PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
OOSAX vs. PRFRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

OOSAX vs. PRFRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Senior Floating Rate Fund (OOSAX) 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%JuneJulyAugustSeptemberOctoberNovember
3.75%
4.46%
OOSAX
PRFRX

Returns By Period

In the year-to-date period, OOSAX achieves a 6.72% return, which is significantly lower than PRFRX's 7.56% return. Over the past 10 years, OOSAX has underperformed PRFRX with an annualized return of 3.57%, while PRFRX has yielded a comparatively higher 4.50% annualized return.


OOSAX

YTD

6.72%

1M

0.42%

6M

3.75%

1Y

9.13%

5Y (annualized)

4.70%

10Y (annualized)

3.57%

PRFRX

YTD

7.56%

1M

0.88%

6M

4.35%

1Y

10.23%

5Y (annualized)

5.34%

10Y (annualized)

4.50%

Key characteristics


OOSAXPRFRX
Sharpe Ratio2.923.89
Sortino Ratio7.5412.60
Omega Ratio2.254.25
Calmar Ratio14.8613.59
Martin Ratio42.0272.02
Ulcer Index0.21%0.14%
Daily Std Dev3.07%2.63%
Max Drawdown-32.11%-20.05%
Current Drawdown-0.30%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


OOSAX vs. PRFRX - Expense Ratio Comparison

OOSAX has a 1.04% expense ratio, which is higher than PRFRX's 0.75% expense ratio.


OOSAX
Invesco Senior Floating Rate Fund
Expense ratio chart for OOSAX: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
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 OOSAX and PRFRX is 0.50, 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

OOSAX vs. PRFRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Senior Floating Rate Fund (OOSAX) 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 OOSAX, currently valued at 2.92, compared to the broader market-1.000.001.002.003.004.005.002.923.89
The chart of Sortino ratio for OOSAX, currently valued at 7.54, compared to the broader market0.005.0010.007.5412.60
The chart of Omega ratio for OOSAX, currently valued at 2.25, compared to the broader market1.002.003.004.002.254.25
The chart of Calmar ratio for OOSAX, currently valued at 14.86, compared to the broader market0.005.0010.0015.0020.0025.0014.8613.59
The chart of Martin ratio for OOSAX, currently valued at 42.02, compared to the broader market0.0020.0040.0060.0080.00100.0042.0272.02
OOSAX
PRFRX

The current OOSAX Sharpe Ratio is 2.92, which is comparable to the PRFRX Sharpe Ratio of 3.89. The chart below compares the historical Sharpe Ratios of OOSAX 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 Ratio3.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
2.92
3.89
OOSAX
PRFRX

Dividends

OOSAX vs. PRFRX - Dividend Comparison

OOSAX's dividend yield for the trailing twelve months is around 9.24%, more than PRFRX's 8.38% yield.


TTM20232022202120202019201820172016201520142013
OOSAX
Invesco Senior Floating Rate Fund
9.24%8.58%8.11%4.36%4.83%5.23%4.64%4.10%4.77%4.64%4.55%4.66%
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

OOSAX vs. PRFRX - Drawdown Comparison

The maximum OOSAX drawdown since its inception was -32.11%, which is greater than PRFRX's maximum drawdown of -20.05%. Use the drawdown chart below to compare losses from any high point for OOSAX and PRFRX. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.30%
0
OOSAX
PRFRX

Volatility

OOSAX vs. PRFRX - Volatility Comparison

Invesco Senior Floating Rate Fund (OOSAX) and T. Rowe Price Floating Rate Fund (PRFRX) have volatilities of 0.67% and 0.68%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.67%
0.68%
OOSAX
PRFRX