JFR vs. HYI

Last updated Jun 3, 2026

JFR (Nuveen Floating Rate Income Fund) and HYI (Western Asset High Yield Opportunity Fund Inc) are both High Yield Bonds funds. Over the past 10 years, JFR returned 5.95%/yr vs 5.36%/yr for HYI. At a 0.33 correlation, their price movements are largely independent. JFR charges 0.02%/yr vs 0.01%/yr for HYI.

Performance

JFR vs. HYI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nuveen Floating Rate Income Fund (JFR) and Western Asset High Yield Opportunity Fund Inc (HYI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JFR achieves a 2.86% return, which is significantly higher than HYI's -0.60% return. Over the past 10 years, JFR has outperformed HYI with an annualized return of 5.95%, while HYI has yielded a comparatively lower 5.36% annualized return.

JFR

• 1D: 0.26%
• 1M: 2.51%
• YTD: 2.86%
• 6M: 2.68%
• 1Y: 3.98%
• 3Y*: 11.98%
• 5Y*: 6.00%
• 10Y*: 5.95%

HYI

• 1D: 0.09%
• 1M: -1.24%
• YTD: -0.60%
• 6M: 0.93%
• 1Y: -0.35%
• 3Y*: 6.34%
• 5Y*: 1.68%
• 10Y*: 5.36%

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

JFR vs. HYI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JFR Nuveen Floating Rate Income Fund	2.86%	-0.68%	21.92%	16.61%	-15.15%	24.66%	-8.05%	19.65%	-11.69%	2.94%
HYI Western Asset High Yield Opportunity Fund Inc	-0.60%	4.09%	7.58%	6.72%	-13.48%	10.04%	6.78%	27.90%	-6.36%	8.57%

Correlation

The correlation between JFR and HYI is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.34
Correlation (5Y) Calculated over the trailing 5-year period	0.35
Correlation (10Y) Calculated over the trailing 10-year period	0.33
Correlation (All Time) Calculated using the full available price history since Oct 28, 2010	0.33

The correlation between JFR and HYI shifts across timeframes, from 0.33 (all time) to 0.43 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

JFR vs. HYI — Risk / Return Rank

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

JFR

JFR Risk / Return Rank: 6
JFR Sharpe Ratio Rank: 6
JFR Sortino Ratio Rank: 6
JFR Omega Ratio Rank: 6
JFR Calmar Ratio Rank: 5
JFR Martin Ratio Rank: 5

HYI

HYI Risk / Return Rank: 2
HYI Sharpe Ratio Rank: 3
HYI Sortino Ratio Rank: 2
HYI Omega Ratio Rank: 2
HYI Calmar Ratio Rank: 2
HYI Martin Ratio Rank: 2

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.

JFR vs. HYI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Nuveen Floating Rate Income Fund (JFR) and Western Asset High Yield Opportunity Fund Inc (HYI). 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.

	JFR	HYI	Difference
Sharpe ratio Return per unit of total volatility	0.47	-0.05	+0.52
Sortino ratio Return per unit of downside risk	0.78	-0.02	+0.80
Omega ratio Gain probability vs. loss probability	1.09	1.00	+0.10
Calmar ratio Return relative to maximum drawdown	0.55	-0.10	+0.65
Martin ratio Return relative to average drawdown	1.43	-0.21	+1.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JFR vs. HYI - Sharpe Ratio Comparison

The current JFR Sharpe Ratio is 0.47, which is higher than the HYI Sharpe Ratio of -0.05. The chart below compares the historical Sharpe Ratios of JFR and HYI, 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

	JFR	HYI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.47	-0.05	+0.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.15	+0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.36	0.42	-0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.28	0.36	-0.08

Drawdowns

JFR vs. HYI - Drawdown Comparison

The maximum JFR drawdown since its inception was -62.61%, which is greater than HYI's maximum drawdown of -36.06%. Use the drawdown chart below to compare losses from any high point for JFR and HYI.

Drawdown Indicators

	JFR	HYI	Difference
Max Drawdown Largest peak-to-trough decline	-62.61%	-36.06%	-26.55%
Max Drawdown (1Y) Largest decline over 1 year	-8.62%	-8.19%	-0.43%
Max Drawdown (3Y) Largest decline over 3 years	-15.29%	-8.19%	-7.10%
Max Drawdown (5Y) Largest decline over 5 years	-20.40%	-26.35%	+5.95%
Max Drawdown (10Y) Largest decline over 10 years	-47.71%	-36.06%	-11.65%
Current Drawdown Current decline from peak	-0.60%	-5.12%	+4.52%
Average Drawdown Average peak-to-trough decline	-8.79%	-5.80%	-2.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.32%	4.07%	-0.75%

Volatility

JFR vs. HYI - Volatility Comparison

The current volatility for Nuveen Floating Rate Income Fund (JFR) is 1.77%, while Western Asset High Yield Opportunity Fund Inc (HYI) has a volatility of 1.90%. This indicates that JFR experiences smaller price fluctuations and is considered to be less risky than HYI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JFR	HYI	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.77%	1.90%	-0.13%
Volatility (6M) Calculated over the trailing 6-month period	7.07%	5.35%	+1.72%
Volatility (1Y) Calculated over the trailing 1-year period	8.53%	6.94%	+1.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.81%	11.27%	+1.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.65%	12.95%	+3.70%

JFR vs. HYI - Expense Ratio Comparison

JFR has a 0.02% expense ratio, which is higher than HYI's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

JFR vs. HYI - Dividend Comparison

JFR's dividend yield for the trailing twelve months is around 13.08%, more than HYI's 10.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HYI Western Asset High Yield Opportunity Fund Inc	10.73%	10.22%	9.64%	9.40%	9.09%	7.19%	7.35%	6.87%	8.10%	7.81%	8.73%	9.36%
JFR Nuveen Floating Rate Income Fund	13.08%	13.03%	11.43%	11.51%	9.61%	6.66%	7.19%	7.19%	7.95%	7.23%	6.38%	7.03%

Frequently Asked Questions

Can I hold both JFR and HYI in my portfolio?

JFR and HYI have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JFR or HYI?

HYI has higher volatility (1.90%) compared to JFR (1.77%). In terms of maximum drawdown, JFR dropped -62.61% vs HYI's -36.06%.

Which has better risk-adjusted returns?

JFR currently has the higher Sharpe Ratio (0.47 vs -0.05), 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.