BGT vs. FRFZX

Last updated Jun 4, 2026

BGT (BlackRock Floating Rate Income Trust) and FRFZX (PGIM Floating Rate Income Fund) are both Bank Loan funds. Over the past 10 years, BGT returned 6.13%/yr vs 5.36%/yr for FRFZX. At a 0.20 correlation, their price movements are largely independent. BGT charges 1.74%/yr vs 0.70%/yr for FRFZX.

Performance

BGT vs. FRFZX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Floating Rate Income Trust (BGT) and PGIM Floating Rate Income Fund (FRFZX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BGT achieves a -0.49% return, which is significantly lower than FRFZX's 2.29% return. Over the past 10 years, BGT has outperformed FRFZX with an annualized return of 6.13%, while FRFZX has yielded a comparatively lower 5.36% annualized return.

BGT

• 1D: -0.65%
• 1M: -0.58%
• YTD: -0.49%
• 6M: 1.38%
• 1Y: -1.80%
• 3Y*: 10.35%
• 5Y*: 6.89%
• 10Y*: 6.13%

FRFZX

• 1D: 0.00%
• 1M: 0.65%
• YTD: 2.29%
• 6M: 3.07%
• 1Y: 6.22%
• 3Y*: 8.74%
• 5Y*: 5.83%
• 10Y*: 5.36%

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

BGT vs. FRFZX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BGT BlackRock Floating Rate Income Trust	-0.49%	-0.84%	16.12%	26.29%	-16.57%	25.89%	-0.81%	18.97%	-11.95%	3.91%
FRFZX PGIM Floating Rate Income Fund	2.29%	5.66%	9.45%	14.11%	-3.56%	5.46%	4.62%	7.47%	-0.13%	4.48%

Correlation

The correlation between BGT and FRFZX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.20
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (5Y) Calculated over the trailing 5-year period	0.22
Correlation (10Y) Calculated over the trailing 10-year period	0.23
Correlation (All Time) Calculated using the full available price history since Apr 1, 2011	0.20

Return for Risk

BGT vs. FRFZX — Risk / Return Rank

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

BGT

BGT Risk / Return Rank: 2
BGT Sharpe Ratio Rank: 2
BGT Sortino Ratio Rank: 2
BGT Omega Ratio Rank: 2
BGT Calmar Ratio Rank: 2
BGT Martin Ratio Rank: 2

FRFZX

FRFZX Risk / Return Rank: 94
FRFZX Sharpe Ratio Rank: 83
FRFZX Sortino Ratio Rank: 98
FRFZX Omega Ratio Rank: 97
FRFZX Calmar Ratio Rank: 97
FRFZX Martin Ratio Rank: 95

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.

BGT vs. FRFZX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Floating Rate Income Trust (BGT) and PGIM Floating Rate Income Fund (FRFZX). 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.

	BGT	FRFZX	Difference
Sharpe ratio: Return per unit of total volatility	-0.17	2.69	-2.86
Sortino ratio: Return per unit of downside risk	-0.18	6.64	-6.82
Omega ratio: Gain probability vs. loss probability	0.98	2.02	-1.04
Calmar ratio: Return relative to maximum drawdown	-0.16	7.34	-7.51
Martin ratio: Return relative to average drawdown	-0.36	22.93	-23.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BGT vs. FRFZX - Sharpe Ratio Comparison

The current BGT Sharpe Ratio is -0.17, which is lower than the FRFZX Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of BGT and FRFZX, 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

	BGT	FRFZX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.17	2.69	-2.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	1.89	-1.38
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.40	1.36	-0.95
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	1.41	-1.12

Drawdowns

BGT vs. FRFZX - Drawdown Comparison

The maximum BGT drawdown since its inception was -58.06%, which is greater than FRFZX's maximum drawdown of -21.95%. Use the drawdown chart below to compare losses from any high point for BGT and FRFZX.

Drawdown Indicators

	BGT	FRFZX	Difference
Max Drawdown Largest peak-to-trough decline	-58.06%	-21.95%	-36.11%
Max Drawdown (1Y) Largest decline over 1 year	-11.06%	-0.85%	-10.21%
Max Drawdown (3Y) Largest decline over 3 years	-15.91%	-3.12%	-12.79%
Max Drawdown (5Y) Largest decline over 5 years	-23.19%	-7.85%	-15.34%
Max Drawdown (10Y) Largest decline over 10 years	-41.90%	-21.95%	-19.95%
Current Drawdown Current decline from peak	-6.56%	0.00%	-6.56%
Average Drawdown Average peak-to-trough decline	-8.12%	-0.91%	-7.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.99%	0.27%	+4.72%

Volatility

BGT vs. FRFZX - Volatility Comparison

BlackRock Floating Rate Income Trust (BGT) has a higher volatility of 1.63% compared to PGIM Floating Rate Income Fund (FRFZX) at 0.59%. This indicates that BGT's price experiences larger fluctuations and is considered to be riskier than FRFZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BGT	FRFZX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.63%	0.59%	+1.04%
Volatility (6M) Calculated over the trailing 6-month period	7.13%	1.59%	+5.54%
Volatility (1Y) Calculated over the trailing 1-year period	10.35%	2.33%	+8.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.57%	3.09%	+10.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.34%	3.97%	+11.37%

BGT vs. FRFZX - Expense Ratio Comparison

BGT has a 1.74% expense ratio, which is higher than FRFZX's 0.70% expense ratio.

Dividends

BGT vs. FRFZX - Dividend Comparison

BGT's dividend yield for the trailing twelve months is around 13.51%, more than FRFZX's 7.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BGT BlackRock Floating Rate Income Trust	13.51%	12.74%	11.22%	10.36%	6.87%	5.55%	7.58%	6.33%	6.64%	5.03%	5.03%	6.04%
FRFZX PGIM Floating Rate Income Fund	7.40%	7.65%	8.76%	8.87%	6.41%	3.33%	5.35%	5.42%	5.06%	4.90%	4.34%	3.97%

Frequently Asked Questions

Can I hold both BGT and FRFZX in my portfolio?

BGT and FRFZX have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BGT or FRFZX?

BGT has higher volatility (1.63%) compared to FRFZX (0.59%). In terms of maximum drawdown, BGT dropped -58.06% vs FRFZX's -21.95%.

Which has better risk-adjusted returns?

FRFZX currently has the higher Sharpe Ratio (2.69 vs -0.17), 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.