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PBHAX vs. BIL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PBHAXBIL
YTD Return8.08%4.53%
1Y Return15.43%5.28%
3Y Return (Ann)2.05%3.63%
5Y Return (Ann)3.86%2.26%
10Y Return (Ann)4.75%1.55%
Sharpe Ratio3.7720.36
Sortino Ratio6.92273.01
Omega Ratio2.02158.62
Calmar Ratio1.83482.85
Martin Ratio24.434,446.78
Ulcer Index0.63%0.00%
Daily Std Dev4.11%0.26%
Max Drawdown-28.75%-0.77%
Current Drawdown-0.25%-0.01%

Correlation

-0.50.00.51.0-0.0

The correlation between PBHAX and BIL is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

PBHAX vs. BIL - Performance Comparison

In the year-to-date period, PBHAX achieves a 8.08% return, which is significantly higher than BIL's 4.53% return. Over the past 10 years, PBHAX has outperformed BIL with an annualized return of 4.75%, while BIL has yielded a comparatively lower 1.55% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
6.72%
2.54%
PBHAX
BIL

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PBHAX vs. BIL - Expense Ratio Comparison

PBHAX has a 0.75% expense ratio, which is higher than BIL's 0.14% expense ratio.


PBHAX
PGIM High Yield Fund
Expense ratio chart for PBHAX: 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%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

PBHAX vs. BIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM High Yield Fund (PBHAX) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). 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.


PBHAX
Sharpe ratio
The chart of Sharpe ratio for PBHAX, currently valued at 3.77, compared to the broader market0.002.004.003.77
Sortino ratio
The chart of Sortino ratio for PBHAX, currently valued at 6.92, compared to the broader market0.005.0010.006.92
Omega ratio
The chart of Omega ratio for PBHAX, currently valued at 2.02, compared to the broader market1.002.003.004.002.02
Calmar ratio
The chart of Calmar ratio for PBHAX, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.0025.001.83
Martin ratio
The chart of Martin ratio for PBHAX, currently valued at 24.43, compared to the broader market0.0020.0040.0060.0080.00100.0024.43
BIL
Sharpe ratio
The chart of Sharpe ratio for BIL, currently valued at 20.36, compared to the broader market0.002.004.0020.36
Sortino ratio
The chart of Sortino ratio for BIL, currently valued at 273.01, compared to the broader market0.005.0010.00273.01
Omega ratio
The chart of Omega ratio for BIL, currently valued at 158.62, compared to the broader market1.002.003.004.00158.62
Calmar ratio
The chart of Calmar ratio for BIL, currently valued at 482.85, compared to the broader market0.005.0010.0015.0020.0025.00482.85
Martin ratio
The chart of Martin ratio for BIL, currently valued at 4446.78, compared to the broader market0.0020.0040.0060.0080.00100.004,446.78

PBHAX vs. BIL - Sharpe Ratio Comparison

The current PBHAX Sharpe Ratio is 3.77, which is lower than the BIL Sharpe Ratio of 20.36. The chart below compares the historical Sharpe Ratios of PBHAX and BIL, 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 Ratio0.005.0010.0015.0020.00JuneJulyAugustSeptemberOctoberNovember
3.77
20.36
PBHAX
BIL

Dividends

PBHAX vs. BIL - Dividend Comparison

PBHAX's dividend yield for the trailing twelve months is around 7.11%, more than BIL's 5.15% yield.


TTM20232022202120202019201820172016201520142013
PBHAX
PGIM High Yield Fund
7.11%6.77%6.74%5.25%5.70%5.99%6.27%6.01%6.20%6.65%6.37%6.39%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

PBHAX vs. BIL - Drawdown Comparison

The maximum PBHAX drawdown since its inception was -28.75%, which is greater than BIL's maximum drawdown of -0.77%. Use the drawdown chart below to compare losses from any high point for PBHAX and BIL. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.25%
-0.01%
PBHAX
BIL

Volatility

PBHAX vs. BIL - Volatility Comparison

PGIM High Yield Fund (PBHAX) has a higher volatility of 0.72% compared to SPDR Barclays 1-3 Month T-Bill ETF (BIL) at 0.08%. This indicates that PBHAX's price experiences larger fluctuations and is considered to be riskier than BIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.20%0.40%0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.72%
0.08%
PBHAX
BIL