FGFPP vs. PMT
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
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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%
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
FGFPP:
$159.17M
PMT:
$872.56M
FGFPP:
-$32.42
PMT:
$1.52
FGFPP:
13.00
PMT:
0.82
FGFPP:
1.75
PMT:
0.47
FGFPP:
$5.49M
PMT:
$1.06B
FGFPP:
$5.19M
PMT:
$946.50M
FGFPP:
-$98.86M
PMT:
$966.77M
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Return for Risk
FGFPP vs. PMT — Risk / Return Rank
FGFPP
PMT
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 ratioReturn per unit of total volatility | +1.53 | ||
| Sortino ratioReturn per unit of downside risk | +2.31 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 0.97 | +0.35 |
| Calmar ratioReturn relative to maximum drawdown | 3.20 | -0.28 | +3.48 |
| Martin ratioReturn 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. | |||
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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.
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Drawdown Indicators
| FGFPP | PMT | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -5.54% | -24.94% | +19.40% |
Average DrawdownAverage peak-to-trough decline | -10.42% | -11.56% | +1.14% |
Ulcer IndexDepth 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.
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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
FGFPP vs. PMT - Financials Comparison
This section allows you to compare key financial metrics between FG Financial Group, Inc. and PennyMac Mortgage Investment Trust. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
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.
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%.
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.
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