PennyMac Mortgage Investment Trust (PMT)

12.98 +0.03 (+0.23%) USD  |  NYSE  |  Dec 20, 16:00
13.10 +0.12 (+0.92%) After-Hours: 20:00
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PennyMac Mortgage Investment Trust Max Drawdown (5Y): 75.90% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Sep '18
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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Equinix Inc 41.77%
Lamar Advertising Co 65.88%
PotlatchDeltic Corp 50.09%
Innovative Industrial Properties Inc 75.41%
Invitation Homes Inc 50.54%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -21.96
Beta (5Y) 1.501
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 51.73%
Historical Sharpe Ratio (5Y) -0.0369
Historical Sortino (5Y) -0.0498
Monthly Value at Risk (VaR) 5% (5Y Lookback) 15.30%