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HSTIX vs. PMT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HSTIX and PMT is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

HSTIX vs. PMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Homestead Stock Index Fund (HSTIX) and PennyMac Mortgage Investment Trust (PMT). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
615.78%
225.80%
HSTIX
PMT

Key characteristics

Sharpe Ratio

HSTIX:

2.08

PMT:

-0.24

Sortino Ratio

HSTIX:

2.79

PMT:

-0.17

Omega Ratio

HSTIX:

1.39

PMT:

0.98

Calmar Ratio

HSTIX:

3.09

PMT:

-0.39

Martin Ratio

HSTIX:

13.40

PMT:

-0.74

Ulcer Index

HSTIX:

1.95%

PMT:

7.35%

Daily Std Dev

HSTIX:

12.54%

PMT:

22.61%

Max Drawdown

HSTIX:

-55.58%

PMT:

-75.90%

Current Drawdown

HSTIX:

-3.45%

PMT:

-10.31%

Returns By Period

In the year-to-date period, HSTIX achieves a 24.20% return, which is significantly higher than PMT's -5.45% return. Over the past 10 years, HSTIX has outperformed PMT with an annualized return of 12.04%, while PMT has yielded a comparatively lower 5.89% annualized return.


HSTIX

YTD

24.20%

1M

-0.58%

6M

7.89%

1Y

24.82%

5Y*

13.42%

10Y*

12.04%

PMT

YTD

-5.45%

1M

-1.29%

6M

0.37%

1Y

-7.69%

5Y*

0.05%

10Y*

5.89%

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Risk-Adjusted Performance

HSTIX vs. PMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Homestead Stock Index Fund (HSTIX) and PennyMac Mortgage Investment Trust (PMT). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for HSTIX, currently valued at 2.08, compared to the broader market-1.000.001.002.003.004.002.08-0.24
The chart of Sortino ratio for HSTIX, currently valued at 2.79, compared to the broader market-2.000.002.004.006.008.0010.002.79-0.17
The chart of Omega ratio for HSTIX, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.003.501.390.98
The chart of Calmar ratio for HSTIX, currently valued at 3.09, compared to the broader market0.002.004.006.008.0010.0012.0014.003.09-0.39
The chart of Martin ratio for HSTIX, currently valued at 13.40, compared to the broader market0.0020.0040.0060.0013.40-0.74
HSTIX
PMT

The current HSTIX Sharpe Ratio is 2.08, which is higher than the PMT Sharpe Ratio of -0.24. The chart below compares the historical Sharpe Ratios of HSTIX and PMT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
2.08
-0.24
HSTIX
PMT

Dividends

HSTIX vs. PMT - Dividend Comparison

HSTIX's dividend yield for the trailing twelve months is around 0.08%, less than PMT's 12.33% yield.


TTM20232022202120202019201820172016201520142013
HSTIX
Homestead Stock Index Fund
0.08%1.04%1.22%0.85%1.12%1.60%1.98%0.89%1.51%1.66%1.42%1.33%
PMT
PennyMac Mortgage Investment Trust
12.33%10.70%14.61%10.85%8.64%8.43%10.10%11.70%11.48%14.15%14.18%9.93%

Drawdowns

HSTIX vs. PMT - Drawdown Comparison

The maximum HSTIX drawdown since its inception was -55.58%, smaller than the maximum PMT drawdown of -75.90%. Use the drawdown chart below to compare losses from any high point for HSTIX and PMT. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.45%
-10.31%
HSTIX
PMT

Volatility

HSTIX vs. PMT - Volatility Comparison

The current volatility for Homestead Stock Index Fund (HSTIX) is 3.80%, while PennyMac Mortgage Investment Trust (PMT) has a volatility of 4.62%. This indicates that HSTIX experiences smaller price fluctuations and is considered to be less risky than PMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
3.80%
4.62%
HSTIX
PMT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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