FMBPX vs. PRCIX
FMBPX (Federated Hermes Mortgage Strategy Portfolio) and PRCIX (T. Rowe Price New Income Fund) are both Intermediate Core Bond funds. Over the past 10 years, FMBPX returned 1.26%/yr vs 1.36%/yr for PRCIX. Their 0.79 correlation means they have sometimes moved together and sometimes differently. FMBPX charges 0.02%/yr vs 0.44%/yr for PRCIX.
Performance
FMBPX vs. PRCIX - Performance Comparison
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Returns By Period
In the year-to-date period, FMBPX achieves a -0.22% return, which is significantly higher than PRCIX's -0.68% return. Over the past 10 years, FMBPX has underperformed PRCIX with an annualized return of 1.26%, while PRCIX has yielded a comparatively higher 1.36% annualized return.
FMBPX
- 1D
- 0.12%
- 1M
- -1.07%
- 6M
- -0.86%
- YTD
- -0.22%
- 1Y
- 4.79%
- 3Y*
- 4.21%
- 5Y*
- -0.02%
- 10Y*
- 1.26%
- ALL TIME*
- 1.05%
PRCIX
- 1D
- 0.00%
- 1M
- -1.27%
- 6M
- -0.79%
- YTD
- -0.68%
- 1Y
- 3.10%
- 3Y*
- 4.52%
- 5Y*
- -0.33%
- 10Y*
- 1.36%
- ALL TIME*
- 3.55%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
FMBPX vs. PRCIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMBPX Federated Hermes Mortgage Strategy Portfolio | -0.22% | 9.03% | 1.04% | 4.44% | -12.21% | -1.35% | 4.77% | 6.30% | 1.13% | 2.76% |
PRCIX T. Rowe Price New Income Fund | -0.68% | 8.74% | 2.50% | 5.31% | -14.87% | -0.54% | 5.77% | 9.28% | -0.62% | 4.01% |
Correlation
The correlation between FMBPX and PRCIX is 0.51, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.51 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jul 1, 2009 | 0.79 |
Over the past year, the correlation between FMBPX and PRCIX has dropped to 0.51 - well below their long-term average of 0.79, suggesting their price drivers have been diverging.
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Return for Risk
FMBPX vs. PRCIX — Risk / Return Rank
FMBPX
PRCIX
FMBPX vs. PRCIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Federated Hermes Mortgage Strategy Portfolio (FMBPX) and T. Rowe Price New Income Fund (PRCIX). 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.
| FMBPX | PRCIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | +0.14 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.18 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.55 | 1.41 | +0.13 |
| Martin ratioReturn relative to average drawdown | 4.42 | 3.84 | +0.58 |
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Drawdowns
FMBPX vs. PRCIX - Drawdown Comparison
The maximum FMBPX drawdown since its inception was -18.34%, smaller than the maximum PRCIX drawdown of -22.34%. Use the drawdown chart below to compare losses from any high point for FMBPX and PRCIX.
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Drawdown Indicators
| FMBPX | PRCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.34% | -22.34% | +4.00% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -2.96% | -0.19% |
Max Drawdown (3Y)Largest decline over 3 years | -6.59% | -5.00% | -1.59% |
Max Drawdown (5Y)Largest decline over 5 years | -17.99% | -19.65% | +1.66% |
Max Drawdown (10Y)Largest decline over 10 years | -18.34% | -19.65% | +1.31% |
Current DrawdownCurrent decline from peak | -2.24% | -2.22% | -0.02% |
Average DrawdownAverage peak-to-trough decline | -3.25% | -4.39% | +1.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.10% | 1.08% | +0.02% |
Volatility
FMBPX vs. PRCIX - Volatility Comparison
Federated Hermes Mortgage Strategy Portfolio (FMBPX) has a higher volatility of 1.14% compared to T. Rowe Price New Income Fund (PRCIX) at 1.05%. This indicates that FMBPX's price experiences larger fluctuations and is considered to be riskier than PRCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMBPX | PRCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.14% | 1.05% | +0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 3.34% | 3.23% | +0.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.52% | 4.05% | +0.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.81% | 5.98% | +0.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.14% | 4.96% | +0.18% |
FMBPX vs. PRCIX - Expense Ratio Comparison
FMBPX has a 0.02% expense ratio, which is lower than PRCIX's 0.44% expense ratio.
Dividends
FMBPX vs. PRCIX - Dividend Comparison
FMBPX's dividend yield for the trailing twelve months is around 4.66%, less than PRCIX's 5.60% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMBPX Federated Hermes Mortgage Strategy Portfolio | 4.66% | 4.87% | 4.29% | 3.46% | 2.29% | 1.96% | 2.68% | 3.23% | 3.14% | 2.83% | 2.72% | 2.65% |
PRCIX T. Rowe Price New Income Fund | 5.60% | 5.94% | 5.65% | 4.37% | 1.80% | 2.65% | 3.33% | 2.88% | 3.03% | 2.66% | 2.56% | 2.55% |
Frequently Asked Questions
FMBPX and PRCIX have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMBPX has higher volatility (1.14%) compared to PRCIX (1.05%). In terms of maximum drawdown, FMBPX dropped -18.34% vs PRCIX's -22.34%.
FMBPX currently has the higher Sharpe Ratio (1.08 vs 1.03), 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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