PennyMac Mortgage Total Risk Alpha
| PMT Stock | | | USD 11.65 0.01 0.09% |
Reference data associated with the Total Risk Alpha technical indicator for PennyMac Mortgage Investment. Additional screening context is available through
Equity Screeners.
PennyMac Mortgage Investment has current Total Risk Alpha of 0.0083. The total risk alpha measures the performance of an asset by comparing its returns with those of a selected benchmark portfolio.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | 0.0083 | |
| ER[a] | = | Expected return on investing in PennyMac Mortgage |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on PennyMac Mortgage |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
PennyMac Mortgage Total Risk Alpha Peers Comparison
PennyMac Total Risk Alpha Relative To Other Indicators
PennyMac Mortgage Investment is rated
below average in total risk alpha relative to competitors. It is currently under evaluation in maximum drawdown relative to competitors yielding
1,927 of Maximum Drawdown per Total Risk Alpha. For PennyMac Mortgage Investment, Maximum Drawdown stands at
1,927 times Total Risk Alpha
The benchmark portfolio represents the market risk matched to the total risk of the stock ETF or fund.
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