FGFPP vs. PMT

Last updated Jun 4, 2026

FGFPP (FG Financial Group, Inc.) and PMT (PennyMac Mortgage Investment Trust) are both stocks. FGFPP operates in Insurance - Diversified (Financial Services), while PMT operates in REIT - Mortgage (Real Estate). Over the past 5 years, FGFPP returned 11.13%/yr vs -1.60%/yr for PMT. At a 0.03 correlation, their price movements are largely independent.

Performance

FGFPP vs. PMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FG Financial Group, Inc. (FGFPP) and PennyMac Mortgage Investment Trust (PMT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FGFPP achieves a 16.66% return, which is significantly higher than PMT's -17.41% return.

FGFPP

• 1D: 4.35%
• 1M: -2.61%
• YTD: 16.66%
• 6M: 22.45%
• 1Y: 58.04%
• 3Y*: 26.82%
• 5Y*: 11.13%
• 10Y*: —

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%

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

FGFPP vs. PMT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
FGFPP FG Financial Group, Inc.	16.66%	54.74%	11.25%	-11.55%	-8.20%	11.23%	-4.96%	52.31%	-16.49%
PMT PennyMac Mortgage Investment Trust	-17.41%	13.23%	-5.38%	36.11%	-18.07%	8.47%	-12.99%	30.33%	23.43%

Correlation

The correlation between FGFPP and PMT is 0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.08
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.03
Correlation (All Time) Calculated using the full available price history since Mar 1, 2018	0.03

Fundamentals

Market Cap FGFPP : $159.17M PMT : $872.56M
EPS FGFPP : -$32.42 PMT : $1.52
PS Ratio FGFPP : 13.00 PMT : 0.82
PB Ratio FGFPP : 1.75 PMT : 0.47
Total Revenue (TTM) FGFPP : $5.49M PMT : $1.06B
Gross Profit (TTM) FGFPP : $5.19M PMT : $946.50M
EBITDA (TTM) FGFPP : -$98.86M PMT : $966.77M

Return for Risk

FGFPP vs. PMT — Risk / Return Rank

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

FGFPP

FGFPP Risk / Return Rank: 81
FGFPP Sharpe Ratio Rank: 77
FGFPP Sortino Ratio Rank: 77
FGFPP Omega Ratio Rank: 82
FGFPP Calmar Ratio Rank: 83
FGFPP Martin Ratio Rank: 85

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

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.

FGFPP vs. PMT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FG Financial Group, Inc. (FGFPP) and PennyMac Mortgage Investment Trust (PMT). 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.

	FGFPP	PMT	Difference
Sharpe ratio Return per unit of total volatility	1.27	-0.26	+1.53
Sortino ratio Return per unit of downside risk	2.14	-0.17	+2.31
Omega ratio Gain probability vs. loss probability	1.32	0.97	+0.35
Calmar ratio Return relative to maximum drawdown	3.20	-0.28	+3.48
Martin ratio Return relative to average drawdown	8.62	-0.73	+9.36
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FGFPP vs. PMT - Sharpe Ratio Comparison

The current FGFPP Sharpe Ratio is 1.27, which is higher than the PMT Sharpe Ratio of -0.26. The chart below compares the historical Sharpe Ratios of FGFPP and PMT, 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

	FGFPP	PMT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.27	-0.26	+1.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.23	-0.05	+0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.15	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.25	0.18	+0.06

Drawdowns

FGFPP vs. PMT - Drawdown Comparison

The maximum FGFPP drawdown since its inception was -44.29%, smaller than the maximum PMT drawdown of -75.90%. Use the drawdown chart below to compare losses from any high point for FGFPP and PMT.

Drawdown Indicators

	FGFPP	PMT	Difference
Max Drawdown Largest peak-to-trough decline	-44.29%	-75.90%	+31.61%
Max Drawdown (1Y) Largest decline over 1 year	-18.21%	-24.94%	+6.73%
Max Drawdown (3Y) Largest decline over 3 years	-29.30%	-24.94%	-4.36%
Max Drawdown (5Y) Largest decline over 5 years	-44.29%	-39.81%	-4.48%
Max Drawdown (10Y) Largest decline over 10 years	—	-75.90%	—
Current Drawdown Current decline from peak	-5.54%	-24.94%	+19.40%
Average Drawdown Average peak-to-trough decline	-10.42%	-11.56%	+1.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.75%	9.40%	-2.65%

Volatility

FGFPP vs. PMT - Volatility Comparison

The current volatility for FG Financial Group, Inc. (FGFPP) is 10.60%, while PennyMac Mortgage Investment Trust (PMT) has a volatility of 11.18%. This indicates that FGFPP experiences smaller price fluctuations and is considered to be less risky than PMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGFPP	PMT	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.60%	11.18%	-0.58%
Volatility (6M) Calculated over the trailing 6-month period	30.40%	21.88%	+8.52%
Volatility (1Y) Calculated over the trailing 1-year period	45.78%	26.43%	+19.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	48.27%	29.56%	+18.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	40.82%	45.18%	-4.36%

Dividends

FGFPP vs. PMT - Dividend Comparison

FGFPP's dividend yield for the trailing twelve months is around 8.33%, less than PMT's 15.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FGFPP FG Financial Group, Inc.	8.33%	9.32%	12.94%	12.79%	9.95%	8.20%	8.41%	7.38%	8.21%	0.00%	0.00%	0.00%
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%

Financials

Frequently Asked Questions

Can I hold both FGFPP and PMT in my portfolio?

FGFPP and PMT have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FGFPP or PMT?

PMT has higher volatility (11.18%) compared to FGFPP (10.60%). In terms of maximum drawdown, FGFPP dropped -44.29% vs PMT's -75.90%.

Which has better risk-adjusted returns?

FGFPP currently has the higher Sharpe Ratio (1.27 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.