PMT vs. SCHD
Compare and contrast key facts about PennyMac Mortgage Investment Trust (PMT) and Schwab U.S. Dividend Equity ETF (SCHD).
SCHD is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Dividend 100 Index. It was launched on Oct 20, 2011.
Performance
PMT vs. SCHD - Performance Comparison
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PMT vs. SCHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PMT PennyMac Mortgage Investment Trust | -6.14% | 13.23% | -5.38% | 36.11% | -18.07% | 8.47% | -12.99% | 30.33% | 28.04% | 9.42% |
SCHD Schwab U.S. Dividend Equity ETF | 12.17% | 4.34% | 11.66% | 4.54% | -3.26% | 29.87% | 15.03% | 27.29% | -5.56% | 20.85% |
Returns By Period
In the year-to-date period, PMT achieves a -6.14% return, which is significantly lower than SCHD's 12.17% return. Over the past 10 years, PMT has underperformed SCHD with an annualized return of 10.12%, while SCHD has yielded a comparatively higher 12.25% annualized return.
PMT
- 1D
- 1.03%
- 1M
- -3.36%
- YTD
- -6.14%
- 6M
- 0.42%
- 1Y
- -8.41%
- 3Y*
- 11.21%
- 5Y*
- 1.37%
- 10Y*
- 10.12%
SCHD
- 1D
- -0.55%
- 1M
- -3.43%
- YTD
- 12.17%
- 6M
- 12.91%
- 1Y
- 13.70%
- 3Y*
- 11.84%
- 5Y*
- 8.32%
- 10Y*
- 12.25%
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Return for Risk
PMT vs. SCHD — Risk / Return Rank
PMT
SCHD
PMT vs. SCHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PennyMac Mortgage Investment Trust (PMT) and Schwab U.S. Dividend Equity ETF (SCHD). 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.
| PMT | SCHD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.30 | 0.88 | -1.18 |
Sortino ratioReturn per unit of downside risk | -0.22 | 1.32 | -1.54 |
Omega ratioGain probability vs. loss probability | 0.97 | 1.19 | -0.22 |
Calmar ratioReturn relative to maximum drawdown | -0.46 | 1.05 | -1.51 |
Martin ratioReturn relative to average drawdown | -0.86 | 3.55 | -4.41 |
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
| PMT | SCHD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.30 | 0.88 | -1.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.05 | 0.58 | -0.53 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 0.74 | -0.51 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.84 | -0.63 |
Correlation
The correlation between PMT and SCHD is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
PMT vs. SCHD - Dividend Comparison
PMT's dividend yield for the trailing twelve months is around 13.58%, more than SCHD's 3.46% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PMT PennyMac Mortgage Investment Trust | 13.58% | 12.75% | 12.71% | 10.70% | 14.61% | 10.85% | 8.64% | 8.43% | 10.10% | 11.70% | 11.48% | 14.15% |
SCHD Schwab U.S. Dividend Equity ETF | 3.46% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
Drawdowns
PMT vs. SCHD - Drawdown Comparison
The maximum PMT drawdown since its inception was -75.90%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for PMT and SCHD.
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Drawdown Indicators
| PMT | SCHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.90% | -33.37% | -42.53% |
Max Drawdown (1Y)Largest decline over 1 year | -18.90% | -12.74% | -6.16% |
Max Drawdown (5Y)Largest decline over 5 years | -39.81% | -16.85% | -22.96% |
Max Drawdown (10Y)Largest decline over 10 years | -75.90% | -33.37% | -42.53% |
Current DrawdownCurrent decline from peak | -14.70% | -3.43% | -11.27% |
Average DrawdownAverage peak-to-trough decline | -11.52% | -3.34% | -8.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.06% | 3.75% | +6.31% |
Volatility
PMT vs. SCHD - Volatility Comparison
PennyMac Mortgage Investment Trust (PMT) has a higher volatility of 5.89% compared to Schwab U.S. Dividend Equity ETF (SCHD) at 2.33%. This indicates that PMT's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PMT | SCHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.89% | 2.33% | +3.56% |
Volatility (6M)Calculated over the trailing 6-month period | 20.69% | 7.96% | +12.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.98% | 15.69% | +12.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.20% | 14.40% | +14.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 45.04% | 16.70% | +28.34% |