FMBPX vs. WFBIX
FMBPX (Federated Hermes Mortgage Strategy Portfolio) and WFBIX (iShares U.S. Aggregate Bond Index Fund) are both Intermediate Core Bond funds. Over the past 10 years, FMBPX returned 1.46%/yr vs 1.96%/yr for WFBIX. A 0.77 correlation means they provide meaningful diversification when combined. FMBPX charges 0.02%/yr vs 0.05%/yr for WFBIX.
Performance
FMBPX vs. WFBIX - Performance Comparison
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Returns By Period
In the year-to-date period, FMBPX achieves a 0.81% return, which is significantly higher than WFBIX's 0.43% return. Over the past 10 years, FMBPX has underperformed WFBIX with an annualized return of 1.46%, while WFBIX has yielded a comparatively higher 1.96% annualized return.
FMBPX
- 1D
- 0.00%
- 1M
- 0.54%
- YTD
- 0.81%
- 6M
- 1.21%
- 1Y
- 7.68%
- 3Y*
- 4.57%
- 5Y*
- 0.32%
- 10Y*
- 1.46%
WFBIX
- 1D
- 0.00%
- 1M
- 0.45%
- YTD
- 0.43%
- 6M
- 0.32%
- 1Y
- 5.35%
- 3Y*
- 5.33%
- 5Y*
- 0.99%
- 10Y*
- 1.96%
FMBPX vs. WFBIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMBPX Federated Hermes Mortgage Strategy Portfolio | 0.81% | 9.03% | 1.04% | 4.44% | -12.21% | -1.35% | 4.77% | 6.30% | 1.13% | 2.76% |
WFBIX iShares U.S. Aggregate Bond Index Fund | 0.43% | 7.16% | 1.43% | 9.65% | -13.03% | -1.79% | 7.40% | 8.72% | -0.08% | 3.39% |
Correlation
The correlation between FMBPX and WFBIX is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Jul 2, 2009 | 0.77 |
Over the past year, the correlation between FMBPX and WFBIX has dropped to 0.38 - well below their long-term average of 0.77, suggesting their price drivers have been diverging.
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Return for Risk
FMBPX vs. WFBIX — Risk / Return Rank
FMBPX
WFBIX
FMBPX vs. WFBIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Federated Hermes Mortgage Strategy Portfolio (FMBPX) and iShares U.S. Aggregate Bond Index Fund (WFBIX). 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.
| FMBPX | WFBIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.30 | ||
| Sortino ratioReturn per unit of downside risk | +0.58 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.25 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.45 | 1.78 | +0.67 |
| Martin ratioReturn relative to average drawdown | 8.33 | 5.34 | +3.00 |
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
| FMBPX | WFBIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.66 | 1.36 | +0.30 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.05 | 0.16 | -0.11 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.29 | 0.38 | -0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.26 | 0.94 | -0.68 |
Drawdowns
FMBPX vs. WFBIX - Drawdown Comparison
The maximum FMBPX drawdown since its inception was -18.34%, roughly equal to the maximum WFBIX drawdown of -18.68%. Use the drawdown chart below to compare losses from any high point for FMBPX and WFBIX.
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Drawdown Indicators
| FMBPX | WFBIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.34% | -18.68% | +0.34% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -3.02% | -0.13% |
Max Drawdown (3Y)Largest decline over 3 years | -7.69% | -6.09% | -1.60% |
Max Drawdown (5Y)Largest decline over 5 years | -18.02% | -17.84% | -0.18% |
Max Drawdown (10Y)Largest decline over 10 years | -18.34% | -18.68% | +0.34% |
Current DrawdownCurrent decline from peak | -1.23% | -1.50% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -3.27% | -2.26% | -1.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.92% | 1.00% | -0.08% |
Volatility
FMBPX vs. WFBIX - Volatility Comparison
Federated Hermes Mortgage Strategy Portfolio (FMBPX) has a higher volatility of 1.63% compared to iShares U.S. Aggregate Bond Index Fund (WFBIX) at 1.34%. This indicates that FMBPX's price experiences larger fluctuations and is considered to be riskier than WFBIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMBPX | WFBIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.63% | 1.34% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 3.24% | 2.83% | +0.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.65% | 3.97% | +0.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.77% | 6.40% | +0.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.12% | 5.17% | -0.05% |
FMBPX vs. WFBIX - Expense Ratio Comparison
FMBPX has a 0.02% expense ratio, which is lower than WFBIX's 0.05% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
FMBPX vs. WFBIX - Dividend Comparison
FMBPX's dividend yield for the trailing twelve months is around 5.02%, more than WFBIX's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMBPX Federated Hermes Mortgage Strategy Portfolio | 5.02% | 4.87% | 4.29% | 3.46% | 2.29% | 1.96% | 2.68% | 3.23% | 3.14% | 2.83% | 2.72% | 2.65% |
WFBIX iShares U.S. Aggregate Bond Index Fund | 3.91% | 3.78% | 3.68% | 6.82% | 2.60% | 2.04% | 2.43% | 2.88% | 2.71% | 2.24% | 2.25% | 2.20% |
Frequently Asked Questions
FMBPX and WFBIX have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMBPX has higher volatility (1.63%) compared to WFBIX (1.34%). In terms of maximum drawdown, FMBPX dropped -18.34% vs WFBIX's -18.68%.
FMBPX currently has the higher Sharpe Ratio (1.66 vs 1.36), 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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