PMDRX vs. PGSIX

Last updated Jun 6, 2026

PMDRX (PIMCO Moderate Duration Fund) and PGSIX (Putnam Mortgage Securities Fund) are both Intermediate Core-Plus Bond funds. Over the past 10 years, PMDRX returned 2.41%/yr vs 1.49%/yr for PGSIX. A 0.61 correlation means they provide meaningful diversification when combined. PMDRX charges 0.46%/yr vs 0.89%/yr for PGSIX.

Performance

PMDRX vs. PGSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Moderate Duration Fund (PMDRX) and Putnam Mortgage Securities Fund (PGSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PMDRX achieves a -0.05% return, which is significantly lower than PGSIX's 2.76% return. Over the past 10 years, PMDRX has outperformed PGSIX with an annualized return of 2.41%, while PGSIX has yielded a comparatively lower 1.49% annualized return.

PMDRX

• 1D: 0.21%
• 1M: 0.02%
• YTD: -0.05%
• 6M: 0.57%
• 1Y: 5.50%
• 3Y*: 5.12%
• 5Y*: 1.33%
• 10Y*: 2.41%

PGSIX

• 1D: 0.12%
• 1M: 0.90%
• YTD: 2.76%
• 6M: 3.03%
• 1Y: 9.73%
• 3Y*: 6.65%
• 5Y*: 0.42%
• 10Y*: 1.49%

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

PMDRX vs. PGSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PMDRX PIMCO Moderate Duration Fund	-0.05%	8.70%	3.45%	5.50%	-9.21%	-1.26%	7.98%	6.38%	0.57%	3.28%
PGSIX Putnam Mortgage Securities Fund	2.76%	9.36%	3.52%	3.66%	-10.79%	-4.31%	-0.73%	12.39%	-0.79%	0.82%

Correlation

The correlation between PMDRX and PGSIX is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Jan 2, 1997	0.61

The correlation between PMDRX and PGSIX shifts across timeframes, from 0.61 (10 years) to 0.79 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

PMDRX vs. PGSIX — Risk / Return Rank

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

PMDRX

PMDRX Risk / Return Rank: 23
PMDRX Sharpe Ratio Rank: 24
PMDRX Sortino Ratio Rank: 25
PMDRX Omega Ratio Rank: 25
PMDRX Calmar Ratio Rank: 19
PMDRX Martin Ratio Rank: 19

PGSIX

PGSIX Risk / Return Rank: 47
PGSIX Sharpe Ratio Rank: 38
PGSIX Sortino Ratio Rank: 42
PGSIX Omega Ratio Rank: 38
PGSIX Calmar Ratio Rank: 66
PGSIX Martin Ratio Rank: 51

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.

PMDRX vs. PGSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Moderate Duration Fund (PMDRX) and Putnam Mortgage Securities Fund (PGSIX). 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.

	PMDRX	PGSIX	Difference
Sharpe ratio: Return per unit of total volatility	1.33	1.72	-0.39
Sortino ratio: Return per unit of downside risk	2.00	2.60	-0.60
Omega ratio: Gain probability vs. loss probability	1.25	1.31	-0.06
Calmar ratio: Return relative to maximum drawdown	1.52	3.02	-1.51
Martin ratio: Return relative to average drawdown	4.78	10.15	-5.37
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PMDRX vs. PGSIX - Sharpe Ratio Comparison

The current PMDRX Sharpe Ratio is 1.33, which is comparable to the PGSIX Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of PMDRX and PGSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PMDRX	PGSIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.33	1.72	-0.39
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.32	0.06	+0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.25	+0.42
Sharpe Ratio (All Time) Calculated using the full available price history	1.25	0.84	+0.41

Drawdowns

PMDRX vs. PGSIX - Drawdown Comparison

The maximum PMDRX drawdown since its inception was -13.19%, smaller than the maximum PGSIX drawdown of -22.28%. Use the drawdown chart below to compare losses from any high point for PMDRX and PGSIX.

Drawdown Indicators

	PMDRX	PGSIX	Difference
Max Drawdown Largest peak-to-trough decline	-13.19%	-22.28%	+9.09%
Max Drawdown (1Y) Largest decline over 1 year	-3.12%	-2.85%	-0.27%
Max Drawdown (3Y) Largest decline over 3 years	-3.12%	-6.88%	+3.76%
Max Drawdown (5Y) Largest decline over 5 years	-13.19%	-20.64%	+7.45%
Max Drawdown (10Y) Largest decline over 10 years	-13.19%	-22.28%	+9.09%
Current Drawdown Current decline from peak	-1.52%	-0.12%	-1.40%
Average Drawdown Average peak-to-trough decline	-1.45%	-2.61%	+1.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.99%	0.85%	+0.14%

Volatility

PMDRX vs. PGSIX - Volatility Comparison

The current volatility for PIMCO Moderate Duration Fund (PMDRX) is 1.43%, while Putnam Mortgage Securities Fund (PGSIX) has a volatility of 1.72%. This indicates that PMDRX experiences smaller price fluctuations and is considered to be less risky than PGSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PMDRX	PGSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.43%	1.72%	-0.29%
Volatility (6M) Calculated over the trailing 6-month period	2.86%	3.41%	-0.55%
Volatility (1Y) Calculated over the trailing 1-year period	3.58%	5.07%	-1.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.23%	7.00%	-2.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.59%	5.94%	-2.35%

PMDRX vs. PGSIX - Expense Ratio Comparison

PMDRX has a 0.46% expense ratio, which is lower than PGSIX's 0.89% expense ratio.

Dividends

PMDRX vs. PGSIX - Dividend Comparison

PMDRX's dividend yield for the trailing twelve months is around 4.53%, less than PGSIX's 4.63% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PGSIX Putnam Mortgage Securities Fund	4.63%	5.67%	16.88%	8.38%	12.83%	4.30%	4.21%	4.50%	3.94%	3.10%	2.92%	2.51%
PMDRX PIMCO Moderate Duration Fund	4.53%	4.42%	4.38%	3.76%	3.18%	1.32%	5.16%	2.82%	2.45%	1.75%	2.06%	4.33%

Frequently Asked Questions

Can I hold both PMDRX and PGSIX in my portfolio?

PMDRX and PGSIX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PMDRX or PGSIX?

PGSIX has higher volatility (1.72%) compared to PMDRX (1.43%). In terms of maximum drawdown, PMDRX dropped -13.19% vs PGSIX's -22.28%.

Which has better risk-adjusted returns?

PGSIX currently has the higher Sharpe Ratio (1.72 vs 1.33), 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.