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MFHVX vs. PRFRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

MFHVX vs. PRFRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Mesirow High Yield Fund (MFHVX) and T. Rowe Price Floating Rate Fund (PRFRX). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.42%
4.46%
MFHVX
PRFRX

Returns By Period

In the year-to-date period, MFHVX achieves a 9.31% return, which is significantly higher than PRFRX's 7.56% return.


MFHVX

YTD

9.31%

1M

0.40%

6M

4.42%

1Y

13.12%

5Y (annualized)

5.04%

10Y (annualized)

N/A

PRFRX

YTD

7.56%

1M

0.88%

6M

4.35%

1Y

10.23%

5Y (annualized)

5.34%

10Y (annualized)

4.50%

Key characteristics


MFHVXPRFRX
Sharpe Ratio5.203.89
Sortino Ratio8.8712.60
Omega Ratio2.474.25
Calmar Ratio2.9113.59
Martin Ratio59.2772.02
Ulcer Index0.22%0.14%
Daily Std Dev2.52%2.63%
Max Drawdown-20.95%-20.05%
Current Drawdown-0.23%0.00%

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MFHVX vs. PRFRX - Expense Ratio Comparison

MFHVX has a 1.43% expense ratio, which is higher than PRFRX's 0.75% expense ratio.


MFHVX
Mesirow High Yield Fund
Expense ratio chart for MFHVX: current value at 1.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.43%
Expense ratio chart for PRFRX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Correlation

-0.50.00.51.00.5

The correlation between MFHVX and PRFRX is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

MFHVX vs. PRFRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Mesirow High Yield Fund (MFHVX) and T. Rowe Price Floating Rate Fund (PRFRX). 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.


Sharpe ratio
The chart of Sharpe ratio for MFHVX, currently valued at 5.20, compared to the broader market-1.000.001.002.003.004.005.005.203.89
The chart of Sortino ratio for MFHVX, currently valued at 8.87, compared to the broader market0.005.0010.008.8712.60
The chart of Omega ratio for MFHVX, currently valued at 2.47, compared to the broader market1.002.003.004.002.474.25
The chart of Calmar ratio for MFHVX, currently valued at 2.91, compared to the broader market0.005.0010.0015.0020.0025.002.9113.59
The chart of Martin ratio for MFHVX, currently valued at 59.27, compared to the broader market0.0020.0040.0060.0080.00100.0059.2772.02
MFHVX
PRFRX

The current MFHVX Sharpe Ratio is 5.20, which is higher than the PRFRX Sharpe Ratio of 3.89. The chart below compares the historical Sharpe Ratios of MFHVX and PRFRX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio3.504.004.505.005.50JuneJulyAugustSeptemberOctoberNovember
5.20
3.89
MFHVX
PRFRX

Dividends

MFHVX vs. PRFRX - Dividend Comparison

MFHVX's dividend yield for the trailing twelve months is around 9.30%, more than PRFRX's 8.38% yield.


TTM20232022202120202019201820172016201520142013
MFHVX
Mesirow High Yield Fund
9.30%9.67%8.96%6.49%7.00%6.79%0.45%0.00%0.00%0.00%0.00%0.00%
PRFRX
T. Rowe Price Floating Rate Fund
8.38%8.33%5.20%3.87%4.00%4.84%4.86%4.04%4.08%4.08%3.85%3.53%

Drawdowns

MFHVX vs. PRFRX - Drawdown Comparison

The maximum MFHVX drawdown since its inception was -20.95%, roughly equal to the maximum PRFRX drawdown of -20.05%. Use the drawdown chart below to compare losses from any high point for MFHVX and PRFRX. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.23%
0
MFHVX
PRFRX

Volatility

MFHVX vs. PRFRX - Volatility Comparison

The current volatility for Mesirow High Yield Fund (MFHVX) is 0.60%, while T. Rowe Price Floating Rate Fund (PRFRX) has a volatility of 0.68%. This indicates that MFHVX experiences smaller price fluctuations and is considered to be less risky than PRFRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%JuneJulyAugustSeptemberOctoberNovember
0.60%
0.68%
MFHVX
PRFRX