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

Performance

PRHYX vs. PHYQX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price High Yield Fund (PRHYX) and PGIM High Yield Fund Class R6 (PHYQX). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.52%
6.70%
PRHYX
PHYQX

Returns By Period

In the year-to-date period, PRHYX achieves a 6.16% return, which is significantly lower than PHYQX's 8.20% return. Over the past 10 years, PRHYX has underperformed PHYQX with an annualized return of 4.28%, while PHYQX has yielded a comparatively higher 5.17% annualized return.


PRHYX

YTD

6.16%

1M

0.39%

6M

5.34%

1Y

11.87%

5Y (annualized)

3.92%

10Y (annualized)

4.28%

PHYQX

YTD

8.20%

1M

0.39%

6M

6.47%

1Y

14.34%

5Y (annualized)

4.29%

10Y (annualized)

5.17%

Key characteristics


PRHYXPHYQX
Sharpe Ratio2.973.67
Sortino Ratio5.266.68
Omega Ratio1.782.01
Calmar Ratio2.842.13
Martin Ratio20.5323.05
Ulcer Index0.58%0.62%
Daily Std Dev3.99%3.91%
Max Drawdown-30.82%-21.12%
Current Drawdown-0.45%-0.43%

Compare stocks, funds, or ETFs

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


PRHYX vs. PHYQX - Expense Ratio Comparison

PRHYX has a 0.70% expense ratio, which is higher than PHYQX's 0.38% expense ratio.


PRHYX
T. Rowe Price High Yield Fund
Expense ratio chart for PRHYX: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
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%

Correlation

-0.50.00.51.00.8

The correlation between PRHYX and PHYQX is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

PRHYX vs. PHYQX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price High Yield Fund (PRHYX) and PGIM High Yield Fund Class R6 (PHYQX). 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 PRHYX, currently valued at 2.97, compared to the broader market-1.000.001.002.003.004.005.002.973.67
The chart of Sortino ratio for PRHYX, currently valued at 5.26, compared to the broader market0.005.0010.005.266.68
The chart of Omega ratio for PRHYX, currently valued at 1.78, compared to the broader market1.002.003.004.001.782.01
The chart of Calmar ratio for PRHYX, currently valued at 2.84, compared to the broader market0.005.0010.0015.0020.0025.002.842.13
The chart of Martin ratio for PRHYX, currently valued at 20.53, compared to the broader market0.0020.0040.0060.0080.00100.0020.5323.05
PRHYX
PHYQX

The current PRHYX Sharpe Ratio is 2.97, which is comparable to the PHYQX Sharpe Ratio of 3.67. The chart below compares the historical Sharpe Ratios of PRHYX and PHYQX, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.97
3.67
PRHYX
PHYQX

Dividends

PRHYX vs. PHYQX - Dividend Comparison

PRHYX's dividend yield for the trailing twelve months is around 6.47%, less than PHYQX's 7.47% yield.


TTM20232022202120202019201820172016201520142013
PRHYX
T. Rowe Price High Yield Fund
6.47%6.29%6.13%5.08%5.19%5.49%6.26%5.49%5.73%6.46%6.39%6.11%
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%

Drawdowns

PRHYX vs. PHYQX - Drawdown Comparison

The maximum PRHYX drawdown since its inception was -30.82%, which is greater than PHYQX's maximum drawdown of -21.12%. Use the drawdown chart below to compare losses from any high point for PRHYX and PHYQX. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.45%
-0.43%
PRHYX
PHYQX

Volatility

PRHYX vs. PHYQX - Volatility Comparison

T. Rowe Price High Yield Fund (PRHYX) has a higher volatility of 0.95% compared to PGIM High Yield Fund Class R6 (PHYQX) at 0.68%. This indicates that PRHYX's price experiences larger fluctuations and is considered to be riskier than PHYQX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.95%
0.68%
PRHYX
PHYQX