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

Performance

PRFRX vs. MFHVX - Performance Comparison

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

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
4.42%
PRFRX
MFHVX

Returns By Period

In the year-to-date period, PRFRX achieves a 7.56% return, which is significantly lower than MFHVX's 9.31% return.


PRFRX

YTD

7.56%

1M

0.88%

6M

4.35%

1Y

10.23%

5Y (annualized)

5.34%

10Y (annualized)

4.50%

MFHVX

YTD

9.31%

1M

0.40%

6M

4.42%

1Y

13.12%

5Y (annualized)

5.04%

10Y (annualized)

N/A

Key characteristics


PRFRXMFHVX
Sharpe Ratio3.895.20
Sortino Ratio12.608.87
Omega Ratio4.252.47
Calmar Ratio13.592.91
Martin Ratio72.0259.27
Ulcer Index0.14%0.22%
Daily Std Dev2.63%2.52%
Max Drawdown-20.05%-20.95%
Current Drawdown0.00%-0.23%

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. MFHVX - Expense Ratio Comparison

PRFRX has a 0.75% expense ratio, which is lower than MFHVX's 1.43% expense ratio.


MFHVX
Mesirow High Yield Fund
Expense ratio chart for MFHVX: current value at 1.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.43%
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

-0.50.00.51.00.5

The correlation between PRFRX and MFHVX is 0.53, 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. MFHVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate Fund (PRFRX) and Mesirow High Yield Fund (MFHVX). 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-1.000.001.002.003.004.005.003.895.20
The chart of Sortino ratio for PRFRX, currently valued at 12.60, compared to the broader market0.005.0010.0012.608.87
The chart of Omega ratio for PRFRX, currently valued at 4.25, compared to the broader market1.002.003.004.004.252.47
The chart of Calmar ratio for PRFRX, currently valued at 13.59, compared to the broader market0.005.0010.0015.0020.0025.0013.592.91
The chart of Martin ratio for PRFRX, currently valued at 72.02, compared to the broader market0.0020.0040.0060.0080.00100.0072.0259.27
PRFRX
MFHVX

The current PRFRX Sharpe Ratio is 3.89, which is comparable to the MFHVX Sharpe Ratio of 5.20. The chart below compares the historical Sharpe Ratios of PRFRX and MFHVX, 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 Ratio3.504.004.505.005.50JuneJulyAugustSeptemberOctoberNovember
3.89
5.20
PRFRX
MFHVX

Dividends

PRFRX vs. MFHVX - Dividend Comparison

PRFRX's dividend yield for the trailing twelve months is around 8.38%, less than MFHVX's 9.30% 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%
MFHVX
Mesirow High Yield Fund
9.30%9.67%8.96%6.49%7.00%6.79%0.45%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRFRX vs. MFHVX - Drawdown Comparison

The maximum PRFRX drawdown since its inception was -20.05%, roughly equal to the maximum MFHVX drawdown of -20.95%. Use the drawdown chart below to compare losses from any high point for PRFRX and MFHVX. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.23%
PRFRX
MFHVX

Volatility

PRFRX vs. MFHVX - Volatility Comparison

T. Rowe Price Floating Rate Fund (PRFRX) has a higher volatility of 0.68% compared to Mesirow High Yield Fund (MFHVX) at 0.60%. This indicates that PRFRX's price experiences larger fluctuations and is considered to be riskier than MFHVX 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%
0.60%
PRFRX
MFHVX