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

Performance

PRFRX vs. FFRAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Floating Rate Fund (PRFRX) and Fidelity Advisor Floating Rate High Income Fund Class A (FFRAX). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
4.46%
4.08%
PRFRX
FFRAX

Returns By Period

The year-to-date returns for both investments are quite close, with PRFRX having a 7.56% return and FFRAX slightly higher at 7.80%. Both investments have delivered pretty close results over the past 10 years, with PRFRX having a 4.50% annualized return and FFRAX not far behind at 4.28%.


PRFRX

YTD

7.56%

1M

0.88%

6M

4.35%

1Y

10.23%

5Y (annualized)

5.34%

10Y (annualized)

4.50%

FFRAX

YTD

7.80%

1M

0.87%

6M

4.08%

1Y

9.64%

5Y (annualized)

5.37%

10Y (annualized)

4.28%

Key characteristics


PRFRXFFRAX
Sharpe Ratio3.893.79
Sortino Ratio12.6010.50
Omega Ratio4.253.74
Calmar Ratio13.5911.04
Martin Ratio72.0257.96
Ulcer Index0.14%0.16%
Daily Std Dev2.63%2.50%
Max Drawdown-20.05%-22.22%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

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


PRFRX vs. FFRAX - Expense Ratio Comparison

PRFRX has a 0.75% expense ratio, which is lower than FFRAX's 0.98% expense ratio.


FFRAX
Fidelity Advisor Floating Rate High Income Fund Class A
Expense ratio chart for FFRAX: current value at 0.98% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.98%
Expense ratio chart for PRFRX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Correlation

-0.50.00.51.00.6

The correlation between PRFRX and FFRAX is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PRFRX vs. FFRAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate Fund (PRFRX) and Fidelity Advisor Floating Rate High Income Fund Class A (FFRAX). 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 PRFRX, currently valued at 3.89, compared to the broader market-1.000.001.002.003.004.005.003.893.79
The chart of Sortino ratio for PRFRX, currently valued at 12.60, compared to the broader market0.005.0010.0012.6010.50
The chart of Omega ratio for PRFRX, currently valued at 4.25, compared to the broader market1.002.003.004.004.253.74
The chart of Calmar ratio for PRFRX, currently valued at 13.59, compared to the broader market0.005.0010.0015.0020.0025.0013.5911.04
The chart of Martin ratio for PRFRX, currently valued at 72.02, compared to the broader market0.0020.0040.0060.0080.00100.0072.0257.96
PRFRX
FFRAX

The current PRFRX Sharpe Ratio is 3.89, which is comparable to the FFRAX Sharpe Ratio of 3.79. The chart below compares the historical Sharpe Ratios of PRFRX and FFRAX, 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 Ratio3.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
3.89
3.79
PRFRX
FFRAX

Dividends

PRFRX vs. FFRAX - Dividend Comparison

PRFRX's dividend yield for the trailing twelve months is around 8.38%, more than FFRAX's 8.07% yield.


TTM20232022202120202019201820172016201520142013
PRFRX
T. Rowe Price Floating Rate Fund
8.38%8.33%5.20%3.87%4.00%4.84%4.86%4.04%4.08%4.08%3.85%3.53%
FFRAX
Fidelity Advisor Floating Rate High Income Fund Class A
8.07%7.95%4.73%2.94%3.55%4.86%4.41%3.73%3.66%3.96%3.70%3.18%

Drawdowns

PRFRX vs. FFRAX - Drawdown Comparison

The maximum PRFRX drawdown since its inception was -20.05%, smaller than the maximum FFRAX drawdown of -22.22%. Use the drawdown chart below to compare losses from any high point for PRFRX and FFRAX. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
PRFRX
FFRAX

Volatility

PRFRX vs. FFRAX - Volatility Comparison

T. Rowe Price Floating Rate Fund (PRFRX) has a higher volatility of 0.68% compared to Fidelity Advisor Floating Rate High Income Fund Class A (FFRAX) at 0.61%. This indicates that PRFRX's price experiences larger fluctuations and is considered to be riskier than FFRAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%JuneJulyAugustSeptemberOctoberNovember
0.68%
0.61%
PRFRX
FFRAX