PRFRX vs. SPY
Compare and contrast key facts about T. Rowe Price Floating Rate Fund (PRFRX) and SPDR S&P 500 ETF (SPY).
PRFRX is managed by T. Rowe Price. It was launched on Jul 29, 2011. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PRFRX or SPY.
Key characteristics
| PRFRX | SPY | |
|---|---|---|
| YTD Return | 7.44% | 26.77% |
| 1Y Return | 10.23% | 37.43% |
| 3Y Return (Ann) | 6.38% | 10.15% |
| 5Y Return (Ann) | 5.32% | 15.86% |
| 10Y Return (Ann) | 4.49% | 13.33% |
| Sharpe Ratio | 3.89 | 3.06 |
| Sortino Ratio | 12.60 | 4.08 |
| Omega Ratio | 4.25 | 1.58 |
| Calmar Ratio | 13.59 | 4.44 |
| Martin Ratio | 72.03 | 20.11 |
| Ulcer Index | 0.14% | 1.85% |
| Daily Std Dev | 2.63% | 12.18% |
| Max Drawdown | -20.05% | -55.19% |
| Current Drawdown | 0.00% | -0.31% |
Correlation
The correlation between PRFRX and SPY is 0.25, 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.
Performance
PRFRX vs. SPY - Performance Comparison
In the year-to-date period, PRFRX achieves a 7.44% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, PRFRX has underperformed SPY with an annualized return of 4.49%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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PRFRX vs. SPY - Expense Ratio Comparison
PRFRX has a 0.75% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
PRFRX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate Fund (PRFRX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
PRFRX vs. SPY - Dividend Comparison
PRFRX's dividend yield for the trailing twelve months is around 8.39%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PRFRX T. Rowe Price Floating Rate Fund | 8.39% | 8.33% | 5.20% | 3.87% | 4.00% | 4.84% | 4.86% | 4.04% | 4.08% | 4.08% | 3.85% | 3.53% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
PRFRX vs. SPY - Drawdown Comparison
The maximum PRFRX drawdown since its inception was -20.05%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PRFRX and SPY. For additional features, visit the drawdowns tool.
Volatility
PRFRX vs. SPY - Volatility Comparison
The current volatility for T. Rowe Price Floating Rate Fund (PRFRX) is 0.70%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that PRFRX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.