Structured JSON API for this factor page: https://sharemaestro.com/factors/api/tickers/a9767e07-b07b-4e60-933f-d0f2c28102d6/
PMT
PennyMac Mortgage Investment TrustSnapshot 2026-06-07 · 0.0w · Fresh
Strategy Eligibility
2 of 23 passing
★
OS Composite
✗
↗
Trending Value
✗
◆
Quality × Value
✗
🏛
Cornerstone Value
✗
🌿
Cornerstone Growth
✗
💎
Deep Value
✗
◇
VC2 Cheapest
VC2 10.00000000
📐
EBITDA/EV
✗
◐
Veiled Value
✗
▣
Piotroski Bargains
✗
🔬
Quality Compounders
✗
📈
Consistent Earners
✗
🌱
GARP
✗
🔄
Shareholder Yield
20.4%
💰
High Yield
✗
🚀
Momentum Leaders
✗
◉
Market Leaders
✗
◎
Tiny Titans
✗
🔍
Small Cap Value
✗
🛡
Low Volatility
✗
🏷
Sector Cheapest
✗
🧠
Capital Allocators
✗
⚡
Risk-Adj Momentum
✗
V
Value Analysis
Cheapness relative to fundamentals
71.0%ile
P/E
6.2×
P/S
0.6×
P/B
0.5×
E/P
0.1611
FCF Yield
-0.458
EBITDA/EV
0.033
SH Yield
0.204
Relative Strength Across Value Dimensions
Multiples & Yields — Decomposition
VC1 (5-Factor)
16.00000000
/100 — 1=cheapest
VC2 (Trending Value)
10.00000000
/100
VC3 (Buyback)
10.00000000
/100
P/E of 6.2x places this firmly in deep value territory. Negative FCF yield (-45.8%) — the business is currently cash-consumptive. VC2 score of 10.00000000/100 puts this in the cheapest decile of the universe — prime Trending Value territory.
Q
Quality Analysis
Profitability, efficiency, balance sheet & earnings quality
5.0%ile
ROE
0.077
ROA
0.006
Net Margin
0.102
Op Margin
0.514
GPA
0.040
D/E
11.06
Current
0.20
F-Score
2/9
Quality Radar — Relative Strength
Profitability & Leverage Breakdown
Rev Growth
1.375
Earn Growth
0.161
Stability
0.579
lower=better
Accruals
0.413
lower=better
5yr Consist
No
Highly leveraged with D/E of 11.06 — returns are being amplified by debt. Accruals ratio of 0.413 is elevated — earnings quality may be lower than headline numbers suggest. F-Score of 2/9 flags fundamental deterioration — multiple signals are weakening.
M
Momentum & Risk
Price trend, volatility regime, risk-adjusted returns
21.0%ile
6M Return
-14.4%
12M Return
-6.7%
12-1 Mom
0.8%
Risk-Adj
0.03
Vol 252d
27.1%
Vol 60d
65.8%
↑ Expanding
Max DD 12M
-23.7%
Return Comparison — 6M / 12M / 12-1
Volatility Regime — 60d vs 252d
Near-term vol (66%) is expanding vs long-term (27%) — risk is increasing.
OS
Composite & Factor Heatmap
All factors at a glance
0.36
Pillar Balance — Value / Quality / Momentum
Factor Heatmap — green=strong, red=weak
▦
Sector Context
Real Estate
· 252 peers
Sector Value %ile
77.1%
Sector Quality %ile
4.3%
P/E z-score
-0.28
P/B z-score
-0.19
Sector Avg OS
40.7%
Ticker vs Sector Averages
Relative Valuation Z-Score
Top Sector Peers (By OS)
Factor Interactions
Cheap for a Reason?
Looks cheap (71th value) but weak quality (5th). Classic value trap risk.
Growth at Reasonable Price
Revenue growing 138% with P/E of 6×. Growth isn't fully priced in.
Volatility Expanding
60-day vol (66%) significantly exceeds 252-day (27%). Near-term risk is elevated.
⚖
Factor Analysis
Comprehensive factor intelligence — strengths, weaknesses & cross-factor profile
Value
B
73.1% avg (7 factors)
Quality
F
23.0% avg (8 factors)
Momentum
F
26.4% avg (4 factors)
Risk
B
71.5% avg (1 factors)
Deep value territory, but quality is concerning. This is either a turnaround opportunity or a value trap — the F-Score and accruals ratio will be key differentiators. Momentum is weak, suggesting the market isn't yet buying this thesis. Patience required.
▲ Top Strengths — highest scoring factors
▼ Key Weaknesses — lowest scoring factors
Factor Persistence1 snapshots
| Factor | Current | Streak | Trend | Spark |
|---|---|---|---|---|
| OS Composite | 0.360 | —0 | — | |
| Value %ile | 0.710 | —1 | — | |
| Quality %ile | 0.050 | —1 | — | |
| Momentum %ile | 0.210 | —1 | — | |
| F-Score | 2.000 | —1 | — | |
| Confidence | 0.939 | —1 | — | |
| Volatility | 0.271 | —0 | — |
Value FactorsCheapness relative to fundamentals — lower multiples = cheaper
P/E Ratio
6.21
Earnings Yield (E/P)
0.1611
Price / Sales
0.63
Price / Book
0.47
FCF Yield
-45.8%
EBITDA / EV
3.3%
Sales Yield (1/P·S)
0.0703
Shareholder Yield
Div + net buyback / mktcap
20.4%
Quality FactorsProfitability, efficiency, and balance sheet strength
Return on Equity
7.7%
Return on Assets
0.6%
Net Margin
10.2%
Operating Margin
51.4%
Gross Profit / Assets
Novy-Marx GPA
4.0%
Debt / Equity
11.06
Current Ratio
0.20
Accruals Ratio
(NI-OCF)/Assets — lower=better
0.413
MomentumPrice trend strength over different horizons
6M Return
-14.4%
12M Return
-6.7%
12-1 Momentum
Jegadeesh-Titman (skip recent month)
0.8%
Risk-Adjusted Momentum
Mom 12-1 ÷ Vol
0.03
Growth & StabilityEarnings trajectory, consistency, and capital allocation
Revenue Growth (YoY)
137.5%
Earnings Growth (YoY)
16.1%
Earnings Stability (CV)
Lower = more stable
0.579
5yr Consistent
EPS up every year for 5 years
No
Piotroski F-Score
2
Dividend Yield
20.4%
Buyback Yield
0.0%
O'Shaughnessy CompositesValue Composites (WWOWS 4th Ed) — 1=cheapest, 100=most expensive
VC1 (5-factor)
P/E+P/S+P/B+P/CF+EBITDA/EV
16
VC2 (6-factor)
VC1 + Shareholder Yield — used for Trending Value
10
VC3 (6-factor)
VC1 + Buyback Yield — no dividend preference
10
Trending Value Rank
1=best. Top VC2 decile by 6M momentum
73
Capital Allocation & AlphaAlpha within factors — quality of management decisions
Veiled Value
Expensive by P/B, cheap by everything else
No
Market Leader
Above-avg mcap+revenue, non-utility
No
All Stocks Universe
Market cap > $200M
Yes
Tiny Titan
Micro-cap, low P/S, positive momentum
No
Quarterly Fundamentals
Revenue
Net Income
FCF
Net Margin
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Op Income
OCF
CapEx
Equity
Annual Fundamentals
Revenue
Net Income
FCF
Net Margin
Show all
Op Income
OCF
CapEx
Equity