PennyMac Finl Correlations

PFSI Stock

USD 100.85 0.09 0.09%

The current 90-days correlation between PennyMac Finl Svcs and Mr Cooper Group is 0.7 (i.e., Poor diversification). The correlation of PennyMac Finl 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 Finl Correlation With Market

Poor diversification

The correlation between PennyMac Finl Svcs and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PennyMac Finl Svcs and DJI in the same portfolio, assuming nothing else is changed.

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Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in PennyMac Finl Svcs. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with PennyMac Stock

0.75	DHIL	Diamond Hill Investment	Pair Corr
0.68	DIST	Distoken Acquisition	Pair Corr
0.63	AB	AllianceBernstein Earnings Call This Week	Pair Corr
0.68	BN	Brookfield Corp	Pair Corr
0.79	BX	Blackstone Group Normal Trading	Pair Corr
0.7	CG	Carlyle Group Earnings Call This Week	Pair Corr
0.72	DX	Dynex Capital Earnings Call Tomorrow	Pair Corr
0.67	GS	Goldman Sachs Group	Pair Corr
0.67	LC	LendingClub Corp	Pair Corr
0.77	MC	Moelis Earnings Call This Week	Pair Corr
0.65	MS	Morgan Stanley Sell-off Trend	Pair Corr
0.74	SF	Stifel Financial Earnings Call This Week	Pair Corr
0.69	WT	WisdomTree	Pair Corr
0.63	VCTR	Victory Capital Holdings Normal Trading	Pair Corr
0.68	VIRT	Virtu Financial,	Pair Corr
0.73	VRTS	Virtus Investment Earnings Call This Week	Pair Corr

Moving against PennyMac Stock

0.37	WU	Western Union Earnings Call Next Week	Pair Corr
0.37	GCMGW	GCM Grosvenor	Pair Corr

Related Correlations Analysis

	COOP	ONIT	VEL	SNFCA	ECPG	PLMR	HTH	ESNT	NMIH
COOP		0.6	0.63	-0.05	0.7	-0.16	0.67	0.63	0.82	COOP
ONIT	0.6		0.08	0.63	0.88	0.19	0.76	0.7	0.75	ONIT
VEL	0.63	0.08		-0.23	0.14	-0.38	0.18	0.32	0.42	VEL
SNFCA	-0.05	0.63	-0.23		0.48	0.19	0.44	0.47	0.25	SNFCA
ECPG	0.7	0.88	0.14	0.48		0.13	0.82	0.7	0.75	ECPG
PLMR	-0.16	0.19	-0.38	0.19	0.13		-0.24	0.25	0.24	PLMR
HTH	0.67	0.76	0.18	0.44	0.82	-0.24		0.59	0.63	HTH
ESNT	0.63	0.7	0.32	0.47	0.7	0.25	0.59		0.89	ESNT
NMIH	0.82	0.75	0.42	0.25	0.75	0.24	0.63	0.89		NMIH
	COOP	ONIT	VEL	SNFCA	ECPG	PLMR	HTH	ESNT	NMIH

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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

NMIH	+ 0.89	ESNT
ECPG	+ 0.88	ONIT
NMIH	+ 0.82	COOP
HTH	+ 0.82	ECPG
HTH	+ 0.76	ONIT
NMIH	+ 0.75	ONIT

High negative correlations

PLMR	- 0.38	VEL
HTH	- 0.24	PLMR
SNFCA	- 0.23	VEL
PLMR	- 0.16	COOP
SNFCA	- 0.05	COOP

Risk-Adjusted Indicators

There is a big difference between PennyMac Stock performing well and PennyMac Finl 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 Finl'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
COOP	1.98	0.23	0.12	0.29	2.24	(2.14)	4.48	(3.79)	12.47
ONIT	1.77	0.15	0.10	0.25	1.75	(2.09)	4.30	(2.40)	12.29
VEL	1.09	(0.04)	(0.07)	0.05	1.45	(1.12)	2.09	(2.16)	9.41
SNFCA	1.61	(0.09)	(0.05)	0.02	2.13	(1.59)	3.68	(3.48)	9.61
ECPG	2.02	0.27	0.15	0.32	1.96	(2.40)	3.61	(2.72)	28.93
PLMR	1.77	(0.18)	0.00	(0.17)	0.00	0.00	2.82	(3.70)	10.85
HTH	1.00	0.04	0.02	0.17	1.04	(1.15)	2.12	(2.04)	6.55
ESNT	1.03	(0.13)	(0.09)	0.00	1.45	(0.96)	1.93	(2.50)	6.44
NMIH	1.28	0.04	0.02	0.17	1.64	(1.27)	2.52	(2.56)	12.06

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