PBEAX vs. SPYM

Last updated Jun 4, 2026

PBEAX (PGIM Jennison Value Fund) and SPYM (State Street SPDR Portfolio S&P 500 ETF) are both funds - PBEAX is a Large Cap Value Equities fund managed by PGIM, while SPYM is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, PBEAX returned 13.68%/yr vs 15.62%/yr for SPYM. Their correlation of 0.80 suggests significant overlap in exposure. PBEAX charges 1.09%/yr vs 0.02%/yr for SPYM.

Performance

PBEAX vs. SPYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Jennison Value Fund (PBEAX) and State Street SPDR Portfolio S&P 500 ETF (SPYM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PBEAX achieves a 12.96% return, which is significantly higher than SPYM's 10.98% return. Over the past 10 years, PBEAX has underperformed SPYM with an annualized return of 13.68%, while SPYM has yielded a comparatively higher 15.62% annualized return.

PBEAX

• 1D: 0.87%
• 1M: 4.67%
• YTD: 12.96%
• 6M: 14.06%
• 1Y: 29.66%
• 3Y*: 23.50%
• 5Y*: 13.39%
• 10Y*: 13.68%

SPYM

• 1D: -0.66%
• 1M: 5.06%
• YTD: 10.98%
• 6M: 10.98%
• 1Y: 28.09%
• 3Y*: 22.46%
• 5Y*: 13.91%
• 10Y*: 15.62%

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

PBEAX vs. SPYM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PBEAX PGIM Jennison Value Fund	12.96%	16.38%	27.95%	14.54%	-8.68%	26.72%	2.75%	36.07%	-10.53%	16.31%
SPYM State Street SPDR Portfolio S&P 500 ETF	10.98%	17.79%	25.00%	26.24%	-18.09%	28.78%	18.49%	31.99%	-4.78%	21.30%

Correlation

The correlation between PBEAX and SPYM is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since Nov 16, 2005	0.80

The correlation between PBEAX and SPYM has been stable across timeframes, ranging from 0.80 to 0.88 - a consistent structural relationship.

Return for Risk

PBEAX vs. SPYM — Risk / Return Rank

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

PBEAX

PBEAX Risk / Return Rank: 82
PBEAX Sharpe Ratio Rank: 86
PBEAX Sortino Ratio Rank: 81
PBEAX Omega Ratio Rank: 76
PBEAX Calmar Ratio Rank: 82
PBEAX Martin Ratio Rank: 85

SPYM

SPYM Risk / Return Rank: 70
SPYM Sharpe Ratio Rank: 71
SPYM Sortino Ratio Rank: 70
SPYM Omega Ratio Rank: 71
SPYM Calmar Ratio Rank: 62
SPYM Martin Ratio Rank: 76

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.

PBEAX vs. SPYM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison Value Fund (PBEAX) and State Street SPDR Portfolio S&P 500 ETF (SPYM). 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.

	PBEAX	SPYM	Difference
Sharpe ratio: Return per unit of total volatility	2.77	2.39	+0.38
Sortino ratio: Return per unit of downside risk	3.85	3.27	+0.58
Omega ratio: Gain probability vs. loss probability	1.50	1.44	+0.06
Calmar ratio: Return relative to maximum drawdown	3.83	3.17	+0.66
Martin ratio: Return relative to average drawdown	16.08	14.76	+1.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PBEAX vs. SPYM - Sharpe Ratio Comparison

The current PBEAX Sharpe Ratio is 2.77, which is comparable to the SPYM Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of PBEAX and SPYM, 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

	PBEAX	SPYM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.77	2.39	+0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.89	0.83	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	0.87	-0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.62	-0.06

Drawdowns

PBEAX vs. SPYM - Drawdown Comparison

The maximum PBEAX drawdown since its inception was -58.23%, which is greater than SPYM's maximum drawdown of -54.46%. Use the drawdown chart below to compare losses from any high point for PBEAX and SPYM.

Drawdown Indicators

	PBEAX	SPYM	Difference
Max Drawdown Largest peak-to-trough decline	-58.23%	-54.46%	-3.77%
Max Drawdown (1Y) Largest decline over 1 year	-7.99%	-8.90%	+0.91%
Max Drawdown (3Y) Largest decline over 3 years	-16.29%	-18.72%	+2.43%
Max Drawdown (5Y) Largest decline over 5 years	-20.02%	-24.48%	+4.46%
Max Drawdown (10Y) Largest decline over 10 years	-38.31%	-33.87%	-4.44%
Current Drawdown Current decline from peak	0.00%	-0.66%	+0.66%
Average Drawdown Average peak-to-trough decline	-7.97%	-7.15%	-0.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	1.91%	-0.01%

Volatility

PBEAX vs. SPYM - Volatility Comparison

PGIM Jennison Value Fund (PBEAX) has a higher volatility of 3.52% compared to State Street SPDR Portfolio S&P 500 ETF (SPYM) at 2.83%. This indicates that PBEAX's price experiences larger fluctuations and is considered to be riskier than SPYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PBEAX	SPYM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.52%	2.83%	+0.69%
Volatility (6M) Calculated over the trailing 6-month period	8.82%	8.90%	-0.08%
Volatility (1Y) Calculated over the trailing 1-year period	11.04%	11.80%	-0.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.16%	16.80%	-1.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.60%	18.00%	-0.40%

PBEAX vs. SPYM - Expense Ratio Comparison

PBEAX has a 1.09% expense ratio, which is higher than SPYM's 0.02% expense ratio.

Dividends

PBEAX vs. SPYM - Dividend Comparison

PBEAX's dividend yield for the trailing twelve months is around 8.95%, more than SPYM's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PBEAX PGIM Jennison Value Fund	8.95%	10.12%	14.05%	7.33%	8.28%	6.93%	4.01%	16.61%	10.18%	6.90%	4.26%	8.10%
SPYM State Street SPDR Portfolio S&P 500 ETF	1.00%	1.13%	1.28%	1.44%	1.69%	1.25%	1.54%	1.79%	2.23%	1.75%	1.97%	1.98%

Frequently Asked Questions

Can I hold both PBEAX and SPYM in my portfolio?

PBEAX and SPYM have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PBEAX or SPYM?

PBEAX has higher volatility (3.52%) compared to SPYM (2.83%). In terms of maximum drawdown, PBEAX dropped -58.23% vs SPYM's -54.46%.

Which has better risk-adjusted returns?

PBEAX currently has the higher Sharpe Ratio (2.77 vs 2.39), 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.