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

Key characteristics


PFRLHIGH
YTD Return8.38%2.75%
1Y Return11.45%3.58%
Sharpe Ratio5.631.10
Sortino Ratio8.941.46
Omega Ratio2.521.28
Calmar Ratio11.351.06
Martin Ratio80.043.04
Ulcer Index0.15%1.18%
Daily Std Dev2.08%3.27%
Max Drawdown-3.27%-3.39%
Current Drawdown-0.09%-1.09%

Correlation

-0.50.00.51.00.1

The correlation between PFRL and HIGH is 0.11, 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

PFRL vs. HIGH - Performance Comparison

In the year-to-date period, PFRL achieves a 8.38% return, which is significantly higher than HIGH's 2.75% 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%-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
0.47%
PFRL
HIGH

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PFRL vs. HIGH - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than HIGH's 0.51% 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 HIGH: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%

Risk-Adjusted Performance

PFRL vs. HIGH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and Simplify Enhanced Income ETF (HIGH). 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.


PFRL
Sharpe ratio
The chart of Sharpe ratio for PFRL, currently valued at 5.63, compared to the broader market-2.000.002.004.006.005.63
Sortino ratio
The chart of Sortino ratio for PFRL, currently valued at 8.94, compared to the broader market0.005.0010.008.94
Omega ratio
The chart of Omega ratio for PFRL, currently valued at 2.52, compared to the broader market1.001.502.002.503.002.52
Calmar ratio
The chart of Calmar ratio for PFRL, currently valued at 11.35, compared to the broader market0.005.0010.0015.0011.35
Martin ratio
The chart of Martin ratio for PFRL, currently valued at 80.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0080.04
HIGH
Sharpe ratio
The chart of Sharpe ratio for HIGH, currently valued at 1.10, compared to the broader market-2.000.002.004.006.001.10
Sortino ratio
The chart of Sortino ratio for HIGH, currently valued at 1.46, compared to the broader market0.005.0010.001.46
Omega ratio
The chart of Omega ratio for HIGH, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for HIGH, currently valued at 1.06, compared to the broader market0.005.0010.0015.001.06
Martin ratio
The chart of Martin ratio for HIGH, currently valued at 3.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.04

PFRL vs. HIGH - Sharpe Ratio Comparison

The current PFRL Sharpe Ratio is 5.63, which is higher than the HIGH Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of PFRL and HIGH, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
5.63
1.10
PFRL
HIGH

Dividends

PFRL vs. HIGH - Dividend Comparison

PFRL's dividend yield for the trailing twelve months is around 9.32%, more than HIGH's 8.82% yield.


TTM20232022
PFRL
PGIM Floating Rate Income ETF
9.32%9.84%3.55%
HIGH
Simplify Enhanced Income ETF
8.82%9.39%0.62%

Drawdowns

PFRL vs. HIGH - Drawdown Comparison

The maximum PFRL drawdown since its inception was -3.27%, roughly equal to the maximum HIGH drawdown of -3.39%. Use the drawdown chart below to compare losses from any high point for PFRL and HIGH. For additional features, visit the drawdowns tool.


-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.09%
-1.09%
PFRL
HIGH

Volatility

PFRL vs. HIGH - Volatility Comparison

The current volatility for PGIM Floating Rate Income ETF (PFRL) is 0.49%, while Simplify Enhanced Income ETF (HIGH) has a volatility of 0.69%. This indicates that PFRL experiences smaller price fluctuations and is considered to be less risky than HIGH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
0.49%
0.69%
PFRL
HIGH