Returns
| Series | 1 week | 1 month | 3 months | 6 months | YTD | 1 year | 3 years (ann.) | 5 years (ann.) | 10 years (ann.) | Since inception (ann.) |
|---|---|---|---|---|---|---|---|---|---|---|
| Market-price return | -0.64% | -4.38% | -6.43% | -9.54% | -10.21% | -10.87% | -0.24% | -4.66% | -2.66% | -2.03% |
| Market-price total return | -0.64% | -3.82% | -4.82% | -6.44% | -5.61% | -4.79% | +7.29% | +1.88% | +3.36% | +4.90% |
| NAV return | +0.42% | -1.88% | -3.92% | -5.44% | -6.03% | -7.12% | +0.22% | -3.01% | -2.52% | -2.15% |
| NAV total return | +0.42% | -1.35% | -2.38% | -2.42% | -1.54% | -1.19% | +7.37% | +3.25% | +3.09% | +4.38% |
Performance through Oct 14, 2026. Price and NAV returns are simple changes; total returns reinvest each distribution at the series value on its ex-date (first observation on/after). Periods of one year or less are cumulative; longer periods are annualised. Series are built from unadjusted prices plus the distribution record so no distribution is counted twice. Corporate actions: the vendor price series is split-adjusted; rights offerings and mergers are not restated — check Corporate Actions.
Growth of $10,000, five years
Risk statistics
| Statistic | Market price | NAV | Specification |
|---|---|---|---|
| Volatility, 1 year | 0.13% | 0.04% | annualised SD of daily total returns, √252 |
| Volatility, 3 years | 0.12% | 0.05% | as above |
| Volatility, 5 years | 0.14% | 0.05% | as above |
| Maximum drawdown, 3 years | -8.49% | -3.84% | peak-to-trough on the total-return index |
| Sharpe ratio, 3 years | 0.23 | 0.71 | excess over FRED DGS3MO (window average) (avg 4.52%), annualised |
| Sortino ratio, 3 years | 0.32 | 1.06 | downside deviation of excess returns |
| Beta vs. benchmark proxy, 3 years | 0.51 | — | AGG (U.S. aggregate bond ETF proxy), daily, aligned dates |
| Correlation, 3 years | 0.21 | — | as above |
| Observations (3y) | 751 | — | minimum 60; rankings require 500 |
Market-price and NAV volatility are different quantities and are never mixed. NAV volatility for funds holding stale-marked or illiquid assets can understate economic risk.
CEF Explorer research page for First Trust Mortgage Income Fund. Figures carry their own dates and sources; a discount to NAV does not guarantee convergence or any return. This is not investment advice.