FEBGX vs. PGSIX

Last updated Jun 23, 2026

FEBGX (Fidelity Environmental Bond Fund) and PGSIX (Putnam Mortgage Securities Fund) are both Intermediate Core-Plus Bond funds. Over the past 5 years, FEBGX returned -0.26%/yr vs 0.76%/yr for PGSIX. A 0.78 correlation means they provide meaningful diversification when combined. FEBGX charges 0.36%/yr vs 0.89%/yr for PGSIX.

Performance

FEBGX vs. PGSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Environmental Bond Fund (FEBGX) and Putnam Mortgage Securities Fund (PGSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEBGX achieves a 0.39% return, which is significantly lower than PGSIX's 2.76% return.

FEBGX

• 1D: 0.24%
• 1M: 0.93%
• YTD: 0.39%
• 6M: 0.70%
• 1Y: 4.45%
• 3Y*: 4.01%
• 5Y*: -0.26%
• 10Y*: —

PGSIX

• 1D: 0.25%
• 1M: 1.29%
• YTD: 2.76%
• 6M: 3.03%
• 1Y: 8.60%
• 3Y*: 6.41%
• 5Y*: 0.76%
• 10Y*: 1.51%

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

FEBGX vs. PGSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
FEBGX Fidelity Environmental Bond Fund	0.39%	7.04%	1.60%	5.35%	-13.98%	-0.06%
PGSIX Putnam Mortgage Securities Fund	2.76%	9.36%	3.52%	3.66%	-10.79%	-4.80%

Correlation

The correlation between FEBGX and PGSIX is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.84
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jun 15, 2021	0.78

The correlation between FEBGX and PGSIX has been stable across timeframes, ranging from 0.77 to 0.84 - a consistent structural relationship.

Return for Risk

FEBGX vs. PGSIX — Risk / Return Rank

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

FEBGX

FEBGX Risk / Return Rank: 18
FEBGX Sharpe Ratio Rank: 18
FEBGX Sortino Ratio Rank: 18
FEBGX Omega Ratio Rank: 17
FEBGX Calmar Ratio Rank: 19
FEBGX Martin Ratio Rank: 18

PGSIX

PGSIX Risk / Return Rank: 51
PGSIX Sharpe Ratio Rank: 43
PGSIX Sortino Ratio Rank: 47
PGSIX Omega Ratio Rank: 42
PGSIX Calmar Ratio Rank: 70
PGSIX Martin Ratio Rank: 54

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.

FEBGX vs. PGSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Environmental Bond Fund (FEBGX) and Putnam Mortgage Securities Fund (PGSIX). 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.

	FEBGX	PGSIX	Difference
Sharpe ratio: Return per unit of total volatility	1.13	1.76	-0.62
Sortino ratio: Return per unit of downside risk	1.68	2.66	-0.98
Omega ratio: Gain probability vs. loss probability	1.20	1.32	-0.12
Calmar ratio: Return relative to maximum drawdown	1.51	3.07	-1.57
Martin ratio: Return relative to average drawdown	4.35	10.30	-5.96

FEBGX vs. PGSIX - Sharpe Ratio Comparison

The current FEBGX Sharpe Ratio is 1.13, which is lower than the PGSIX Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of FEBGX and PGSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FEBGX vs. PGSIX - Drawdown Comparison

The maximum FEBGX drawdown since its inception was -19.47%, smaller than the maximum PGSIX drawdown of -22.28%. Use the drawdown chart below to compare losses from any high point for FEBGX and PGSIX.

Drawdown Indicators

	FEBGX	PGSIX	Difference
Max Drawdown Largest peak-to-trough decline	-19.47%	-22.28%	+2.81%
Max Drawdown (1Y) Largest decline over 1 year	-3.05%	-2.85%	-0.20%
Max Drawdown (3Y) Largest decline over 3 years	-6.38%	-6.88%	+0.50%
Max Drawdown (5Y) Largest decline over 5 years	-19.47%	-19.20%	-0.27%
Max Drawdown (10Y) Largest decline over 10 years	—	-22.28%	—
Current Drawdown Current decline from peak	-2.77%	-0.37%	-2.40%
Average Drawdown Average peak-to-trough decline	-8.73%	-2.60%	-6.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	0.85%	+0.20%

Volatility

FEBGX vs. PGSIX - Volatility Comparison

The current volatility for Fidelity Environmental Bond Fund (FEBGX) is 1.32%, while Putnam Mortgage Securities Fund (PGSIX) has a volatility of 1.64%. This indicates that FEBGX experiences smaller price fluctuations and is considered to be less risky than PGSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEBGX	PGSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.32%	1.64%	-0.32%
Volatility (6M) Calculated over the trailing 6-month period	3.06%	3.49%	-0.43%
Volatility (1Y) Calculated over the trailing 1-year period	4.05%	4.99%	-0.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.89%	7.00%	-1.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.89%	5.95%	-0.06%

FEBGX vs. PGSIX - Expense Ratio Comparison

FEBGX has a 0.36% expense ratio, which is lower than PGSIX's 0.89% expense ratio.

Dividends

FEBGX vs. PGSIX - Dividend Comparison

FEBGX's dividend yield for the trailing twelve months is around 3.91%, less than PGSIX's 4.63% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEBGX Fidelity Environmental Bond Fund	3.91%	3.82%	3.75%	2.67%	2.73%	0.64%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PGSIX Putnam Mortgage Securities Fund	4.63%	5.67%	16.88%	8.38%	12.83%	4.30%	4.21%	4.50%	3.94%	3.10%	2.92%	2.51%

Frequently Asked Questions

Can I hold both FEBGX and PGSIX in my portfolio?

FEBGX and PGSIX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEBGX or PGSIX?

PGSIX has higher volatility (1.64%) compared to FEBGX (1.32%). In terms of maximum drawdown, FEBGX dropped -19.47% vs PGSIX's -22.28%.

Which has better risk-adjusted returns?

PGSIX currently has the higher Sharpe Ratio (1.76 vs 1.13), 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.