PMT vs VXX: Correlation
PennyMac Mortgage Investment Trust (PMT) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) show a negative relationship: their 3-year correlation of weekly returns is -0.36.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PMT and VXX?
Over the past 3 years, PMT and VXX moved with a correlation of -0.36, which is negative, meaning they tend to move in opposite directions. Little has changed lately, as the 1-year reading of -0.30 lands near the 3-year figure. Over 5 years the correlation is -0.38, and the annualized covariance of weekly returns is -572.1 %².
Out of 11 assets tracked against PMT, VXX lands near the bottom at #10. Correlation aside, the last 12 months split them widely, with PMT ahead by 37.9 points (-11.8% versus -49.7%). Note the risk asymmetry: VXX runs 2.4 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 VXX: side by side
| PMT (PennyMac Mortgage Investment Trust) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | -11.8% | -49.7% |
| 5-year return | -9.4% | -95.6% |
| Volatility (ann.) | 25.8% | 60.9% |
| Beta vs S&P 500 | 0.49 | -3.31 |
| Max drawdown (3Y) | -28.1% | -83.3% |
| Market cap | – | – |
| P/E (trailing) | 6.5 | – |
| Dividend yield | 17.33% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | PMT | VXX |
|---|---|---|
| 2022 | -18.1% | -23.8% |
| 2023 | +36.1% | -72.5% |
| 2024 | -5.4% | -26.2% |
| 2025 | +13.2% | -42.2% |
| 2026 | -20.0% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PMT and VXX good diversifiers for each other?
Yes. With a correlation of -0.36, PMT and VXX have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between PMT and VXX?
Using weekly returns as of 2026-08-27: -0.36 over 3 years, with -0.30 over the last year and -0.38 over 5 years.
Is VXX a good diversifier for PMT?
Yes. With a correlation of -0.36, PMT and VXX have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.36 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/pmt-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/pmt-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: PMT correlations · VXX correlations
