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PHYQX vs. VITSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PHYQX vs. VITSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM High Yield Fund Class R6 (PHYQX) and Vanguard Total Stock Market Index Fund Institutional Shares (VITSX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.47%
12.43%
PHYQX
VITSX

Returns By Period

In the year-to-date period, PHYQX achieves a 8.20% return, which is significantly lower than VITSX's 24.67% return. Over the past 10 years, PHYQX has underperformed VITSX with an annualized return of 5.17%, while VITSX has yielded a comparatively higher 12.64% annualized return.


PHYQX

YTD

8.20%

1M

0.18%

6M

6.24%

1Y

14.34%

5Y (annualized)

4.29%

10Y (annualized)

5.17%

VITSX

YTD

24.67%

1M

1.37%

6M

12.08%

1Y

32.16%

5Y (annualized)

14.99%

10Y (annualized)

12.64%

Key characteristics


PHYQXVITSX
Sharpe Ratio3.732.64
Sortino Ratio6.793.52
Omega Ratio2.031.48
Calmar Ratio2.173.87
Martin Ratio23.4816.87
Ulcer Index0.62%1.96%
Daily Std Dev3.91%12.57%
Max Drawdown-21.12%-55.31%
Current Drawdown-0.43%-1.56%

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PHYQX vs. VITSX - Expense Ratio Comparison

PHYQX has a 0.38% expense ratio, which is higher than VITSX's 0.03% 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 VITSX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.4

The correlation between PHYQX and VITSX 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. VITSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM High Yield Fund Class R6 (PHYQX) and Vanguard Total Stock Market Index Fund Institutional Shares (VITSX). 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 market0.002.004.003.732.64
The chart of Sortino ratio for PHYQX, currently valued at 6.79, compared to the broader market0.005.0010.006.793.52
The chart of Omega ratio for PHYQX, currently valued at 2.03, compared to the broader market1.002.003.004.002.031.48
The chart of Calmar ratio for PHYQX, currently valued at 2.17, compared to the broader market0.005.0010.0015.0020.0025.002.173.87
The chart of Martin ratio for PHYQX, currently valued at 23.48, compared to the broader market0.0020.0040.0060.0080.00100.0023.4816.87
PHYQX
VITSX

The current PHYQX Sharpe Ratio is 3.73, which is higher than the VITSX Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of PHYQX and VITSX, 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
2.64
PHYQX
VITSX

Dividends

PHYQX vs. VITSX - Dividend Comparison

PHYQX's dividend yield for the trailing twelve months is around 7.47%, more than VITSX's 1.28% 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%
VITSX
Vanguard Total Stock Market Index Fund Institutional Shares
1.28%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.93%1.99%1.77%1.75%

Drawdowns

PHYQX vs. VITSX - Drawdown Comparison

The maximum PHYQX drawdown since its inception was -21.12%, smaller than the maximum VITSX drawdown of -55.31%. Use the drawdown chart below to compare losses from any high point for PHYQX and VITSX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.43%
-1.56%
PHYQX
VITSX

Volatility

PHYQX vs. VITSX - Volatility Comparison

The current volatility for PGIM High Yield Fund Class R6 (PHYQX) is 0.72%, while Vanguard Total Stock Market Index Fund Institutional Shares (VITSX) has a volatility of 4.26%. This indicates that PHYQX experiences smaller price fluctuations and is considered to be less risky than VITSX 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%
4.26%
PHYQX
VITSX