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

Key characteristics


PBHAXVDIGX
YTD Return8.08%13.09%
1Y Return15.43%21.88%
3Y Return (Ann)2.05%6.43%
5Y Return (Ann)3.86%11.13%
10Y Return (Ann)4.75%11.09%
Sharpe Ratio3.772.59
Sortino Ratio6.923.53
Omega Ratio2.021.47
Calmar Ratio1.834.61
Martin Ratio24.4314.29
Ulcer Index0.63%1.59%
Daily Std Dev4.11%8.76%
Max Drawdown-28.75%-45.23%
Current Drawdown-0.25%-2.13%

Correlation

-0.50.00.51.00.2

The correlation between PBHAX and VDIGX is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

PBHAX vs. VDIGX - Performance Comparison

In the year-to-date period, PBHAX achieves a 8.08% return, which is significantly lower than VDIGX's 13.09% return. Over the past 10 years, PBHAX has underperformed VDIGX with an annualized return of 4.75%, while VDIGX has yielded a comparatively higher 11.09% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.72%
7.52%
PBHAX
VDIGX

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PBHAX vs. VDIGX - Expense Ratio Comparison

PBHAX has a 0.75% expense ratio, which is higher than VDIGX's 0.27% 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 VDIGX: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%

Risk-Adjusted Performance

PBHAX vs. VDIGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM High Yield Fund (PBHAX) and Vanguard Dividend Growth Fund (VDIGX). 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
VDIGX
Sharpe ratio
The chart of Sharpe ratio for VDIGX, currently valued at 2.59, compared to the broader market0.002.004.002.59
Sortino ratio
The chart of Sortino ratio for VDIGX, currently valued at 3.53, compared to the broader market0.005.0010.003.53
Omega ratio
The chart of Omega ratio for VDIGX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for VDIGX, currently valued at 4.61, compared to the broader market0.005.0010.0015.0020.0025.004.61
Martin ratio
The chart of Martin ratio for VDIGX, currently valued at 14.29, compared to the broader market0.0020.0040.0060.0080.00100.0014.29

PBHAX vs. VDIGX - Sharpe Ratio Comparison

The current PBHAX Sharpe Ratio is 3.77, which is higher than the VDIGX Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of PBHAX and VDIGX, 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 Ratio1.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.77
2.59
PBHAX
VDIGX

Dividends

PBHAX vs. VDIGX - Dividend Comparison

PBHAX's dividend yield for the trailing twelve months is around 7.11%, more than VDIGX's 1.63% 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%
VDIGX
Vanguard Dividend Growth Fund
1.63%1.69%1.67%1.46%1.62%1.72%2.15%1.92%1.92%1.93%1.91%1.80%

Drawdowns

PBHAX vs. VDIGX - Drawdown Comparison

The maximum PBHAX drawdown since its inception was -28.75%, smaller than the maximum VDIGX drawdown of -45.23%. Use the drawdown chart below to compare losses from any high point for PBHAX and VDIGX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.25%
-2.13%
PBHAX
VDIGX

Volatility

PBHAX vs. VDIGX - Volatility Comparison

The current volatility for PGIM High Yield Fund (PBHAX) is 0.72%, while Vanguard Dividend Growth Fund (VDIGX) has a volatility of 2.60%. This indicates that PBHAX experiences smaller price fluctuations and is considered to be less risky than VDIGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
0.72%
2.60%
PBHAX
VDIGX