FRFZX vs. CFOIX

Last updated Jun 4, 2026

FRFZX (PGIM Floating Rate Income Fund) and CFOIX (Calvert Floating-Rate Advantage Fund) are both Bank Loan funds. Over the past 5 years, FRFZX returned 5.83%/yr vs 4.30%/yr for CFOIX. A 0.67 correlation means they provide meaningful diversification when combined. FRFZX charges 0.70%/yr vs 0.78%/yr for CFOIX.

Performance

FRFZX vs. CFOIX - Performance Comparison

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

Returns By Period

In the year-to-date period, FRFZX achieves a 2.29% return, which is significantly higher than CFOIX's -0.04% return.

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%

CFOIX

• 1D: 0.00%
• 1M: 0.01%
• YTD: -0.04%
• 6M: 0.01%
• 1Y: 3.05%
• 3Y*: 6.66%
• 5Y*: 4.30%
• 10Y*: —

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

FRFZX vs. CFOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
FRFZX PGIM Floating Rate Income Fund	2.29%	5.66%	9.45%	14.11%	-3.56%	5.46%	4.62%	7.47%	-1.40%
CFOIX Calvert Floating-Rate Advantage Fund	-0.04%	3.48%	8.92%	12.09%	-4.21%	4.37%	0.62%	9.36%	-2.14%

Correlation

The correlation between FRFZX and CFOIX is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (All Time) Calculated using the full available price history since Mar 1, 2018	0.67

Over the past year, the correlation between FRFZX and CFOIX has dropped to 0.45 - well below their long-term average of 0.67, suggesting their price drivers have been diverging.

Return for Risk

FRFZX vs. CFOIX — Risk / Return Rank

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

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

CFOIX

CFOIX Risk / Return Rank: 60
CFOIX Sharpe Ratio Rank: 30
CFOIX Sortino Ratio Rank: 68
CFOIX Omega Ratio Rank: 83
CFOIX Calmar Ratio Rank: 77
CFOIX Martin Ratio Rank: 41

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.

FRFZX vs. CFOIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income Fund (FRFZX) and Calvert Floating-Rate Advantage Fund (CFOIX). 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.

	FRFZX	CFOIX	Difference
Sharpe ratio Return per unit of total volatility	2.69	1.57	+1.12
Sortino ratio Return per unit of downside risk	6.64	3.46	+3.18
Omega ratio Gain probability vs. loss probability	2.02	1.56	+0.46
Calmar ratio Return relative to maximum drawdown	7.34	3.46	+3.89
Martin ratio Return relative to average drawdown	22.93	8.77	+14.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FRFZX vs. CFOIX - Sharpe Ratio Comparison

The current FRFZX Sharpe Ratio is 2.69, which is higher than the CFOIX Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of FRFZX and CFOIX, 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

	FRFZX	CFOIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.69	1.57	+1.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.89	1.41	+0.48
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.36	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.41	0.80	+0.61

Drawdowns

FRFZX vs. CFOIX - Drawdown Comparison

The maximum FRFZX drawdown since its inception was -21.95%, roughly equal to the maximum CFOIX drawdown of -22.38%. Use the drawdown chart below to compare losses from any high point for FRFZX and CFOIX.

Drawdown Indicators

	FRFZX	CFOIX	Difference
Max Drawdown Largest peak-to-trough decline	-21.95%	-22.38%	+0.43%
Max Drawdown (1Y) Largest decline over 1 year	-0.85%	-0.88%	+0.03%
Max Drawdown (3Y) Largest decline over 3 years	-3.12%	-3.18%	+0.06%
Max Drawdown (5Y) Largest decline over 5 years	-7.85%	-7.93%	+0.08%
Max Drawdown (10Y) Largest decline over 10 years	-21.95%	—	—
Current Drawdown Current decline from peak	0.00%	-0.27%	+0.27%
Average Drawdown Average peak-to-trough decline	-0.91%	-1.30%	+0.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.27%	0.35%	-0.08%

Volatility

FRFZX vs. CFOIX - Volatility Comparison

PGIM Floating Rate Income Fund (FRFZX) has a higher volatility of 0.59% compared to Calvert Floating-Rate Advantage Fund (CFOIX) at 0.39%. This indicates that FRFZX's price experiences larger fluctuations and is considered to be riskier than CFOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FRFZX	CFOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.59%	0.39%	+0.20%
Volatility (6M) Calculated over the trailing 6-month period	1.59%	1.26%	+0.33%
Volatility (1Y) Calculated over the trailing 1-year period	2.33%	1.95%	+0.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.09%	3.06%	+0.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.97%	4.75%	-0.78%

FRFZX vs. CFOIX - Expense Ratio Comparison

FRFZX has a 0.70% expense ratio, which is lower than CFOIX's 0.78% expense ratio.

Dividends

FRFZX vs. CFOIX - Dividend Comparison

FRFZX's dividend yield for the trailing twelve months is around 7.40%, more than CFOIX's 5.89% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CFOIX Calvert Floating-Rate Advantage Fund	5.89%	6.88%	8.62%	7.42%	5.02%	3.96%	4.23%	5.05%	4.20%	0.00%	0.00%	0.00%
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 FRFZX and CFOIX in my portfolio?

FRFZX and CFOIX have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FRFZX or CFOIX?

FRFZX has higher volatility (0.59%) compared to CFOIX (0.39%). In terms of maximum drawdown, FRFZX dropped -21.95% vs CFOIX's -22.38%.

Which has better risk-adjusted returns?

FRFZX currently has the higher Sharpe Ratio (2.69 vs 1.57), 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.