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

Key characteristics


PFRLXHYT
YTD Return8.45%6.84%
1Y Return11.49%14.12%
Sharpe Ratio5.562.47
Sortino Ratio8.803.80
Omega Ratio2.491.47
Calmar Ratio11.162.00
Martin Ratio78.697.92
Ulcer Index0.15%1.72%
Daily Std Dev2.07%5.52%
Max Drawdown-3.27%-13.49%
Current Drawdown-0.03%-0.70%

Correlation

-0.50.00.51.00.4

The correlation between PFRL and XHYT is 0.40, 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. XHYT - Performance Comparison

In the year-to-date period, PFRL achieves a 8.45% return, which is significantly higher than XHYT's 6.84% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.32%
9.83%
PFRL
XHYT

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PFRL vs. XHYT - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than XHYT's 0.35% 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 XHYT: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

PFRL vs. XHYT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and BondBloxx US High Yield Telecom Media Technology Sector ETF (XHYT). 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 5.56, compared to the broader market-2.000.002.004.005.56
Sortino ratio
The chart of Sortino ratio for PFRL, currently valued at 8.80, compared to the broader market0.005.0010.008.80
Omega ratio
The chart of Omega ratio for PFRL, currently valued at 2.49, compared to the broader market1.001.502.002.503.002.49
Calmar ratio
The chart of Calmar ratio for PFRL, currently valued at 11.16, compared to the broader market0.005.0010.0015.0011.16
Martin ratio
The chart of Martin ratio for PFRL, currently valued at 78.69, compared to the broader market0.0020.0040.0060.0080.00100.0078.69
XHYT
Sharpe ratio
The chart of Sharpe ratio for XHYT, currently valued at 2.47, compared to the broader market-2.000.002.004.002.47
Sortino ratio
The chart of Sortino ratio for XHYT, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for XHYT, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for XHYT, currently valued at 3.20, compared to the broader market0.005.0010.0015.003.20
Martin ratio
The chart of Martin ratio for XHYT, currently valued at 7.92, compared to the broader market0.0020.0040.0060.0080.00100.007.92

PFRL vs. XHYT - Sharpe Ratio Comparison

The current PFRL Sharpe Ratio is 5.56, which is higher than the XHYT Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of PFRL and XHYT, 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
5.56
2.47
PFRL
XHYT

Dividends

PFRL vs. XHYT - Dividend Comparison

PFRL's dividend yield for the trailing twelve months is around 9.31%, more than XHYT's 8.12% yield.


TTM20232022
PFRL
PGIM Floating Rate Income ETF
9.31%9.84%3.55%
XHYT
BondBloxx US High Yield Telecom Media Technology Sector ETF
8.12%7.54%5.72%

Drawdowns

PFRL vs. XHYT - Drawdown Comparison

The maximum PFRL drawdown since its inception was -3.27%, smaller than the maximum XHYT drawdown of -13.49%. Use the drawdown chart below to compare losses from any high point for PFRL and XHYT. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.03%
-0.70%
PFRL
XHYT

Volatility

PFRL vs. XHYT - Volatility Comparison

The current volatility for PGIM Floating Rate Income ETF (PFRL) is 0.49%, while BondBloxx US High Yield Telecom Media Technology Sector ETF (XHYT) has a volatility of 1.54%. This indicates that PFRL experiences smaller price fluctuations and is considered to be less risky than XHYT 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%
1.54%
PFRL
XHYT