PCM vs. JLS
PCM (PCM Fund Inc.) and JLS (Nuveen Mortgage and Income Fund) are both Mortgage Backed Securities funds. Over the past 10 years, PCM returned 5.29%/yr vs 5.51%/yr for JLS. At a 0.18 correlation, their price movements are largely independent.
Performance
PCM vs. JLS - Performance Comparison
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Returns By Period
In the year-to-date period, PCM achieves a 1.65% return, which is significantly higher than JLS's 0.99% return. Both investments have delivered pretty close results over the past 10 years, with PCM having a 5.29% annualized return and JLS not far ahead at 5.51%.
PCM
- 1D
- 0.42%
- 1M
- 4.93%
- 6M
- 1.82%
- YTD
- 1.65%
- 1Y
- 3.35%
- 3Y*
- -5.60%
- 5Y*
- -3.20%
- 10Y*
- 5.29%
JLS
- 1D
- 0.11%
- 1M
- -1.67%
- 6M
- -0.05%
- YTD
- 0.99%
- 1Y
- 1.56%
- 3Y*
- 13.02%
- 5Y*
- 4.96%
- 10Y*
- 5.51%
PCM vs. JLS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PCM PCM Fund Inc. | 1.65% | -10.10% | 8.81% | 12.44% | -18.96% | 8.57% | 3.05% | 23.05% | -4.47% | 26.46% |
JLS Nuveen Mortgage and Income Fund | 0.99% | 11.60% | 17.86% | 14.88% | -17.88% | 11.02% | -5.38% | 4.26% | -1.02% | 17.03% |
Correlation
The correlation between PCM and JLS is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Nov 27, 2009 | 0.18 |
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Return for Risk
PCM vs. JLS — Risk / Return Rank
PCM
JLS
PCM vs. JLS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PCM Fund Inc. (PCM) and Nuveen Mortgage and Income Fund (JLS). 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 | JLS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.11 | ||
| Sortino ratioReturn per unit of downside risk | +0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.04 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 0.26 | 0.29 | -0.03 |
| Martin ratioReturn relative to average drawdown | 0.51 | 0.76 | -0.24 |
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Drawdowns
PCM vs. JLS - Drawdown Comparison
The maximum PCM drawdown since its inception was -64.88%, which is greater than JLS's maximum drawdown of -35.18%. Use the drawdown chart below to compare losses from any high point for PCM and JLS.
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Drawdown Indicators
| PCM | JLS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.88% | -35.18% | -29.70% |
Max Drawdown (1Y)Largest decline over 1 year | -12.81% | -5.41% | -7.40% |
Max Drawdown (3Y)Largest decline over 3 years | -29.62% | -9.28% | -20.34% |
Max Drawdown (5Y)Largest decline over 5 years | -29.62% | -23.53% | -6.09% |
Max Drawdown (10Y)Largest decline over 10 years | -47.69% | -35.18% | -12.51% |
Current DrawdownCurrent decline from peak | -18.13% | -4.75% | -13.38% |
Average DrawdownAverage peak-to-trough decline | -9.75% | -5.81% | -3.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.53% | 2.07% | +4.46% |
Volatility
PCM vs. JLS - Volatility Comparison
PCM Fund Inc. (PCM) has a higher volatility of 3.30% compared to Nuveen Mortgage and Income Fund (JLS) at 1.92%. This indicates that PCM's price experiences larger fluctuations and is considered to be riskier than JLS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PCM | JLS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.30% | 1.92% | +1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 8.39% | 7.13% | +1.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.58% | 8.56% | +3.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.35% | 10.57% | +9.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.71% | 12.41% | +10.30% |
Dividends
PCM vs. JLS - Dividend Comparison
PCM's dividend yield for the trailing twelve months is around 13.34%, more than JLS's 10.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JLS Nuveen Mortgage and Income Fund | 10.54% | 10.13% | 9.91% | 9.29% | 6.56% | 4.61% | 4.94% | 6.20% | 9.31% | 13.44% | 7.11% | 6.68% |
PCM PCM Fund Inc. | 13.34% | 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 JLS have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PCM has higher volatility (3.30%) compared to JLS (1.92%). In terms of maximum drawdown, PCM dropped -64.88% vs JLS's -35.18%.
PCM currently has the higher Sharpe Ratio (0.29 vs 0.18), 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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