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

Key characteristics


PFRLIGHG
YTD Return8.38%8.19%
1Y Return11.45%10.54%
Sharpe Ratio5.632.59
Sortino Ratio8.943.70
Omega Ratio2.521.53
Calmar Ratio11.354.14
Martin Ratio80.0419.93
Ulcer Index0.15%0.55%
Daily Std Dev2.08%4.20%
Max Drawdown-3.27%-25.16%
Current Drawdown-0.09%-0.19%

Correlation

-0.50.00.51.00.3

The correlation between PFRL and IGHG is 0.34, 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. IGHG - Performance Comparison

The year-to-date returns for both stocks are quite close, with PFRL having a 8.38% return and IGHG slightly lower at 8.19%. 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%5.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
4.58%
PFRL
IGHG

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PFRL vs. IGHG - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than IGHG's 0.30% 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 IGHG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

PFRL vs. IGHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and ProShares Investment Grade-Interest Rate Hedged (IGHG). 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
IGHG
Sharpe ratio
The chart of Sharpe ratio for IGHG, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for IGHG, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for IGHG, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for IGHG, currently valued at 4.14, compared to the broader market0.005.0010.0015.004.14
Martin ratio
The chart of Martin ratio for IGHG, currently valued at 19.93, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.93

PFRL vs. IGHG - Sharpe Ratio Comparison

The current PFRL Sharpe Ratio is 5.63, which is higher than the IGHG Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of PFRL and IGHG, 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 Ratio2.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
5.63
2.59
PFRL
IGHG

Dividends

PFRL vs. IGHG - Dividend Comparison

PFRL's dividend yield for the trailing twelve months is around 9.32%, more than IGHG's 5.08% yield.


TTM20232022202120202019201820172016201520142013
PFRL
PGIM Floating Rate Income ETF
9.32%9.84%3.55%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IGHG
ProShares Investment Grade-Interest Rate Hedged
5.08%4.99%3.55%2.50%2.78%3.48%4.13%3.36%3.37%3.64%3.59%0.55%

Drawdowns

PFRL vs. IGHG - Drawdown Comparison

The maximum PFRL drawdown since its inception was -3.27%, smaller than the maximum IGHG drawdown of -25.16%. Use the drawdown chart below to compare losses from any high point for PFRL and IGHG. For additional features, visit the drawdowns tool.


-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.09%
-0.19%
PFRL
IGHG

Volatility

PFRL vs. IGHG - Volatility Comparison

The current volatility for PGIM Floating Rate Income ETF (PFRL) is 0.49%, while ProShares Investment Grade-Interest Rate Hedged (IGHG) has a volatility of 1.87%. This indicates that PFRL experiences smaller price fluctuations and is considered to be less risky than IGHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.49%
1.87%
PFRL
IGHG