MODEL VERDICT
PennyMac Mortgage Investment Trust (PMT)
Relative Valuation•Peer multiples, Monte Carlo simulation & quality-adjusted fair value
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Composite score derived from valuation, quality, and risk factors
Quantitative model thresholds · For educational and research purposes only
Each row records the model's monthly assessment. High Conviction = the model detected notable undervaluation vs peers. Neutral = no notable divergence was found. The return column shows the actual price change over 90 days for reference. This is a quantitative observation log — not investment advice.
| Date | Assessment | Score | Price | Status | 90d Fwd Return |
|---|---|---|---|---|---|
| May 1, 2026 | MODERATE | 0.66 | $12.33 | CURRENT | — |
| Apr 24, 2026 | MODERATE | 0.66 | $12.12 | CURRENT | — |
| Apr 17, 2026 | MODERATE | 0.66 | $12.09 | CURRENT | — |
| Apr 16, 2026 | MODERATE | 0.66 | $12.13 | CURRENT | — |
| Apr 10, 2026 | MODERATE | 0.66 | $11.89 | CURRENT | — |
Historical model observations for research purposes only. Past quantitative patterns do not predict future results. Not a recommendation to buy, sell, or hold any security.
| Methodology | Fair Value | vs Current | Weight | Quality | Status |
|---|---|---|---|---|---|
| EV/EBITDA 7 industry peers | $105.55 | +756.0% | 15% | A- | Peer Data |
| Dividend Yield 8 industry peers | $13.02 | +5.6% | 12% | B | Supplementary |
| Price / Book 8 industry peers | $18.24 | +47.9% | 8% | B | Model Driven |
| Industry Median P/E 7 industry peers | $14.39 | +16.7% | 5% | A | Peer Data |
| Forward P/E 8 analyst estimates | $11.13 | -9.7% | 5% | A- | Analyst Est. |
| EV To Revenue 8 industry peers | $21.01 | +70.4% | 3% | B | Data |
| Price / Sales 8 industry peers | $25.57 | +107.4% | 2% | B | Model Driven |
| Weighted Output Blended model output | $149.94 | +1116.0% | 100% | 73 | SIGNIFICANTLY UNDERVALUED |
| EPS Growth ↓ | P/E Multiple → | 5× | 7× | 9× (Current) | 11× | 13× |
|---|---|---|---|---|---|
| Bear Case (2%) | $7 | $10 | $13 | $15 | $18 |
| Conservative (5%) | $7 | $10 | $13 | $16 | $19 |
| Base Case (-10.8%) | $6 | $9 | $11 | $13 | $16 |
| Bull Case (-15%) | $6 | $8 | $11 | $13 | $15 |
Cross-sectional regression predicting expected multiples based on growth, margins, ROIC, and beta.
| Multiple | Avg | Median | Min | Max | Std |
|---|---|---|---|---|---|
| P/E Ratio | 27.97 | 9.20 | 8.46 | 66.65 | 29.38 |
| EV/EBIT | 84.53 | 18.59 | 0.90 | 470.98 | 171.36 |
| EV/EBITDA | 84.53 | 18.59 | 0.90 | 470.98 | 171.36 |
| P/FCF | 1.50 | 1.26 | 0.63 | 2.60 | 1.01 |
| P/FFO | 5.60 | 5.23 | 3.20 | 8.36 | 2.60 |
| P/TBV | 2.85 | 3.20 | 2.14 | 3.23 | 0.62 |
| P/B Ratio | 0.73 | 0.76 | 0.56 | 0.85 | 0.12 |
| Div Yield | 0.10 | 0.09 | 0.07 | 0.15 | 0.03 |
| P/S Ratio | 2.19 | 2.20 | 1.24 | 3.15 | 0.61 |
Based on our peer multiples analysis with 19 valuation metrics, the model estimates PMT's fair value at $149.94 vs the current price of $12.33, implying +1116.0% upside potential. Model verdict: Significantly Undervalued. Confidence: 73/100. This is a quantitative estimate, not a recommendation.
The blended fair value of $149.94 is calculated using four lenses: industry median multiples (40%), historical multiples (30%), forward estimates (20%), and quality-adjusted multiples (10%). Monte Carlo simulation (10,000 iterations) gives a range of $26.84 (P10) to $564.52 (P90), with a median of $169.11.
PMT's current P/E of 9.0x compares to the industry median of 10.5x (7 peers in the group). This represents a -14.3% discount to the industry. The historical average P/E is 28.0x over 6 years. Signal: Slightly Cheap.
26 analysts cover PMT with a consensus rating of Buy. The consensus price target is $15.00 (range: $13.50 — $18.00), implying +21.7% upside from the current price. Grade breakdown: Strong Buy (0), Buy (13), Hold (13), Sell (0), Strong Sell (0).
The model confidence score is 73/100, based on: data completeness (22), peer quality (25), historical depth (20), earnings stability (4), and model agreement (2). Cyclicality penalty: -0 points. The model shows strong agreement across inputs.
The model flags several key risks: (1) Macro/regulatory risks are not captured in this model but remain material.
Peak earnings risk refers to the possibility that PMT's current profitability is above its sustainable long-term trend. The model detects a margin Z-score of -0.3σ, meaning margins are 0.3 standard deviations below their historical average. If margins revert to the 6-year mean (18.9%), the model estimates fair value drops by 30360.0% to approximately $50. This isn't a prediction — it's a scenario analysis.
No. This dashboard is a quantitative research tool for educational and informational purposes only. It is not investment advice, a solicitation, or a recommendation to buy, sell, or hold any security. The operator of this platform is not a registered investment advisor (RIA), broker-dealer, or financial planner. All model outputs, fair value estimates, signals, and scenarios are the result of automated quantitative computations and should not be construed as professional financial guidance. You should consult a qualified, licensed financial advisor before making any investment decisions. Past model performance is not indicative of future results.