PCM vs. FMY
PCM (PCM Fund Inc.) and FMY (First Trust Mortgage Income Fund) are both Mortgage Backed Securities funds. Over the past 10 years, PCM returned 5.00%/yr vs 3.97%/yr for FMY. At a 0.11 correlation, their price movements are largely independent.
Performance
PCM vs. FMY - Performance Comparison
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Returns By Period
In the year-to-date period, PCM achieves a -4.34% return, which is significantly lower than FMY's -1.22% return. Over the past 10 years, PCM has outperformed FMY with an annualized return of 5.00%, while FMY has yielded a comparatively lower 3.97% annualized return.
PCM
- 1D
- -0.36%
- 1M
- -1.70%
- YTD
- -4.34%
- 6M
- -3.71%
- 1Y
- -0.38%
- 3Y*
- -5.99%
- 5Y*
- -4.33%
- 10Y*
- 5.00%
FMY
- 1D
- -0.09%
- 1M
- 0.95%
- YTD
- -1.22%
- 6M
- 1.22%
- 1Y
- 4.07%
- 3Y*
- 9.42%
- 5Y*
- 3.54%
- 10Y*
- 3.97%
PCM vs. FMY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PCM PCM Fund Inc. | -4.34% | -10.10% | 8.81% | 12.44% | -18.96% | 8.57% | 3.05% | 23.05% | -4.47% | 26.46% |
FMY First Trust Mortgage Income Fund | -1.22% | 8.63% | 7.04% | 16.08% | -13.03% | 3.12% | 4.68% | 12.92% | -3.40% | 7.24% |
Correlation
The correlation between PCM and FMY is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since May 26, 2005 | 0.11 |
The correlation between PCM and FMY shifts across timeframes, from 0.07 (3 years) to 0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
PCM vs. FMY — Risk / Return Rank
PCM
FMY
PCM vs. FMY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PCM Fund Inc. (PCM) and First Trust Mortgage Income Fund (FMY). 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.
| PCM | FMY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.47 | ||
| Sortino ratioReturn per unit of downside risk | -0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.08 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 0.57 | -0.60 |
| Martin ratioReturn relative to average drawdown | -0.06 | 1.82 | -1.88 |
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Drawdowns
PCM vs. FMY - Drawdown Comparison
The maximum PCM drawdown since its inception was -64.88%, which is greater than FMY's maximum drawdown of -27.98%. Use the drawdown chart below to compare losses from any high point for PCM and FMY.
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Drawdown Indicators
| PCM | FMY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.88% | -27.98% | -36.90% |
Max Drawdown (1Y)Largest decline over 1 year | -12.81% | -7.13% | -5.68% |
Max Drawdown (3Y)Largest decline over 3 years | -29.62% | -7.13% | -22.49% |
Max Drawdown (5Y)Largest decline over 5 years | -29.62% | -19.94% | -9.68% |
Max Drawdown (10Y)Largest decline over 10 years | -47.69% | -19.94% | -27.75% |
Current DrawdownCurrent decline from peak | -22.95% | -3.26% | -19.69% |
Average DrawdownAverage peak-to-trough decline | -9.73% | -6.80% | -2.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.28% | 2.24% | +4.04% |
Volatility
PCM vs. FMY - Volatility Comparison
The current volatility for PCM Fund Inc. (PCM) is 2.08%, while First Trust Mortgage Income Fund (FMY) has a volatility of 2.47%. This indicates that PCM experiences smaller price fluctuations and is considered to be less risky than FMY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PCM | FMY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.08% | 2.47% | -0.39% |
Volatility (6M)Calculated over the trailing 6-month period | 7.92% | 7.35% | +0.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.36% | 9.29% | +2.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.33% | 13.10% | +7.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.71% | 11.78% | +10.93% |
Dividends
PCM vs. FMY - Dividend Comparison
PCM's dividend yield for the trailing twelve months is around 14.02%, more than FMY's 6.81% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMY First Trust Mortgage Income Fund | 6.81% | 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. | 14.02% | 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
PCM and FMY have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMY has higher volatility (2.47%) compared to PCM (2.08%). In terms of maximum drawdown, PCM dropped -64.88% vs FMY's -27.98%.
FMY currently has the higher Sharpe Ratio (0.44 vs -0.03), 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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