PMT vs. VUAA.L
Compare and contrast key facts about PennyMac Mortgage Investment Trust (PMT) and Vanguard S&P 500 UCITS ETF (VUAA.L).
VUAA.L is a passively managed fund by Vanguard Group (Ireland) Limited that tracks the performance of the S&P 500 Index. It was launched on May 14, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PMT or VUAA.L.
Key characteristics
| PMT | VUAA.L | |
|---|---|---|
| YTD Return | -4.50% | 26.43% |
| 1Y Return | 5.08% | 34.57% |
| 3Y Return (Ann) | 0.33% | 10.00% |
| 5Y Return (Ann) | 0.18% | 15.50% |
| Sharpe Ratio | 0.37 | 2.98 |
| Sortino Ratio | 0.61 | 4.13 |
| Omega Ratio | 1.09 | 1.56 |
| Calmar Ratio | 0.62 | 4.45 |
| Martin Ratio | 1.24 | 19.23 |
| Ulcer Index | 6.93% | 1.79% |
| Daily Std Dev | 23.50% | 11.65% |
| Max Drawdown | -75.90% | -34.05% |
| Current Drawdown | -9.41% | -0.23% |
Correlation
The correlation between PMT and VUAA.L is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
PMT vs. VUAA.L - Performance Comparison
In the year-to-date period, PMT achieves a -4.50% return, which is significantly lower than VUAA.L's 26.43% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
PMT vs. VUAA.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PennyMac Mortgage Investment Trust (PMT) and Vanguard S&P 500 UCITS ETF (VUAA.L). 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.
Dividends
PMT vs. VUAA.L - Dividend Comparison
PMT's dividend yield for the trailing twelve months is around 12.20%, while VUAA.L has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PMT PennyMac Mortgage Investment Trust | 12.20% | 10.70% | 14.61% | 10.85% | 8.64% | 8.43% | 10.10% | 11.70% | 11.48% | 14.15% | 14.18% | 9.93% |
VUAA.L Vanguard S&P 500 UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
PMT vs. VUAA.L - Drawdown Comparison
The maximum PMT drawdown since its inception was -75.90%, which is greater than VUAA.L's maximum drawdown of -34.05%. Use the drawdown chart below to compare losses from any high point for PMT and VUAA.L. For additional features, visit the drawdowns tool.
Volatility
PMT vs. VUAA.L - Volatility Comparison
PennyMac Mortgage Investment Trust (PMT) has a higher volatility of 4.93% compared to Vanguard S&P 500 UCITS ETF (VUAA.L) at 3.78%. This indicates that PMT's price experiences larger fluctuations and is considered to be riskier than VUAA.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.