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

Performance

PRHYX vs. VWEHX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price High Yield Fund (PRHYX) and Vanguard High-Yield Corporate Fund Investor Shares (VWEHX). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.52%
5.08%
PRHYX
VWEHX

Returns By Period

In the year-to-date period, PRHYX achieves a 6.16% return, which is significantly higher than VWEHX's 5.84% return. Both investments have delivered pretty close results over the past 10 years, with PRHYX having a 4.28% annualized return and VWEHX not far ahead at 4.44%.


PRHYX

YTD

6.16%

1M

0.39%

6M

5.34%

1Y

11.87%

5Y (annualized)

3.92%

10Y (annualized)

4.28%

VWEHX

YTD

5.84%

1M

-0.03%

6M

5.08%

1Y

10.99%

5Y (annualized)

3.69%

10Y (annualized)

4.44%

Key characteristics


PRHYXVWEHX
Sharpe Ratio2.973.13
Sortino Ratio5.265.25
Omega Ratio1.781.79
Calmar Ratio2.843.48
Martin Ratio20.5319.26
Ulcer Index0.58%0.57%
Daily Std Dev3.99%3.51%
Max Drawdown-30.82%-30.17%
Current Drawdown-0.45%-0.76%

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PRHYX vs. VWEHX - Expense Ratio Comparison

PRHYX has a 0.70% expense ratio, which is higher than VWEHX's 0.23% 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 VWEHX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Correlation

-0.50.00.51.00.7

The correlation between PRHYX and VWEHX is 0.72, 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. VWEHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price High Yield Fund (PRHYX) and Vanguard High-Yield Corporate Fund Investor Shares (VWEHX). 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-1.000.001.002.003.004.005.002.973.13
The chart of Sortino ratio for PRHYX, currently valued at 5.26, compared to the broader market0.005.0010.005.265.25
The chart of Omega ratio for PRHYX, currently valued at 1.78, compared to the broader market1.002.003.004.001.781.79
The chart of Calmar ratio for PRHYX, currently valued at 2.84, compared to the broader market0.005.0010.0015.0020.0025.002.843.48
The chart of Martin ratio for PRHYX, currently valued at 20.53, compared to the broader market0.0020.0040.0060.0080.00100.0020.5319.26
PRHYX
VWEHX

The current PRHYX Sharpe Ratio is 2.97, which is comparable to the VWEHX Sharpe Ratio of 3.13. The chart below compares the historical Sharpe Ratios of PRHYX and VWEHX, 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
3.13
PRHYX
VWEHX

Dividends

PRHYX vs. VWEHX - Dividend Comparison

PRHYX's dividend yield for the trailing twelve months is around 6.47%, more than VWEHX's 6.04% 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%
VWEHX
Vanguard High-Yield Corporate Fund Investor Shares
6.04%5.68%5.11%4.15%4.62%5.25%5.93%5.30%5.39%5.88%5.59%5.79%

Drawdowns

PRHYX vs. VWEHX - Drawdown Comparison

The maximum PRHYX drawdown since its inception was -30.82%, roughly equal to the maximum VWEHX drawdown of -30.17%. Use the drawdown chart below to compare losses from any high point for PRHYX and VWEHX. 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%
-0.76%
PRHYX
VWEHX

Volatility

PRHYX vs. VWEHX - Volatility Comparison

T. Rowe Price High Yield Fund (PRHYX) has a higher volatility of 0.95% compared to Vanguard High-Yield Corporate Fund Investor Shares (VWEHX) at 0.71%. This indicates that PRHYX's price experiences larger fluctuations and is considered to be riskier than VWEHX 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%
0.71%
PRHYX
VWEHX