PMT vs. JNK

Last updated Jun 4, 2026

PMT (PennyMac Mortgage Investment Trust) is a stock, while JNK (SPDR Barclays High Yield Bond ETF) is High Yield Bonds fund tracking the Barclays Capital High Yield Very Liquid Index. Over the past 10 years, PMT returned 6.81%/yr vs 5.01%/yr for JNK. At a 0.42 correlation, their price movements are largely independent.

Performance

PMT vs. JNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PennyMac Mortgage Investment Trust (PMT) and SPDR Barclays High Yield Bond ETF (JNK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PMT achieves a -17.41% return, which is significantly lower than JNK's 1.51% return. Over the past 10 years, PMT has outperformed JNK with an annualized return of 6.81%, while JNK has yielded a comparatively lower 5.01% annualized return.

PMT

• 1D: -3.93%
• 1M: -17.26%
• YTD: -17.41%
• 6M: -17.04%
• 1Y: -6.85%
• 3Y*: 5.10%
• 5Y*: -1.60%
• 10Y*: 6.81%

JNK

• 1D: -0.22%
• 1M: 0.44%
• YTD: 1.51%
• 6M: 1.97%
• 1Y: 7.24%
• 3Y*: 8.63%
• 5Y*: 3.68%
• 10Y*: 5.01%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PMT vs. JNK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PMT PennyMac Mortgage Investment Trust	-17.41%	13.23%	-5.38%	36.11%	-18.07%	8.47%	-12.99%	30.33%	28.04%	9.42%
JNK SPDR Barclays High Yield Bond ETF	1.51%	8.76%	7.71%	12.42%	-12.19%	4.00%	4.95%	14.88%	-3.28%	6.49%

Correlation

The correlation between PMT and JNK is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (10Y) Calculated over the trailing 10-year period	0.45
Correlation (All Time) Calculated using the full available price history since Jul 31, 2009	0.42

The correlation between PMT and JNK shifts across timeframes, from 0.42 (all time) to 0.53 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

PMT vs. JNK — Risk / Return Rank

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

PMT

PMT Risk / Return Rank: 28
PMT Sharpe Ratio Rank: 30
PMT Sortino Ratio Rank: 26
PMT Omega Ratio Rank: 25
PMT Calmar Ratio Rank: 31
PMT Martin Ratio Rank: 27

JNK

JNK Risk / Return Rank: 60
JNK Sharpe Ratio Rank: 55
JNK Sortino Ratio Rank: 60
JNK Omega Ratio Rank: 58
JNK Calmar Ratio Rank: 58
JNK Martin Ratio Rank: 68

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PMT vs. JNK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PennyMac Mortgage Investment Trust (PMT) and SPDR Barclays High Yield Bond ETF (JNK). 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.

	PMT	JNK	Difference
Sharpe ratio: Return per unit of total volatility	-0.26	1.90	-2.17
Sortino ratio: Return per unit of downside risk	-0.17	2.89	-3.07
Omega ratio: Gain probability vs. loss probability	0.97	1.36	-0.39
Calmar ratio: Return relative to maximum drawdown	-0.28	2.90	-3.18
Martin ratio: Return relative to average drawdown	-0.73	12.79	-13.52
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PMT vs. JNK - Sharpe Ratio Comparison

The current PMT Sharpe Ratio is -0.26, which is lower than the JNK Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of PMT and JNK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PMT	JNK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.26	1.90	-2.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.05	0.49	-0.55
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.15	0.60	-0.45
Sharpe Ratio (All Time) Calculated using the full available price history	0.18	0.42	-0.24

Drawdowns

PMT vs. JNK - Drawdown Comparison

The maximum PMT drawdown since its inception was -75.90%, which is greater than JNK's maximum drawdown of -38.48%. Use the drawdown chart below to compare losses from any high point for PMT and JNK.

Drawdown Indicators

	PMT	JNK	Difference
Max Drawdown Largest peak-to-trough decline	-75.90%	-38.48%	-37.42%
Max Drawdown (1Y) Largest decline over 1 year	-24.94%	-2.51%	-22.43%
Max Drawdown (3Y) Largest decline over 3 years	-24.94%	-5.02%	-19.92%
Max Drawdown (5Y) Largest decline over 5 years	-39.81%	-16.67%	-23.14%
Max Drawdown (10Y) Largest decline over 10 years	-75.90%	-22.89%	-53.01%
Current Drawdown Current decline from peak	-24.94%	-0.26%	-24.68%
Average Drawdown Average peak-to-trough decline	-11.56%	-3.70%	-7.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.40%	0.57%	+8.83%

Volatility

PMT vs. JNK - Volatility Comparison

PennyMac Mortgage Investment Trust (PMT) has a higher volatility of 11.18% compared to SPDR Barclays High Yield Bond ETF (JNK) at 1.13%. This indicates that PMT's price experiences larger fluctuations and is considered to be riskier than JNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PMT	JNK	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.18%	1.13%	+10.05%
Volatility (6M) Calculated over the trailing 6-month period	21.88%	2.97%	+18.91%
Volatility (1Y) Calculated over the trailing 1-year period	26.43%	3.82%	+22.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.56%	7.54%	+22.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	45.18%	8.31%	+36.87%

Dividends

PMT vs. JNK - Dividend Comparison

PMT's dividend yield for the trailing twelve months is around 15.97%, more than JNK's 6.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JNK SPDR Barclays High Yield Bond ETF	6.62%	6.54%	6.63%	6.38%	6.06%	4.27%	5.11%	5.44%	5.90%	5.60%	6.06%	6.59%
PMT PennyMac Mortgage Investment Trust	15.97%	12.75%	12.71%	10.70%	14.61%	10.85%	8.64%	8.43%	10.10%	11.70%	11.48%	14.15%

Frequently Asked Questions

Can I hold both PMT and JNK in my portfolio?

PMT and JNK have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PMT or JNK?

PMT has higher volatility (11.18%) compared to JNK (1.13%). In terms of maximum drawdown, PMT dropped -75.90% vs JNK's -38.48%.

Which has better risk-adjusted returns?

JNK currently has the higher Sharpe Ratio (1.90 vs -0.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.