PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PMZIX vs. FSRNX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PMZIX vs. FSRNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and Fidelity Real Estate Index Fund (FSRNX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
3.49%
19.18%
PMZIX
FSRNX

Returns By Period

In the year-to-date period, PMZIX achieves a 4.69% return, which is significantly lower than FSRNX's 11.33% return. Over the past 10 years, PMZIX has underperformed FSRNX with an annualized return of 3.15%, while FSRNX has yielded a comparatively higher 5.01% annualized return.


PMZIX

YTD

4.69%

1M

-0.23%

6M

3.49%

1Y

8.15%

5Y (annualized)

2.47%

10Y (annualized)

3.15%

FSRNX

YTD

11.33%

1M

-0.17%

6M

19.18%

1Y

25.18%

5Y (annualized)

2.98%

10Y (annualized)

5.01%

Key characteristics


PMZIXFSRNX
Sharpe Ratio2.051.59
Sortino Ratio3.342.22
Omega Ratio1.411.28
Calmar Ratio2.060.97
Martin Ratio9.385.76
Ulcer Index0.86%4.47%
Daily Std Dev3.93%16.17%
Max Drawdown-9.46%-44.26%
Current Drawdown-2.02%-7.96%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PMZIX vs. FSRNX - Expense Ratio Comparison

PMZIX has a 0.60% expense ratio, which is higher than FSRNX's 0.07% expense ratio.


PMZIX
PIMCO Mortgage Opportunities and Bond Fund
Expense ratio chart for PMZIX: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for FSRNX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.2

The correlation between PMZIX and FSRNX is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

PMZIX vs. FSRNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and Fidelity Real Estate Index Fund (FSRNX). 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.


Sharpe ratio
The chart of Sharpe ratio for PMZIX, currently valued at 2.05, compared to the broader market-1.000.001.002.003.004.005.002.051.59
The chart of Sortino ratio for PMZIX, currently valued at 3.34, compared to the broader market0.005.0010.003.342.22
The chart of Omega ratio for PMZIX, currently valued at 1.41, compared to the broader market1.002.003.004.001.411.28
The chart of Calmar ratio for PMZIX, currently valued at 2.06, compared to the broader market0.005.0010.0015.0020.002.060.97
The chart of Martin ratio for PMZIX, currently valued at 9.38, compared to the broader market0.0020.0040.0060.0080.00100.009.385.76
PMZIX
FSRNX

The current PMZIX Sharpe Ratio is 2.05, which is comparable to the FSRNX Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of PMZIX and FSRNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.05
1.59
PMZIX
FSRNX

Dividends

PMZIX vs. FSRNX - Dividend Comparison

PMZIX's dividend yield for the trailing twelve months is around 7.90%, more than FSRNX's 2.63% yield.


TTM20232022202120202019201820172016201520142013
PMZIX
PIMCO Mortgage Opportunities and Bond Fund
7.90%6.69%7.19%3.62%3.95%4.35%4.34%3.61%5.24%4.11%3.89%4.01%
FSRNX
Fidelity Real Estate Index Fund
2.63%2.84%2.66%1.25%3.33%3.18%3.73%2.27%2.58%2.57%4.18%3.54%

Drawdowns

PMZIX vs. FSRNX - Drawdown Comparison

The maximum PMZIX drawdown since its inception was -9.46%, smaller than the maximum FSRNX drawdown of -44.26%. Use the drawdown chart below to compare losses from any high point for PMZIX and FSRNX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.02%
-7.96%
PMZIX
FSRNX

Volatility

PMZIX vs. FSRNX - Volatility Comparison

The current volatility for PIMCO Mortgage Opportunities and Bond Fund (PMZIX) is 0.90%, while Fidelity Real Estate Index Fund (FSRNX) has a volatility of 4.69%. This indicates that PMZIX experiences smaller price fluctuations and is considered to be less risky than FSRNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.90%
4.69%
PMZIX
FSRNX