PRXAX vs. PCM

Last updated Jun 3, 2026

PRXAX (T. Rowe Price GNMA Fund Class I) and PCM (PCM Fund Inc.) are both Mortgage Backed Securities funds. Both are actively managed. Over the past 5 years, PRXAX returned 0.23%/yr vs -3.89%/yr for PCM. At a 0.10 correlation, their price movements are largely independent.

Performance

PRXAX vs. PCM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price GNMA Fund Class I (PRXAX) and PCM Fund Inc. (PCM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PRXAX achieves a 0.90% return, which is significantly higher than PCM's -2.34% return.

PRXAX

• 1D: -0.12%
• 1M: 0.09%
• YTD: 0.90%
• 6M: 1.24%
• 1Y: 6.63%
• 3Y*: 4.16%
• 5Y*: 0.23%
• 10Y*: —

PCM

• 1D: -0.06%
• 1M: -1.17%
• YTD: -2.34%
• 6M: -2.12%
• 1Y: 1.79%
• 3Y*: -4.15%
• 5Y*: -3.89%
• 10Y*: 5.33%

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

PRXAX vs. PCM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PRXAX T. Rowe Price GNMA Fund Class I	0.90%	7.72%	1.15%	4.79%	-11.41%	-2.07%	4.34%	5.29%	0.58%	0.82%
PCM PCM Fund Inc.	-2.34%	-10.10%	8.81%	12.44%	-18.96%	8.57%	3.05%	23.05%	-4.47%	15.96%

Correlation

The correlation between PRXAX and PCM is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (All Time) Calculated using the full available price history since May 5, 2017	0.10

The correlation between PRXAX and PCM shifts across timeframes, from 0.10 (all time) to 0.24 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

PRXAX vs. PCM — Risk / Return Rank

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

PRXAX

PRXAX Risk / Return Rank: 31
PRXAX Sharpe Ratio Rank: 27
PRXAX Sortino Ratio Rank: 30
PRXAX Omega Ratio Rank: 28
PRXAX Calmar Ratio Rank: 35
PRXAX Martin Ratio Rank: 33

PCM

PCM Risk / Return Rank: 3
PCM Sharpe Ratio Rank: 3
PCM Sortino Ratio Rank: 3
PCM Omega Ratio Rank: 3
PCM Calmar Ratio Rank: 4
PCM Martin Ratio Rank: 3

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.

PRXAX vs. PCM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price GNMA Fund Class I (PRXAX) and PCM Fund Inc. (PCM). 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.

	PRXAX	PCM	Difference
Sharpe ratio Return per unit of total volatility	1.50	0.16	+1.34
Sortino ratio Return per unit of downside risk	2.28	0.27	+2.01
Omega ratio Gain probability vs. loss probability	1.28	1.04	+0.24
Calmar ratio Return relative to maximum drawdown	2.23	0.23	+2.01
Martin ratio Return relative to average drawdown	7.64	0.49	+7.14
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PRXAX vs. PCM - Sharpe Ratio Comparison

The current PRXAX Sharpe Ratio is 1.50, which is higher than the PCM Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of PRXAX and PCM, 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

	PRXAX	PCM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.50	0.16	+1.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.04	-0.19	+0.23
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.24	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.24	0.25	-0.01

Drawdowns

PRXAX vs. PCM - Drawdown Comparison

The maximum PRXAX drawdown since its inception was -18.04%, smaller than the maximum PCM drawdown of -64.88%. Use the drawdown chart below to compare losses from any high point for PRXAX and PCM.

Drawdown Indicators

	PRXAX	PCM	Difference
Max Drawdown Largest peak-to-trough decline	-18.04%	-64.88%	+46.84%
Max Drawdown (1Y) Largest decline over 1 year	-2.97%	-12.81%	+9.84%
Max Drawdown (3Y) Largest decline over 3 years	-7.10%	-29.62%	+22.52%
Max Drawdown (5Y) Largest decline over 5 years	-17.14%	-29.62%	+12.48%
Max Drawdown (10Y) Largest decline over 10 years	—	-47.69%	—
Current Drawdown Current decline from peak	-1.19%	-21.34%	+20.15%
Average Drawdown Average peak-to-trough decline	-4.34%	-9.71%	+5.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.87%	5.93%	-5.06%

Volatility

PRXAX vs. PCM - Volatility Comparison

The current volatility for T. Rowe Price GNMA Fund Class I (PRXAX) is 1.70%, while PCM Fund Inc. (PCM) has a volatility of 3.42%. This indicates that PRXAX experiences smaller price fluctuations and is considered to be less risky than PCM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PRXAX	PCM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.70%	3.42%	-1.72%
Volatility (6M) Calculated over the trailing 6-month period	3.25%	7.84%	-4.59%
Volatility (1Y) Calculated over the trailing 1-year period	4.37%	11.51%	-7.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.42%	20.35%	-13.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.97%	22.73%	-17.76%

Dividends

PRXAX vs. PCM - Dividend Comparison

PRXAX's dividend yield for the trailing twelve months is around 3.94%, less than PCM's 13.57% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PCM PCM Fund Inc.	13.57%	12.56%	12.47%	12.06%	12.20%	8.96%	8.95%	8.38%	9.46%	8.47%	14.60%	10.39%
PRXAX T. Rowe Price GNMA Fund Class I	3.94%	3.92%	3.78%	2.77%	1.56%	0.70%	1.56%	2.48%	2.89%	2.13%	0.00%	0.00%

Frequently Asked Questions

Can I hold both PRXAX and PCM in my portfolio?

PRXAX and PCM have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PRXAX or PCM?

PCM has higher volatility (3.42%) compared to PRXAX (1.70%). In terms of maximum drawdown, PRXAX dropped -18.04% vs PCM's -64.88%.

Which has better risk-adjusted returns?

PRXAX currently has the higher Sharpe Ratio (1.50 vs 0.16), 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.