PMT PennyMac Mor...

Fundamental Data

Get detailed Fundamental insights of PennyMac Mortgage Investment Trust and compare it to the S&P500.
YTD Return
PMT -4.75%
vs.
SPY +18.46%
1-Year Return
PMT +10.13%
vs.
SPY +27.00%
3-Year Return
PMT -7.67%
vs.
SPY +5.68%

Worst 10 Drawdowns of PMT

Started Recovered Drawdown Days
Feb 10, 2020 Sep 17, 2024 -75.90% 1682
Feb 4, 2015 Oct 22, 2019 -51.24% 1722
Dec 30, 2019 Jan 22, 2020 -4.35% 24
Dec 2, 2019 Dec 24, 2019 -4.16% 23
Oct 24, 2019 Nov 27, 2019 -2.08% 35
Jan 27, 2015 Feb 2, 2015 -1.06% 7
Jan 31, 2020 Feb 4, 2020 -0.85% 5
Jan 23, 2015 Jan 23, 2015 -0.71% 1
Jan 9, 2015 Jan 9, 2015 -0.64% 1
Jan 24, 2020 Jan 27, 2020 -0.30% 4

PMT vs. S&P500

Comparison of company stats against the S&P500 Index.

Time Period between January 5, 2015 - September 17, 2024

Annual Return (%)

PMT
S&P500
Metric PMT S&P500
Cumulative Return -33.55% +174.09%
Compound Annual Growth Rate (CAGR) -2.87% +7.44%
Sharpe 0.12 0.67
Sortino 0.19 0.94
Max Drawdown -75.9% -34.1%
Longest Drawdown Days 1722 745
Volatility (ann.) 46.1% 17.83%
Correlation 37.32% -
R^2 0.14 -
Calmar -0.04 0.22
Skew 7.83 -0.55
Kurtosis 262.00 12.49
Expected Daily -0.02% +0.04%
Expected Monthly -0.35% +0.87%
Expected Yearly -4% +10.61%
Kelly Criterion 2.96% 2.41%
Risk of Ruin 0% 0%
Daily Value-at-Risk -4.75% -1.80%
Expected Shortfall (cVaR) -4.75% -1.80%
Max Consecutive Wins 9 10
Max Consecutive Losses 10 8
Gain/Pain Ratio 0.03 0.14
Gain/Pain (1M) 0.17 0.78
Payoff Ratio 0.96 0.88
Profit Factor 1.03 1.14
Outlier Win Ratio 3.52 6.13
Outlier Loss Ratio 3.55 6.53
MTD +0.21% -0.11%
3M +3.26% +3.74%
6M +0.64% +10.44%
Best Day +80.59% +9.06%
Worst Day -34.71% -10.94%
Best Month +59.22% +12.70%
Worst Month -48.70% -13.00%
Best Year +20.66% +28.79%
Worst Year -28.79% -19.48%
Avg. Drawdown -11.81% -1.83%
Avg. Drawdown Days 292 22
Recovery Factor 0.71 3.41
Ulcer Index 0.31 0.08
Avg. Up Month +6.55% +3.54%
Avg. Down Month -9.97% -4.82%
Win Days 52.37% 54.39%
Win Month 54.70% 66.67%
Win Quarter 48.72% 76.92%
Win Year 40.00% 70.00%