FDHIX vs. FMY
FDHIX (First Trust Short Duration High Income Fund) and FMY (First Trust Mortgage Income Fund) are both mutual funds - FDHIX is a Bank Loan fund managed by First Trust, while FMY is a Mortgage Backed Securities fund managed by First Trust. Over the past 10 years, FDHIX returned 4.30%/yr vs 3.97%/yr for FMY. At a 0.11 correlation, their price movements are largely independent. FDHIX charges 1.01%/yr vs 0.03%/yr for FMY.
Performance
FDHIX vs. FMY - Performance Comparison
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Returns By Period
In the year-to-date period, FDHIX achieves a -0.31% return, which is significantly higher than FMY's -1.22% return. Over the past 10 years, FDHIX has outperformed FMY with an annualized return of 4.30%, while FMY has yielded a comparatively lower 3.97% annualized return.
FDHIX
- 1D
- 0.00%
- 1M
- 0.57%
- YTD
- -0.31%
- 6M
- 0.30%
- 1Y
- 4.38%
- 3Y*
- 6.78%
- 5Y*
- 3.97%
- 10Y*
- 4.30%
FMY
- 1D
- -0.09%
- 1M
- 0.95%
- YTD
- -1.22%
- 6M
- 1.22%
- 1Y
- 4.07%
- 3Y*
- 9.42%
- 5Y*
- 3.54%
- 10Y*
- 3.97%
FDHIX vs. FMY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDHIX First Trust Short Duration High Income Fund | -0.31% | 7.31% | 7.09% | 10.41% | -5.22% | 3.56% | 3.66% | 9.62% | -0.63% | 4.34% |
FMY First Trust Mortgage Income Fund | -1.22% | 8.63% | 7.04% | 16.08% | -13.03% | 3.12% | 4.68% | 12.92% | -3.40% | 7.24% |
Correlation
The correlation between FDHIX and FMY is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Nov 2, 2012 | 0.11 |
The correlation between FDHIX and FMY shifts across timeframes, from 0.11 (10 years) to 0.30 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FDHIX vs. FMY — Risk / Return Rank
FDHIX
FMY
FDHIX vs. FMY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Short Duration High Income Fund (FDHIX) and First Trust Mortgage Income Fund (FMY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FDHIX | FMY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.15 | ||
| Sortino ratioReturn per unit of downside risk | +2.20 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.08 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 1.46 | 0.57 | +0.88 |
| Martin ratioReturn relative to average drawdown | 5.68 | 1.82 | +3.86 |
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Drawdowns
FDHIX vs. FMY - Drawdown Comparison
The maximum FDHIX drawdown since its inception was -20.32%, smaller than the maximum FMY drawdown of -27.98%. Use the drawdown chart below to compare losses from any high point for FDHIX and FMY.
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Drawdown Indicators
| FDHIX | FMY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.32% | -27.98% | +7.66% |
Max Drawdown (1Y)Largest decline over 1 year | -3.21% | -7.13% | +3.92% |
Max Drawdown (3Y)Largest decline over 3 years | -3.21% | -7.13% | +3.92% |
Max Drawdown (5Y)Largest decline over 5 years | -9.09% | -19.94% | +10.85% |
Max Drawdown (10Y)Largest decline over 10 years | -20.32% | -19.94% | -0.38% |
Current DrawdownCurrent decline from peak | -0.42% | -3.26% | +2.84% |
Average DrawdownAverage peak-to-trough decline | -1.06% | -6.80% | +5.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.80% | 2.24% | -1.44% |
Volatility
FDHIX vs. FMY - Volatility Comparison
The current volatility for First Trust Short Duration High Income Fund (FDHIX) is 0.74%, while First Trust Mortgage Income Fund (FMY) has a volatility of 2.47%. This indicates that FDHIX experiences smaller price fluctuations and is considered to be less risky than FMY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDHIX | FMY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.74% | 2.47% | -1.73% |
Volatility (6M)Calculated over the trailing 6-month period | 2.34% | 7.35% | -5.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.93% | 9.29% | -6.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.33% | 13.10% | -9.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.50% | 11.78% | -7.28% |
FDHIX vs. FMY - Expense Ratio Comparison
FDHIX has a 1.01% expense ratio, which is higher than FMY's 0.03% expense ratio.
Dividends
FDHIX vs. FMY - Dividend Comparison
FDHIX's dividend yield for the trailing twelve months is around 5.70%, less than FMY's 6.81% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDHIX First Trust Short Duration High Income Fund | 5.70% | 6.34% | 7.99% | 6.76% | 4.86% | 3.51% | 4.09% | 4.57% | 4.94% | 4.83% | 4.81% | 4.59% |
FMY First Trust Mortgage Income Fund | 6.81% | 6.91% | 7.95% | 6.64% | 5.89% | 5.21% | 5.18% | 5.14% | 5.66% | 5.45% | 6.17% | 6.43% |
Frequently Asked Questions
FDHIX and FMY have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMY has higher volatility (2.47%) compared to FDHIX (0.74%). In terms of maximum drawdown, FDHIX dropped -20.32% vs FMY's -27.98%.
FDHIX currently has the higher Sharpe Ratio (1.59 vs 0.44), 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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