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PFRL vs. CLOZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PFRL vs. CLOZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Floating Rate Income ETF (PFRL) and Panagram Bbb-B Clo ETF (CLOZ). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.23%
5.29%
PFRL
CLOZ

Returns By Period

In the year-to-date period, PFRL achieves a 8.52% return, which is significantly lower than CLOZ's 10.55% return.


PFRL

YTD

8.52%

1M

0.72%

6M

4.23%

1Y

11.14%

5Y (annualized)

N/A

10Y (annualized)

N/A

CLOZ

YTD

10.55%

1M

1.75%

6M

5.37%

1Y

13.12%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PFRLCLOZ
Sharpe Ratio5.466.29
Sortino Ratio8.589.31
Omega Ratio2.453.22
Calmar Ratio10.929.94
Martin Ratio76.9060.41
Ulcer Index0.15%0.23%
Daily Std Dev2.06%2.19%
Max Drawdown-3.27%-2.70%
Current Drawdown-0.11%0.00%

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PFRL vs. CLOZ - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than CLOZ's 0.50% expense ratio.


PFRL
PGIM Floating Rate Income ETF
Expense ratio chart for PFRL: current value at 0.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.72%
Expense ratio chart for CLOZ: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Correlation

-0.50.00.51.00.2

The correlation between PFRL and CLOZ is 0.15, 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.

Risk-Adjusted Performance

PFRL vs. CLOZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and Panagram Bbb-B Clo ETF (CLOZ). 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 PFRL, currently valued at 5.46, compared to the broader market0.002.004.006.005.466.29
The chart of Sortino ratio for PFRL, currently valued at 8.58, compared to the broader market-2.000.002.004.006.008.0010.008.589.31
The chart of Omega ratio for PFRL, currently valued at 2.45, compared to the broader market0.501.001.502.002.503.002.453.22
The chart of Calmar ratio for PFRL, currently valued at 10.92, compared to the broader market0.005.0010.0015.0010.929.94
The chart of Martin ratio for PFRL, currently valued at 76.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0076.9060.41
PFRL
CLOZ

The current PFRL Sharpe Ratio is 5.46, which is comparable to the CLOZ Sharpe Ratio of 6.29. The chart below compares the historical Sharpe Ratios of PFRL and CLOZ, 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 Ratio4.005.006.007.008.00JuneJulyAugustSeptemberOctoberNovember
5.46
6.29
PFRL
CLOZ

Dividends

PFRL vs. CLOZ - Dividend Comparison

PFRL's dividend yield for the trailing twelve months is around 9.31%, more than CLOZ's 9.00% yield.


TTM20232022
PFRL
PGIM Floating Rate Income ETF
9.31%9.84%3.55%
CLOZ
Panagram Bbb-B Clo ETF
9.00%8.81%0.00%

Drawdowns

PFRL vs. CLOZ - Drawdown Comparison

The maximum PFRL drawdown since its inception was -3.27%, which is greater than CLOZ's maximum drawdown of -2.70%. Use the drawdown chart below to compare losses from any high point for PFRL and CLOZ. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.11%
0
PFRL
CLOZ

Volatility

PFRL vs. CLOZ - Volatility Comparison

PGIM Floating Rate Income ETF (PFRL) and Panagram Bbb-B Clo ETF (CLOZ) have volatilities of 0.50% and 0.50%, 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%JuneJulyAugustSeptemberOctoberNovember
0.50%
0.50%
PFRL
CLOZ