PRCFX vs. SPHY

Last updated Jun 4, 2026

PRCFX (T. Rowe Price Capital Appreciation and Income Fund) and SPHY (SPDR Portfolio High Yield Bond ETF) are both funds - PRCFX is a Diversified Portfolio fund actively managed by T. Rowe Price, while SPHY is a High Yield Bonds fund tracking the ICE BofAML US High Yield Index. PRCFX is actively managed, while SPHY is passively managed. Over the past year, PRCFX returned 11.91% vs 7.16% for SPHY. A 0.77 correlation means they provide meaningful diversification when combined. PRCFX charges 0.65%/yr vs 0.10%/yr for SPHY.

Performance

PRCFX vs. SPHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Capital Appreciation and Income Fund (PRCFX) and SPDR Portfolio High Yield Bond ETF (SPHY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PRCFX achieves a 3.59% return, which is significantly higher than SPHY's 1.54% return.

PRCFX

• 1D: -0.03%
• 1M: 1.98%
• YTD: 3.59%
• 6M: 3.62%
• 1Y: 11.91%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPHY

• 1D: -0.21%
• 1M: 0.42%
• YTD: 1.54%
• 6M: 1.93%
• 1Y: 7.16%
• 3Y*: 8.97%
• 5Y*: 4.39%
• 10Y*: 5.15%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PRCFX vs. SPHY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PRCFX T. Rowe Price Capital Appreciation and Income Fund	3.59%	11.26%	8.76%	3.10%
SPHY SPDR Portfolio High Yield Bond ETF	1.54%	8.59%	8.54%	3.43%

Correlation

The correlation between PRCFX and SPHY is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (All Time) Calculated using the full available price history since Dec 1, 2023	0.77

The correlation between PRCFX and SPHY has been stable across timeframes, ranging from 0.77 to 0.77 - a consistent structural relationship.

Return for Risk

PRCFX vs. SPHY — Risk / Return Rank

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

PRCFX

PRCFX Risk / Return Rank: 64
PRCFX Sharpe Ratio Rank: 64
PRCFX Sortino Ratio Rank: 68
PRCFX Omega Ratio Rank: 65
PRCFX Calmar Ratio Rank: 51
PRCFX Martin Ratio Rank: 71

SPHY

SPHY Risk / Return Rank: 62
SPHY Sharpe Ratio Rank: 56
SPHY Sortino Ratio Rank: 62
SPHY Omega Ratio Rank: 62
SPHY Calmar Ratio Rank: 59
SPHY Martin Ratio Rank: 71

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PRCFX vs. SPHY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Capital Appreciation and Income Fund (PRCFX) and SPDR Portfolio High Yield Bond ETF (SPHY). 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.

	PRCFX	SPHY	Difference
Sharpe ratio: Return per unit of total volatility	2.35	1.96	+0.40
Sortino ratio: Return per unit of downside risk	3.45	2.98	+0.47
Omega ratio: Gain probability vs. loss probability	1.45	1.39	+0.06
Calmar ratio: Return relative to maximum drawdown	2.72	2.98	-0.26
Martin ratio: Return relative to average drawdown	13.65	13.52	+0.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PRCFX vs. SPHY - Sharpe Ratio Comparison

The current PRCFX Sharpe Ratio is 2.35, which is comparable to the SPHY Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of PRCFX and SPHY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PRCFX	SPHY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.35	1.96	+0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.62	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.65	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.68	0.64	+1.04

Drawdowns

PRCFX vs. SPHY - Drawdown Comparison

The maximum PRCFX drawdown since its inception was -6.57%, smaller than the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for PRCFX and SPHY.

Drawdown Indicators

	PRCFX	SPHY	Difference
Max Drawdown Largest peak-to-trough decline	-6.57%	-21.97%	+15.40%
Max Drawdown (1Y) Largest decline over 1 year	-4.50%	-2.41%	-2.09%
Max Drawdown (3Y) Largest decline over 3 years	—	-4.85%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-15.29%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-21.97%	—
Current Drawdown Current decline from peak	-0.13%	-0.22%	+0.09%
Average Drawdown Average peak-to-trough decline	-0.69%	-2.29%	+1.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.90%	0.53%	+0.37%

Volatility

PRCFX vs. SPHY - Volatility Comparison

T. Rowe Price Capital Appreciation and Income Fund (PRCFX) has a higher volatility of 1.65% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.14%. This indicates that PRCFX's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PRCFX	SPHY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.65%	1.14%	+0.51%
Volatility (6M) Calculated over the trailing 6-month period	4.18%	2.91%	+1.27%
Volatility (1Y) Calculated over the trailing 1-year period	5.20%	3.68%	+1.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.49%	7.17%	-0.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.49%	7.89%	-1.40%

PRCFX vs. SPHY - Expense Ratio Comparison

PRCFX has a 0.65% expense ratio, which is higher than SPHY's 0.10% expense ratio.

Dividends

PRCFX vs. SPHY - Dividend Comparison

PRCFX's dividend yield for the trailing twelve months is around 3.32%, less than SPHY's 7.27% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PRCFX T. Rowe Price Capital Appreciation and Income Fund	3.32%	2.94%	3.08%	0.26%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPHY SPDR Portfolio High Yield Bond ETF	7.27%	7.38%	7.80%	7.30%	6.47%	5.13%	5.63%	5.73%	4.09%	4.41%	4.27%	4.29%

Frequently Asked Questions

Can I hold both PRCFX and SPHY in my portfolio?

PRCFX and SPHY have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PRCFX or SPHY?

PRCFX has higher volatility (1.65%) compared to SPHY (1.14%). In terms of maximum drawdown, PRCFX dropped -6.57% vs SPHY's -21.97%.

Which has better risk-adjusted returns?

PRCFX currently has the higher Sharpe Ratio (2.35 vs 1.96), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.