CPMPX vs. ISD
CPMPX (Changing Parameters Fund) and ISD (PGIM High Yield Bond Fund) are both High Yield Bonds funds. Over the past 10 years, CPMPX returned 4.05%/yr vs 6.60%/yr for ISD. Their 0.29 correlation means their historical movements had little consistent relationship. CPMPX charges 2.90%/yr vs 0.02%/yr for ISD.
Performance
CPMPX vs. ISD - Performance Comparison
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Returns By Period
In the year-to-date period, CPMPX achieves a 0.85% return, which is significantly higher than ISD's -9.89% return. Over the past 10 years, CPMPX has underperformed ISD with an annualized return of 4.05%, while ISD has yielded a comparatively higher 6.60% annualized return.
CPMPX
- 1D
- 0.09%
- 1M
- -0.28%
- 6M
- 0.47%
- YTD
- 0.85%
- 1Y
- 3.83%
- 3Y*
- 2.84%
- 5Y*
- 2.22%
- 10Y*
- 4.05%
- ALL TIME*
- 3.40%
ISD
- 1D
- -0.08%
- 1M
- -3.37%
- 6M
- -10.69%
- YTD
- -9.89%
- 1Y
- -4.69%
- 3Y*
- 10.30%
- 5Y*
- 4.23%
- 10Y*
- 6.60%
- ALL TIME*
- 5.58%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $1.80M | $1.56M | $1.41M |
CPMPX vs. ISD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CPMPX Changing Parameters Fund | 0.85% | 6.65% | -3.47% | 8.13% | -0.22% | 3.86% | 13.43% | 6.82% | -1.19% | 5.29% |
ISD PGIM High Yield Bond Fund | -9.89% | 15.63% | 22.05% | 15.05% | -18.42% | 15.72% | 6.66% | 28.41% | -5.03% | 3.59% |
Correlation
The correlation between CPMPX and ISD is 0.50, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.50 |
Correlation (3Y) Balances recent behavior with more history. | 0.35 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.34 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.34 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2012 | 0.29 |
Over the past year, CPMPX and ISD have become more correlated (0.50) than their long-term average of 0.29, meaning their price movements have been converging.
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Return for Risk
CPMPX vs. ISD — Risk / Return Rank
CPMPX
ISD
CPMPX vs. ISD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Changing Parameters Fund (CPMPX) and PGIM High Yield Bond Fund (ISD). 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.
| CPMPX | ISD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.47 | ||
| Sortino ratioReturn per unit of downside risk | +3.48 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 0.93 | +0.52 |
| Calmar ratioReturn relative to maximum drawdown | 2.87 | -0.37 | +3.25 |
| Martin ratioReturn relative to average drawdown | 7.80 | -0.84 | +8.64 |
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Drawdowns
CPMPX vs. ISD - Drawdown Comparison
The maximum CPMPX drawdown since its inception was -8.87%, smaller than the maximum ISD drawdown of -38.88%. Use the drawdown chart below to compare losses from any high point for CPMPX and ISD.
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Drawdown Indicators
| CPMPX | ISD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -8.87% | -38.88% | +30.01% |
Max Drawdown (1Y)Largest decline over 1 year | -1.31% | -13.52% | +12.21% |
Max Drawdown (3Y)Largest decline over 3 years | -8.13% | -13.94% | +5.81% |
Max Drawdown (5Y)Largest decline over 5 years | -8.13% | -25.45% | +17.32% |
Max Drawdown (10Y)Largest decline over 10 years | -8.13% | -38.88% | +30.75% |
Current DrawdownCurrent decline from peak | -1.09% | -11.81% | +10.72% |
Average DrawdownAverage peak-to-trough decline | -1.86% | -5.65% | +3.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.48% | 5.96% | -5.48% |
Volatility
CPMPX vs. ISD - Volatility Comparison
The current volatility for Changing Parameters Fund (CPMPX) is 0.48%, while PGIM High Yield Bond Fund (ISD) has a volatility of 3.08%. This indicates that CPMPX experiences smaller price fluctuations and is considered to be less risky than ISD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPMPX | ISD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.48% | 3.08% | -2.60% |
Volatility (6M)Calculated over the trailing 6-month period | 1.32% | 9.94% | -8.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.85% | 11.41% | -9.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.84% | 13.36% | -9.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.11% | 14.59% | -11.48% |
CPMPX vs. ISD - Expense Ratio Comparison
CPMPX has a 2.90% expense ratio, which is higher than ISD's 0.02% expense ratio.
Dividends
CPMPX vs. ISD - Dividend Comparison
CPMPX's dividend yield for the trailing twelve months is around 3.80%, less than ISD's 10.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CPMPX Changing Parameters Fund | 3.80% | 3.83% | 0.00% | 4.26% | 5.03% | 4.24% | 6.94% | 2.85% | 1.71% | 3.32% | 2.25% | 1.51% |
ISD PGIM High Yield Bond Fund | 10.13% | 8.71% | 9.21% | 10.23% | 10.61% | 7.85% | 8.40% | 7.86% | 7.89% | 8.46% | 8.28% | 9.64% |
Frequently Asked Questions
CPMPX and ISD have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ISD has higher volatility (3.08%) compared to CPMPX (0.48%). In terms of maximum drawdown, CPMPX dropped -8.87% vs ISD's -38.88%.
CPMPX currently has the higher Sharpe Ratio (2.03 vs -0.44), 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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