PMT vs VXZ: Correlation
Measured on weekly returns over the past three years, PennyMac Mortgage Investment Trust (PMT) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) carry a correlation of -0.41, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PMT and VXZ?
On 3 years of weekly data the PMT/VXZ correlation comes out at -0.41, negative, meaning they tend to move in opposite directions. The relationship has been stable: the 1-year correlation (-0.45) sits close to the 3-year figure. The 5-year figure is -0.44, and annualized covariance runs at -271.8 %².
Out of 11 assets tracked against PMT, VXZ lands near the bottom at #11. Their 12-month results are close: -11.8% for PMT against -16.1% for VXZ.
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 VXZ: side by side
| PMT (PennyMac Mortgage Investment Trust) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | -11.8% | -16.1% |
| 5-year return | -9.4% | -53.1% |
| Volatility (ann.) | 25.8% | 25.6% |
| Beta vs S&P 500 | 0.49 | -1.31 |
| Max drawdown (3Y) | -28.1% | -36.4% |
| Market cap | – | – |
| P/E (trailing) | 6.5 | – |
| Dividend yield | 17.33% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | PMT | VXZ |
|---|---|---|
| 2022 | -18.1% | +0.5% |
| 2023 | +36.1% | -44.0% |
| 2024 | -5.4% | -12.7% |
| 2025 | +13.2% | +5.7% |
| 2026 | -20.0% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PMT and VXZ good diversifiers for each other?
Yes: at -0.41, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between PMT and VXZ?
As of 2026-08-27, the correlation of weekly returns between PMT and VXZ is -0.41 over 3 years, -0.45 over 1 year and -0.44 over 5 years.
Is VXZ a good diversifier for PMT?
Yes: at -0.41, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.41 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-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/pmt-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: PMT correlations · VXZ correlations
