BGT vs. FRFZX
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 6.36%/yr vs 5.38%/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
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Returns By Period
In the year-to-date period, BGT achieves a -0.21% return, which is significantly lower than FRFZX's 2.18% return. Over the past 10 years, BGT has outperformed FRFZX with an annualized return of 6.36%, while FRFZX has yielded a comparatively lower 5.38% annualized return.
BGT
- 1D
- -0.28%
- 1M
- -1.20%
- YTD
- -0.21%
- 6M
- -0.43%
- 1Y
- -2.39%
- 3Y*
- 10.06%
- 5Y*
- 6.52%
- 10Y*
- 6.36%
FRFZX
- 1D
- -0.11%
- 1M
- 0.43%
- YTD
- 2.18%
- 6M
- 2.75%
- 1Y
- 5.99%
- 3Y*
- 8.41%
- 5Y*
- 5.78%
- 10Y*
- 5.38%
BGT vs. FRFZX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BGT BlackRock Floating Rate Income Trust | -0.21% | -0.84% | 16.12% | 26.29% | -16.57% | 25.89% | -0.81% | 18.97% | -11.95% | 3.91% |
FRFZX PGIM Floating Rate Income Fund | 2.18% | 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 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
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 | 0.22 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2011 | 0.20 |
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Return for Risk
BGT vs. FRFZX — Risk / Return Rank
BGT
FRFZX
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| BGT | FRFZX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.87 | ||
| Sortino ratioReturn per unit of downside risk | -6.74 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.98 | -1.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 7.20 | -7.42 |
| Martin ratioReturn relative to average drawdown | -0.46 | 22.29 | -22.75 |
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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.
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Drawdown Indicators
| BGT | FRFZX | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -6.30% | -0.22% | -6.08% |
Average DrawdownAverage peak-to-trough decline | -8.11% | -0.91% | -7.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.17% | 0.27% | +4.90% |
Volatility
BGT vs. FRFZX - Volatility Comparison
BlackRock Floating Rate Income Trust (BGT) has a higher volatility of 1.42% compared to PGIM Floating Rate Income Fund (FRFZX) at 0.60%. 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.
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Volatility by Period
| BGT | FRFZX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.42% | 0.60% | +0.82% |
Volatility (6M)Calculated over the trailing 6-month period | 7.02% | 1.60% | +5.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.94% | 2.33% | +7.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.56% | 3.10% | +10.46% |
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 13.63%, more than FRFZX's 7.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BGT BlackRock Floating Rate Income Trust | 13.63% | 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 | 7.41% | 7.65% | 8.76% | 8.86% | 6.41% | 3.33% | 5.35% | 5.42% | 5.06% | 4.90% | 4.34% | 3.97% |
Frequently Asked Questions
BGT and FRFZX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BGT has higher volatility (1.42%) compared to FRFZX (0.60%). In terms of maximum drawdown, BGT dropped -58.06% vs FRFZX's -21.95%.
FRFZX currently has the higher Sharpe Ratio (2.63 vs -0.24), 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.
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