FMY vs. PCM
FMY (First Trust Mortgage Income Fund) and PCM (PCM Fund Inc.) are both Mortgage Backed Securities funds. Over the past 10 years, FMY returned 3.90%/yr vs 5.29%/yr for PCM. At a 0.11 correlation, their price movements are largely independent.
Performance
FMY vs. PCM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with FMY having a -1.94% return and PCM slightly lower at -1.99%. Over the past 10 years, FMY has underperformed PCM with an annualized return of 3.90%, while PCM has yielded a comparatively higher 5.29% annualized return.
FMY
- 1D
- 0.73%
- 1M
- -1.94%
- YTD
- -1.94%
- 6M
- -1.01%
- 1Y
- 3.15%
- 3Y*
- 8.73%
- 5Y*
- 3.46%
- 10Y*
- 3.90%
PCM
- 1D
- 0.71%
- 1M
- -2.33%
- YTD
- -1.99%
- 6M
- -1.62%
- 1Y
- 2.96%
- 3Y*
- -4.86%
- 5Y*
- -3.58%
- 10Y*
- 5.29%
FMY vs. PCM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMY First Trust Mortgage Income Fund | -1.94% | 8.63% | 7.04% | 16.08% | -13.03% | 3.12% | 4.68% | 12.92% | -3.40% | 7.24% |
PCM PCM Fund Inc. | -1.99% | -10.10% | 8.81% | 12.44% | -18.96% | 8.57% | 3.05% | 23.05% | -4.47% | 26.46% |
Correlation
The correlation between FMY and PCM is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since May 27, 2005 | 0.11 |
The correlation between FMY and PCM shifts across timeframes, from 0.07 (3 years) to 0.19 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FMY vs. PCM — Risk / Return Rank
FMY
PCM
FMY vs. PCM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Mortgage Income Fund (FMY) and PCM Fund Inc. (PCM). 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.
| FMY | PCM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.14 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.06 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 0.44 | 0.23 | +0.21 |
| Martin ratioReturn relative to average drawdown | 1.51 | 0.50 | +1.01 |
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
| FMY | PCM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.34 | 0.26 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.27 | -0.18 | +0.44 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.23 | +0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.25 | +0.06 |
Drawdowns
FMY vs. PCM - Drawdown Comparison
The maximum FMY drawdown since its inception was -27.98%, smaller than the maximum PCM drawdown of -64.88%. Use the drawdown chart below to compare losses from any high point for FMY and PCM.
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Drawdown Indicators
| FMY | PCM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.98% | -64.88% | +36.90% |
Max Drawdown (1Y)Largest decline over 1 year | -7.13% | -12.81% | +5.68% |
Max Drawdown (3Y)Largest decline over 3 years | -7.13% | -29.62% | +22.49% |
Max Drawdown (5Y)Largest decline over 5 years | -19.94% | -29.62% | +9.68% |
Max Drawdown (10Y)Largest decline over 10 years | -19.94% | -47.69% | +27.75% |
Current DrawdownCurrent decline from peak | -3.97% | -21.06% | +17.09% |
Average DrawdownAverage peak-to-trough decline | -6.81% | -9.72% | +2.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 5.98% | -3.88% |
Volatility
FMY vs. PCM - Volatility Comparison
The current volatility for First Trust Mortgage Income Fund (FMY) is 3.08%, while PCM Fund Inc. (PCM) has a volatility of 3.28%. This indicates that FMY experiences smaller price fluctuations and is considered to be less risky than PCM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMY | PCM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.08% | 3.28% | -0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 7.31% | 7.81% | -0.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.23% | 11.45% | -2.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.08% | 20.34% | -7.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.77% | 22.72% | -10.95% |
Dividends
FMY vs. PCM - Dividend Comparison
FMY's dividend yield for the trailing twelve months is around 6.86%, less than PCM's 13.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMY First Trust Mortgage Income Fund | 6.86% | 6.91% | 7.95% | 6.64% | 5.89% | 5.21% | 5.18% | 5.14% | 5.66% | 5.45% | 6.17% | 6.43% |
PCM PCM Fund Inc. | 13.52% | 12.56% | 12.47% | 12.06% | 12.20% | 8.96% | 8.95% | 8.38% | 9.46% | 8.47% | 14.60% | 10.39% |
Frequently Asked Questions
FMY and PCM have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PCM has higher volatility (3.28%) compared to FMY (3.08%). In terms of maximum drawdown, FMY dropped -27.98% vs PCM's -64.88%.
FMY currently has the higher Sharpe Ratio (0.34 vs 0.26), 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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