PortfoliosLab logo
PFRL vs. JAAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PFRL and JAAA is 0.13, 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. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Floating Rate Income ETF (PFRL) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

PFRL:

0.71

JAAA:

3.36

Sortino Ratio

PFRL:

0.88

JAAA:

4.37

Omega Ratio

PFRL:

1.39

JAAA:

2.31

Calmar Ratio

PFRL:

0.70

JAAA:

4.14

Martin Ratio

PFRL:

5.69

JAAA:

28.51

Ulcer Index

PFRL:

1.09%

JAAA:

0.21%

Daily Std Dev

PFRL:

8.59%

JAAA:

1.78%

Max Drawdown

PFRL:

-8.83%

JAAA:

-2.60%

Current Drawdown

PFRL:

-0.81%

JAAA:

0.00%

Returns By Period

In the year-to-date period, PFRL achieves a 0.56% return, which is significantly lower than JAAA's 1.49% return.


PFRL

YTD

0.56%

1M

2.94%

6M

1.53%

1Y

6.04%

5Y*

N/A

10Y*

N/A

JAAA

YTD

1.49%

1M

1.92%

6M

2.44%

1Y

5.92%

5Y*

N/A

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PFRL vs. JAAA - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than JAAA's 0.21% expense ratio.


Risk-Adjusted Performance

PFRL vs. JAAA — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PFRL
The Risk-Adjusted Performance Rank of PFRL is 7676
Overall Rank
The Sharpe Ratio Rank of PFRL is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of PFRL is 5858
Sortino Ratio Rank
The Omega Ratio Rank of PFRL is 9595
Omega Ratio Rank
The Calmar Ratio Rank of PFRL is 7272
Calmar Ratio Rank
The Martin Ratio Rank of PFRL is 8787
Martin Ratio Rank

JAAA
The Risk-Adjusted Performance Rank of JAAA is 9898
Overall Rank
The Sharpe Ratio Rank of JAAA is 9999
Sharpe Ratio Rank
The Sortino Ratio Rank of JAAA is 9898
Sortino Ratio Rank
The Omega Ratio Rank of JAAA is 9999
Omega Ratio Rank
The Calmar Ratio Rank of JAAA is 9797
Calmar Ratio Rank
The Martin Ratio Rank of JAAA is 9999
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PFRL vs. JAAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and Janus Henderson AAA CLO ETF (JAAA). 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.


The current PFRL Sharpe Ratio is 0.71, which is lower than the JAAA Sharpe Ratio of 3.36. The chart below compares the historical Sharpe Ratios of PFRL and JAAA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Loading data...

Dividends

PFRL vs. JAAA - Dividend Comparison

PFRL has not paid dividends to shareholders, while JAAA's dividend yield for the trailing twelve months is around 0.47%.


Drawdowns

PFRL vs. JAAA - Drawdown Comparison

The maximum PFRL drawdown since its inception was -8.83%, which is greater than JAAA's maximum drawdown of -2.60%. Use the drawdown chart below to compare losses from any high point for PFRL and JAAA. For additional features, visit the drawdowns tool.


Loading data...

Volatility

PFRL vs. JAAA - Volatility Comparison

PGIM Floating Rate Income ETF (PFRL) has a higher volatility of 0.80% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.60%. This indicates that PFRL's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...