Inc	Pair Corr
0.4	BX	Blackstone Group	Pair Corr
0.39	DHIL	Diamond Hill Investment	Pair Corr
0.32	CG	Carlyle Group Normal Trading	Pair Corr
0.31	DIST	Distoken Acquisition	Pair Corr
0.53	VRTS	Virtus Investment	Pair Corr
0.52	PSEC-PA	Prospect Capital	Pair Corr
0.45	VALU	Value Line Normal Trading	Pair Corr
0.38	VCTR	Victory Capital Holdings	Pair Corr

Related Correlations Analysis

	BWFG	DFS	SEIC	CMWAY	ALDF	NCMI	NRRWF
BWFG		0.55	0.52	0.56	0.01	0.64	0.09	BWFG
DFS	0.55		0.78	0.81	-0.19	0.77	0.17	DFS
SEIC	0.52	0.78		0.63	-0.62	0.81	-0.07	SEIC
CMWAY	0.56	0.81	0.63		-0.15	0.8	0.19	CMWAY
ALDF	0.01	-0.19	-0.62	-0.15		-0.46	0.12	ALDF
NCMI	0.64	0.77	0.81	0.8	-0.46		0.13	NCMI
NRRWF	0.09	0.17	-0.07	0.19	0.12	0.13		NRRWF
	BWFG	DFS	SEIC	CMWAY	ALDF	NCMI	NRRWF

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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

CMWAY	+ 0.81	DFS
NCMI	+ 0.81	SEIC
NCMI	+ 0.8	CMWAY
SEIC	+ 0.78	DFS
NCMI	+ 0.77	DFS
NCMI	+ 0.64	BWFG

High negative correlations

ALDF	- 0.62	SEIC
NCMI	- 0.46	ALDF
ALDF	- 0.19	DFS
ALDF	- 0.15	CMWAY
NRRWF	- 0.07	SEIC

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
BWFG	1.41	0.01	0.00	0.00	1.84	(1.38)	3.42	(2.86)	8.46
DFS	1.87	0.01	0.00	0.00	2.85	(1.69)	3.70	(4.57)	11.21
SEIC	0.94	(0.04)	0.00	(0.04)	0.00	0.00	2.10	(2.33)	7.20
CMWAY	1.17	(0.03)	0.00	(0.04)	0.00	0.00	2.14	(2.69)	5.69
ALDF	0.09	0.02	0.12	0.63	0.00	(0.16)	0.20	(0.10)	0.50
NCMI	2.15	(0.13)	0.00	(0.19)	0.00	0.00	3.88	(4.30)	26.39
NRRWF	1.60	(0.21)	0.00	(0.51)	0.00	0.00	0.00	(5.33)	41.67

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