PFSI's Sharpe Ratio of -0.32 indicates that for each unit of volatility, it generates -0.32 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 25, 2026).
Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.
PFSI Sharpe Ratio Rank
PFSI ranks above 29.3% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with low total volatility → Higher rank
- High volatility (both upside and downside) → Lower rank
- Consistent returns → Higher rank than volatile returns of same magnitude
- Sharp drawdowns increase volatility → Lower rank
What you can do with this information
- Returns may not adequately compensate for volatility taken
- Consider smaller allocation given below-average risk-adjusted profile
- Explore higher-ranked investments with better consistency
- Assess whether the volatility profile aligns with your portfolio goals
PFSI Sharpe Ratio Market Positioning
The chart shows PFSI's Sharpe Ratio relative to all stocks on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.
- Red zone (bottom 25%): -0.43 or lower
- Yellow zone (middle 50%): -0.43 to 1.06
- Green zone (top 25%): 1.06 or higher
- Top 1%: 5.29+
- Median: 0.17 — half of all investments score higher
How it compares to other similar stocks
The table compares PennyMac Financial Services, Inc.'s Sharpe Ratio with other stocks in the Mortgage Finance industry across multiple time periods, showing how PFSI's risk-adjusted performance compares to industry peers.
Data shows 1-, 5-, and 10-year periods, plus each stock's all-time average, as of Jun 25, 2026.
| Symbol | Name | 1Y Sharpe Ratio | 5Y Sharpe Ratio | 10Y Sharpe Ratio | All Time Sharpe Ratio |
|---|---|---|---|---|---|
| ECPG | Encore Capital Group, Inc. | 3.53 | |||
| PAPL | Pineapple Financial Inc. | 0.28 | |||
| ESNT | Essent Group Ltd. | 0.13 | |||
| BETRW | Better Home & Finance Holding Company | 0.07 | |||
| RKT | Rocket Companies, Inc. | -0.02 | |||
| ONIT | Onity Group Inc | -0.04 | |||
| LDI | loanDepot, Inc. | -0.14 | |||
| VEL | Velocity Financial, Inc. | -0.18 | |||
| IOR | Income Opportunity Realty Investors, Inc. | -0.19 | |||
| FMCC | Freddie Mac | -0.23 | |||
| PFSI | PennyMac Financial Services, Inc. | -0.32 |
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