FXN vs. PMBS

Last updated Jul 17, 2026

FXN (First Trust Energy AlphaDEX Fund) and PMBS (PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund) are both exchange-traded funds - FXN is a Energy Equities fund tracking the StrataQuant Energy Index, while PMBS is a Mortgage Backed Securities fund actively managed by PIMCO. FXN is passively managed, while PMBS is actively managed. Over the past year, FXN returned 41.26% vs 6.26% for PMBS. At a correlation of -0.17, they often move in opposite directions. FXN charges 0.64%/yr vs 0.71%/yr for PMBS.

Performance

FXN vs. PMBS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Energy AlphaDEX Fund (FXN) and PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FXN achieves a 28.98% return, which is significantly higher than PMBS's 0.89% return.

FXN

• 1D: 0.43%
• 1M: 2.29%
• 6M: 24.59%
• YTD: 28.98%
• 1Y: 41.26%
• 3Y*: 12.41%
• 5Y*: 18.52%
• 10Y*: 5.85%

PMBS

• 1D: -0.10%
• 1M: -0.64%
• 6M: 0.18%
• YTD: 0.89%
• 1Y: 6.26%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

FXN vs. PMBS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
FXN First Trust Energy AlphaDEX Fund	28.98%	3.39%	-0.79%
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund	0.89%	8.92%	-2.80%

Correlation

The correlation between FXN and PMBS is -0.28, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.28
Correlation (All Time) Calculated using the full available price history since Sep 23, 2024	-0.17

The correlation between FXN and PMBS shifts across timeframes, from -0.28 (1 year) to -0.17 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FXN vs. PMBS — Risk / Return Rank

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

FXN

FXN Risk / Return Rank: 65
FXN Sharpe Ratio Rank: 69
FXN Sortino Ratio Rank: 63
FXN Omega Ratio Rank: 59
FXN Calmar Ratio Rank: 76
FXN Martin Ratio Rank: 57

PMBS

PMBS Risk / Return Rank: 53
PMBS Sharpe Ratio Rank: 54
PMBS Sortino Ratio Rank: 56
PMBS Omega Ratio Rank: 53
PMBS Calmar Ratio Rank: 52
PMBS Martin Ratio Rank: 49

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.

FXN vs. PMBS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Energy AlphaDEX Fund (FXN) and PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS). 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.

	FXN	PMBS	Difference
Sharpe ratio: Return per unit of total volatility	1.79	1.50	+0.29
Sortino ratio: Return per unit of downside risk	2.34	2.18	+0.15
Omega ratio: Gain probability vs. loss probability	1.29	1.27	+0.02
Calmar ratio: Return relative to maximum drawdown	3.09	2.12	+0.97
Martin ratio: Return relative to average drawdown	7.78	6.43	+1.35

FXN vs. PMBS - Sharpe Ratio Comparison

The current FXN Sharpe Ratio is 1.79, which is comparable to the PMBS Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of FXN and PMBS, 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

FXN vs. PMBS - Drawdown Comparison

The maximum FXN drawdown since its inception was -87.39%, which is greater than PMBS's maximum drawdown of -4.35%. Use the drawdown chart below to compare losses from any high point for FXN and PMBS.

Drawdown Indicators

	FXN	PMBS	Difference
Max Drawdown Largest peak-to-trough decline	-87.39%	-4.35%	-83.04%
Max Drawdown (1Y) Largest decline over 1 year	-13.41%	-2.97%	-10.44%
Max Drawdown (3Y) Largest decline over 3 years	-31.69%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-31.69%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-80.63%	—	—
Current Drawdown Current decline from peak	-8.70%	-1.56%	-7.14%
Average Drawdown Average peak-to-trough decline	-37.81%	-1.16%	-36.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.31%	0.97%	+4.34%

Volatility

FXN vs. PMBS - Volatility Comparison

First Trust Energy AlphaDEX Fund (FXN) has a higher volatility of 5.44% compared to PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS) at 1.38%. This indicates that FXN's price experiences larger fluctuations and is considered to be riskier than PMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXN	PMBS	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.44%	1.38%	+4.06%
Volatility (6M) Calculated over the trailing 6-month period	16.98%	3.31%	+13.67%
Volatility (1Y) Calculated over the trailing 1-year period	23.23%	4.20%	+19.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.80%	4.86%	+23.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.82%	4.86%	+29.96%

FXN vs. PMBS - Expense Ratio Comparison

FXN has a 0.64% expense ratio, which is lower than PMBS's 0.71% expense ratio.

Dividends

FXN vs. PMBS - Dividend Comparison

FXN's dividend yield for the trailing twelve months is around 1.70%, less than PMBS's 4.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXN First Trust Energy AlphaDEX Fund	1.70%	2.53%	2.50%	3.09%	2.28%	0.87%	4.71%	1.47%	1.43%	1.17%	1.05%	2.36%
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund	4.96%	4.73%	1.59%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FXN and PMBS in my portfolio?

FXN and PMBS have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXN or PMBS?

FXN has higher volatility (5.44%) compared to PMBS (1.38%). In terms of maximum drawdown, FXN dropped -87.39% vs PMBS's -4.35%.

Which ETF is better, FXN or PMBS?

On 1-year performance, FXN leads with 41.26% vs 6.26% for PMBS. On fees, FXN is cheaper at 0.64% per year. On volatility, PMBS has been the lower-risk option at 1.38%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FXN or PMBS?

Over the 1-year period, FXN has performed better with a 41.26% return vs 6.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FXN or PMBS?

FXN is cheaper with a 0.64% expense ratio, compared with 0.71% for PMBS.

Which ETF pays a higher dividend yield, FXN or PMBS?

PMBS has the higher dividend yield at 4.96%, compared with 1.70% for FXN.

What is the main difference between FXN and PMBS?

FXN is categorized as Energy Equities, while PMBS is Mortgage Backed Securities. They also come from different issuers: First Trust and PIMCO. Their fees differ too: 0.64% for FXN and 0.71% for PMBS.

Which has better risk-adjusted returns?

FXN currently has the higher Sharpe Ratio (1.79 vs 1.50), 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.