NCDL vs. PRFRX
NCDL (Nuveen Churchill Direct Lending Corp.) is a stock, while PRFRX (T. Rowe Price Floating Rate Fund) is High Yield Bonds fund managed by T. Rowe Price. Over the past year, NCDL returned -14.50% vs 5.38% for PRFRX. At a 0.14 correlation, their price movements are largely independent.
Performance
NCDL vs. PRFRX - Performance Comparison
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Returns By Period
In the year-to-date period, NCDL achieves a 2.64% return, which is significantly higher than PRFRX's 2.06% return.
NCDL
- 1D
- 1.90%
- 1M
- 3.90%
- 6M
- 1.20%
- YTD
- 2.64%
- 1Y
- -14.50%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PRFRX
- 1D
- 0.11%
- 1M
- 0.67%
- 6M
- 1.95%
- YTD
- 2.06%
- 1Y
- 5.38%
- 3Y*
- 12.05%
- 5Y*
- 9.09%
- 10Y*
- 6.48%
NCDL vs. PRFRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
NCDL Nuveen Churchill Direct Lending Corp. | 2.64% | -9.92% | 6.15% |
PRFRX T. Rowe Price Floating Rate Fund | 2.06% | 7.78% | 16.63% |
Correlation
The correlation between NCDL and PRFRX is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Jan 25, 2024 | 0.14 |
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Return for Risk
NCDL vs. PRFRX — Risk / Return Rank
NCDL
PRFRX
NCDL vs. PRFRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen Churchill Direct Lending Corp. (NCDL) 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.
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.
| NCDL | PRFRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.85 | ||
| Sortino ratioReturn per unit of downside risk | -5.90 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 1.77 | -0.85 |
| Calmar ratioReturn relative to maximum drawdown | -0.63 | 3.60 | -4.24 |
| Martin ratioReturn relative to average drawdown | -1.01 | 12.92 | -13.93 |
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Drawdowns
NCDL vs. PRFRX - Drawdown Comparison
The maximum NCDL drawdown since its inception was -22.29%, which is greater than PRFRX's maximum drawdown of -20.05%. Use the drawdown chart below to compare losses from any high point for NCDL and PRFRX.
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Drawdown Indicators
| NCDL | PRFRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.29% | -20.05% | -2.24% |
Max Drawdown (1Y)Largest decline over 1 year | -22.29% | -1.50% | -20.79% |
Max Drawdown (3Y)Largest decline over 3 years | — | -2.07% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -5.94% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -20.05% | — |
Current DrawdownCurrent decline from peak | -14.65% | 0.00% | -14.65% |
Average DrawdownAverage peak-to-trough decline | -7.29% | -0.68% | -6.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 14.03% | 0.42% | +13.61% |
Volatility
NCDL vs. PRFRX - Volatility Comparison
Nuveen Churchill Direct Lending Corp. (NCDL) has a higher volatility of 7.00% compared to T. Rowe Price Floating Rate Fund (PRFRX) at 0.57%. This indicates that NCDL's price experiences larger fluctuations and is considered to be riskier than PRFRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NCDL | PRFRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.00% | 0.57% | +6.43% |
Volatility (6M)Calculated over the trailing 6-month period | 18.42% | 1.78% | +16.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.54% | 2.43% | +20.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.42% | 3.15% | +17.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.42% | 4.01% | +16.41% |
Dividends
NCDL vs. PRFRX - Dividend Comparison
NCDL's dividend yield for the trailing twelve months is around 13.04%, more than PRFRX's 7.36% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NCDL Nuveen Churchill Direct Lending Corp. | 13.04% | 14.24% | 12.51% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PRFRX T. Rowe Price Floating Rate Fund | 7.36% | 8.11% | 15.09% | 15.33% | 4.03% | 3.86% | 4.00% | 4.84% | 4.87% | 4.04% | 4.07% | 4.07% |
Frequently Asked Questions
NCDL and PRFRX 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.
NCDL has higher volatility (7.00%) compared to PRFRX (0.57%). In terms of maximum drawdown, NCDL dropped -22.29% vs PRFRX's -20.05%.
PRFRX currently has the higher Sharpe Ratio (2.22 vs -0.63), 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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