PMT vs SPY: Correlation
Measured on weekly returns over the past three years, PennyMac Mortgage Investment Trust (PMT) and SPDR S&P 500 ETF Trust (SPY) carry a correlation of 0.28, a weak link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PMT and SPY?
Over the past 3 years, PMT and SPY moved with a correlation of 0.28, which is weak. The past 12 months show a weaker link (0.16) than the 3-year average (0.28). Over 5 years the correlation is 0.47, and the annualized covariance of weekly returns is 102.8 %².
Out of 11 assets tracked against PMT, SPY lands near the bottom at #7. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 32.4 percentage points (-11.8% for PMT against +20.6% for SPY). Note the risk asymmetry: PMT runs 1.8 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
PMT vs SPY: side by side
| PMT (PennyMac Mortgage Investment Trust) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | -11.8% | +20.6% |
| 5-year return | -9.4% | +82.4% |
| Volatility (ann.) | 25.8% | 14.5% |
| Beta vs S&P 500 | 0.49 | 1.00 |
| Max drawdown (3Y) | -28.1% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 6.5 | – |
| Dividend yield | 17.33% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | PMT | SPY |
|---|---|---|
| 2022 | -18.1% | -18.2% |
| 2023 | +36.1% | +26.2% |
| 2024 | -5.4% | +24.9% |
| 2025 | +13.2% | +17.7% |
| 2026 | -20.0% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PMT and SPY good diversifiers for each other?
A fair diversifier. At 0.28, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
FAQ
What is the correlation between PMT and SPY?
Using weekly returns as of 2026-08-27: 0.28 over 3 years, with 0.16 over the last year and 0.47 over 5 years.
Is SPY a good diversifier for PMT?
A fair diversifier. At 0.28, enough of each asset's movement is its own that the pair has smoothed outcomes historically.
What does a correlation of 0.28 mean?
A reading of 0.28 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/pmt-vs-spy.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/pmt-vs-spy/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: PMT correlations · SPY correlations
