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PRHYX vs. PHYQX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRHYXPHYQX
YTD Return6.52%8.42%
1Y Return13.45%15.84%
3Y Return (Ann)2.72%2.43%
5Y Return (Ann)3.93%4.26%
10Y Return (Ann)4.26%5.14%
Sharpe Ratio3.313.97
Sortino Ratio6.017.36
Omega Ratio1.912.13
Calmar Ratio2.592.04
Martin Ratio23.4425.69
Ulcer Index0.57%0.62%
Daily Std Dev4.07%4.00%
Max Drawdown-30.82%-21.12%
Current Drawdown-0.11%-0.22%

Correlation

-0.50.00.51.00.8

The correlation between PRHYX and PHYQX is 0.75, 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.

Performance

PRHYX vs. PHYQX - Performance Comparison

In the year-to-date period, PRHYX achieves a 6.52% return, which is significantly lower than PHYQX's 8.42% return. Over the past 10 years, PRHYX has underperformed PHYQX with an annualized return of 4.26%, while PHYQX has yielded a comparatively higher 5.14% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.87%
6.92%
PRHYX
PHYQX

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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%

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.


PRHYX
Sharpe ratio
The chart of Sharpe ratio for PRHYX, currently valued at 3.31, compared to the broader market0.002.004.003.31
Sortino ratio
The chart of Sortino ratio for PRHYX, currently valued at 6.01, compared to the broader market0.005.0010.006.01
Omega ratio
The chart of Omega ratio for PRHYX, currently valued at 1.91, compared to the broader market1.002.003.004.001.91
Calmar ratio
The chart of Calmar ratio for PRHYX, currently valued at 2.59, compared to the broader market0.005.0010.0015.0020.0025.002.59
Martin ratio
The chart of Martin ratio for PRHYX, currently valued at 23.44, compared to the broader market0.0020.0040.0060.0080.00100.0023.44
PHYQX
Sharpe ratio
The chart of Sharpe ratio for PHYQX, currently valued at 3.97, compared to the broader market0.002.004.003.97
Sortino ratio
The chart of Sortino ratio for PHYQX, currently valued at 7.36, compared to the broader market0.005.0010.007.36
Omega ratio
The chart of Omega ratio for PHYQX, currently valued at 2.13, compared to the broader market1.002.003.004.002.13
Calmar ratio
The chart of Calmar ratio for PHYQX, currently valued at 2.04, compared to the broader market0.005.0010.0015.0020.0025.002.04
Martin ratio
The chart of Martin ratio for PHYQX, currently valued at 25.69, compared to the broader market0.0020.0040.0060.0080.00100.0025.69

PRHYX vs. PHYQX - Sharpe Ratio Comparison

The current PRHYX Sharpe Ratio is 3.31, which is comparable to the PHYQX Sharpe Ratio of 3.97. 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
3.31
3.97
PRHYX
PHYQX

Dividends

PRHYX vs. PHYQX - Dividend Comparison

PRHYX's dividend yield for the trailing twelve months is around 6.45%, less than PHYQX's 7.45% yield.


TTM20232022202120202019201820172016201520142013
PRHYX
T. Rowe Price High Yield Fund
6.45%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
7.45%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
-0.11%
-0.22%
PRHYX
PHYQX

Volatility

PRHYX vs. PHYQX - Volatility Comparison

T. Rowe Price High Yield Fund (PRHYX) has a higher volatility of 0.90% compared to PGIM High Yield Fund Class R6 (PHYQX) at 0.74%. 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%1.60%JuneJulyAugustSeptemberOctoberNovember
0.90%
0.74%
PRHYX
PHYQX