PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PHYQX vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PHYQX vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM High Yield Fund Class R6 (PHYQX) and Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.47%
12.22%
PHYQX
FXAIX

Returns By Period

In the year-to-date period, PHYQX achieves a 8.20% return, which is significantly lower than FXAIX's 25.56% return. Over the past 10 years, PHYQX has underperformed FXAIX with an annualized return of 5.17%, while FXAIX has yielded a comparatively higher 13.05% annualized return.


PHYQX

YTD

8.20%

1M

0.18%

6M

6.24%

1Y

14.34%

5Y (annualized)

4.29%

10Y (annualized)

5.17%

FXAIX

YTD

25.56%

1M

1.00%

6M

11.92%

1Y

31.93%

5Y (annualized)

15.65%

10Y (annualized)

13.05%

Key characteristics


PHYQXFXAIX
Sharpe Ratio3.732.69
Sortino Ratio6.793.58
Omega Ratio2.031.50
Calmar Ratio2.173.90
Martin Ratio23.4817.55
Ulcer Index0.62%1.88%
Daily Std Dev3.91%12.25%
Max Drawdown-21.12%-33.79%
Current Drawdown-0.43%-1.35%

Compare stocks, funds, or ETFs

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


PHYQX vs. FXAIX - Expense Ratio Comparison

PHYQX has a 0.38% expense ratio, which is higher than FXAIX's 0.02% expense ratio.


PHYQX
PGIM High Yield Fund Class R6
Expense ratio chart for PHYQX: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%
Expense ratio chart for FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Correlation

-0.50.00.51.00.4

The correlation between PHYQX and FXAIX is 0.39, 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

PHYQX vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM High Yield Fund Class R6 (PHYQX) and Fidelity 500 Index Fund (FXAIX). 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 PHYQX, currently valued at 3.73, compared to the broader market0.002.004.003.732.69
The chart of Sortino ratio for PHYQX, currently valued at 6.79, compared to the broader market0.005.0010.006.793.58
The chart of Omega ratio for PHYQX, currently valued at 2.03, compared to the broader market1.002.003.004.002.031.50
The chart of Calmar ratio for PHYQX, currently valued at 2.17, compared to the broader market0.005.0010.0015.0020.0025.002.173.90
The chart of Martin ratio for PHYQX, currently valued at 23.48, compared to the broader market0.0020.0040.0060.0080.00100.0023.4817.55
PHYQX
FXAIX

The current PHYQX Sharpe Ratio is 3.73, which is higher than the FXAIX Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of PHYQX and FXAIX, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.73
2.69
PHYQX
FXAIX

Dividends

PHYQX vs. FXAIX - Dividend Comparison

PHYQX's dividend yield for the trailing twelve months is around 7.47%, more than FXAIX's 1.23% yield.


TTM20232022202120202019201820172016201520142013
PHYQX
PGIM High Yield Fund Class R6
7.47%7.11%7.14%5.63%6.12%6.31%6.70%6.39%6.50%7.03%6.73%6.72%
FXAIX
Fidelity 500 Index Fund
1.23%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

PHYQX vs. FXAIX - Drawdown Comparison

The maximum PHYQX drawdown since its inception was -21.12%, smaller than the maximum FXAIX drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for PHYQX and FXAIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.43%
-1.35%
PHYQX
FXAIX

Volatility

PHYQX vs. FXAIX - Volatility Comparison

The current volatility for PGIM High Yield Fund Class R6 (PHYQX) is 0.72%, while Fidelity 500 Index Fund (FXAIX) has a volatility of 4.06%. This indicates that PHYQX experiences smaller price fluctuations and is considered to be less risky than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.72%
4.06%
PHYQX
FXAIX