GHY vs. JAAA
GHY (PGIM Global High Yield Fund) and JAAA (Janus Henderson AAA CLO ETF) are both funds - GHY is a High Yield Bonds fund managed by PGIM, while JAAA is a CLO fund actively managed by Janus Henderson. Over the past 5 years, GHY returned 4.57%/yr vs 4.88%/yr for JAAA. Their 0.14 correlation means their historical movements had little consistent relationship. GHY charges 0.03%/yr vs 0.20%/yr for JAAA.
Performance
GHY vs. JAAA - Performance Comparison
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Returns By Period
In the year-to-date period, GHY achieves a -0.44% return, which is significantly lower than JAAA's 2.60% return.
GHY
- 1D
- 0.26%
- 1M
- -2.30%
- 6M
- -4.46%
- YTD
- -0.44%
- 1Y
- -0.98%
- 3Y*
- 12.12%
- 5Y*
- 4.57%
- 10Y*
- 6.80%
- ALL TIME*
- 5.39%
JAAA
- 1D
- 0.06%
- 1M
- 0.30%
- 6M
- 2.05%
- YTD
- 2.60%
- 1Y
- 4.89%
- 3Y*
- 6.20%
- 5Y*
- 4.88%
- 10Y*
- —
- ALL TIME*
- 4.53%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.51M | $1.58M | $1.59M | |
| $257.93M | $255.22M | $259.12M |
GHY vs. JAAA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
GHY PGIM Global High Yield Fund | -0.44% | 10.46% | 20.25% | 17.29% | -20.04% | 12.73% | 12.89% |
JAAA Janus Henderson AAA CLO ETF | 2.60% | 5.16% | 7.43% | 8.59% | 0.49% | 1.39% | 0.76% |
Correlation
The correlation between GHY and JAAA is 0.17, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.17 |
Correlation (3Y) Balances recent behavior with more history. | 0.17 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.16 |
Correlation (All Time) Calculated using the full available price history since Oct 19, 2020 | 0.14 |
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Return for Risk
GHY vs. JAAA — Risk / Return Rank
GHY
JAAA
GHY vs. JAAA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PGIM Global High Yield Fund (GHY) and Janus Henderson AAA CLO ETF (JAAA). 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.
| GHY | JAAA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -6.33 | ||
| Sortino ratioReturn per unit of downside risk | -10.33 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 2.84 | -1.86 |
| Calmar ratioReturn relative to maximum drawdown | -0.13 | 12.63 | -12.76 |
| Martin ratioReturn relative to average drawdown | -0.32 | 68.67 | -68.99 |
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Drawdowns
GHY vs. JAAA - Drawdown Comparison
The maximum GHY drawdown since its inception was -41.35%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for GHY and JAAA.
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Drawdown Indicators
| GHY | JAAA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.35% | -2.64% | -38.71% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -0.39% | -11.55% |
Max Drawdown (3Y)Largest decline over 3 years | -16.36% | -1.46% | -14.90% |
Max Drawdown (5Y)Largest decline over 5 years | -29.50% | -2.64% | -26.86% |
Max Drawdown (10Y)Largest decline over 10 years | -41.35% | — | — |
Current DrawdownCurrent decline from peak | -5.61% | 0.00% | -5.61% |
Average DrawdownAverage peak-to-trough decline | -6.01% | -0.24% | -5.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.67% | 0.07% | +4.60% |
Volatility
GHY vs. JAAA - Volatility Comparison
PGIM Global High Yield Fund (GHY) has a higher volatility of 3.04% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.16%. This indicates that GHY's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GHY | JAAA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.04% | 0.16% | +2.88% |
Volatility (6M)Calculated over the trailing 6-month period | 8.69% | 0.62% | +8.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.71% | 0.79% | +9.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.24% | 1.66% | +12.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.34% | 1.62% | +13.72% |
GHY vs. JAAA - Expense Ratio Comparison
GHY has a 0.03% expense ratio, which is lower than JAAA's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GHY vs. JAAA - Dividend Comparison
GHY's dividend yield for the trailing twelve months is around 10.81%, more than JAAA's 5.35% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GHY PGIM Global High Yield Fund | 10.81% | 10.21% | 10.23% | 11.09% | 11.62% | 8.35% | 8.67% | 8.04% | 7.72% | 7.77% | 8.53% | 10.07% |
JAAA Janus Henderson AAA CLO ETF | 4.93% | 5.30% | 6.35% | 6.11% | 2.74% | 1.21% | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GHY and JAAA have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GHY has higher volatility (3.04%) compared to JAAA (0.16%). In terms of maximum drawdown, GHY dropped -41.35% vs JAAA's -2.64%.
JAAA currently has the higher Sharpe Ratio (6.19 vs -0.14), 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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