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PFSI vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PFSI and SPLG is 0.42, 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.


-0.50.00.51.0
Correlation: 0.4

Performance

PFSI vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PennyMac Financial Services, Inc. (PFSI) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

300.00%350.00%400.00%450.00%500.00%550.00%December2025FebruaryMarchAprilMay
460.98%
334.20%
PFSI
SPLG

Key characteristics

Sharpe Ratio

PFSI:

0.52

SPLG:

0.75

Sortino Ratio

PFSI:

0.88

SPLG:

1.15

Omega Ratio

PFSI:

1.11

SPLG:

1.17

Calmar Ratio

PFSI:

0.69

SPLG:

0.77

Martin Ratio

PFSI:

1.63

SPLG:

3.04

Ulcer Index

PFSI:

9.73%

SPLG:

4.72%

Daily Std Dev

PFSI:

30.45%

SPLG:

19.25%

Max Drawdown

PFSI:

-56.49%

SPLG:

-54.52%

Current Drawdown

PFSI:

-15.34%

SPLG:

-7.27%

Returns By Period

In the year-to-date period, PFSI achieves a -3.66% return, which is significantly lower than SPLG's -3.02% return. Over the past 10 years, PFSI has outperformed SPLG with an annualized return of 19.37%, while SPLG has yielded a comparatively lower 12.50% annualized return.


PFSI

YTD

-3.66%

1M

-5.31%

6M

-0.70%

1Y

12.85%

5Y*

29.89%

10Y*

19.37%

SPLG

YTD

-3.02%

1M

0.38%

6M

-0.11%

1Y

13.67%

5Y*

16.74%

10Y*

12.50%

*Annualized

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Risk-Adjusted Performance

PFSI vs. SPLG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PFSI
The Risk-Adjusted Performance Rank of PFSI is 6868
Overall Rank
The Sharpe Ratio Rank of PFSI is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of PFSI is 6262
Sortino Ratio Rank
The Omega Ratio Rank of PFSI is 6060
Omega Ratio Rank
The Calmar Ratio Rank of PFSI is 7777
Calmar Ratio Rank
The Martin Ratio Rank of PFSI is 6969
Martin Ratio Rank

SPLG
The Risk-Adjusted Performance Rank of SPLG is 7373
Overall Rank
The Sharpe Ratio Rank of SPLG is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of SPLG is 7171
Sortino Ratio Rank
The Omega Ratio Rank of SPLG is 7474
Omega Ratio Rank
The Calmar Ratio Rank of SPLG is 7676
Calmar Ratio Rank
The Martin Ratio Rank of SPLG is 7373
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PFSI vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PennyMac Financial Services, Inc. (PFSI) and SPDR Portfolio S&P 500 ETF (SPLG). 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.


The chart of Sharpe ratio for PFSI, currently valued at 0.52, compared to the broader market-2.00-1.000.001.002.003.00
PFSI: 0.52
SPLG: 0.75
The chart of Sortino ratio for PFSI, currently valued at 0.88, compared to the broader market-6.00-4.00-2.000.002.004.00
PFSI: 0.88
SPLG: 1.15
The chart of Omega ratio for PFSI, currently valued at 1.11, compared to the broader market0.501.001.502.00
PFSI: 1.11
SPLG: 1.17
The chart of Calmar ratio for PFSI, currently valued at 0.69, compared to the broader market0.001.002.003.004.005.00
PFSI: 0.69
SPLG: 0.77
The chart of Martin ratio for PFSI, currently valued at 1.63, compared to the broader market-40.00-30.00-20.00-10.000.0010.0020.00
PFSI: 1.63
SPLG: 3.04

The current PFSI Sharpe Ratio is 0.52, which is lower than the SPLG Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of PFSI and SPLG, 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.52
0.75
PFSI
SPLG

Dividends

PFSI vs. SPLG - Dividend Comparison

PFSI's dividend yield for the trailing twelve months is around 1.12%, less than SPLG's 1.34% yield.


TTM20242023202220212020201920182017201620152014
PFSI
PennyMac Financial Services, Inc.
1.12%0.98%0.91%1.41%1.15%0.82%0.35%1.88%0.00%0.00%0.00%0.00%
SPLG
SPDR Portfolio S&P 500 ETF
1.34%1.28%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%

Drawdowns

PFSI vs. SPLG - Drawdown Comparison

The maximum PFSI drawdown since its inception was -56.49%, roughly equal to the maximum SPLG drawdown of -54.52%. Use the drawdown chart below to compare losses from any high point for PFSI and SPLG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-15.34%
-7.27%
PFSI
SPLG

Volatility

PFSI vs. SPLG - Volatility Comparison

PennyMac Financial Services, Inc. (PFSI) and SPDR Portfolio S&P 500 ETF (SPLG) have volatilities of 13.99% and 14.11%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
13.99%
14.11%
PFSI
SPLG