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PRSNX vs. DODLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRSNXDODLX
YTD Return4.74%2.70%
1Y Return11.18%10.82%
3Y Return (Ann)-0.83%1.39%
5Y Return (Ann)1.04%3.22%
10Y Return (Ann)2.27%3.21%
Sharpe Ratio2.741.77
Sortino Ratio4.622.60
Omega Ratio1.591.32
Calmar Ratio0.791.48
Martin Ratio17.476.85
Ulcer Index0.61%1.49%
Daily Std Dev3.87%5.77%
Max Drawdown-19.82%-17.05%
Current Drawdown-3.66%-3.19%

Correlation

-0.50.00.51.00.6

The correlation between PRSNX and DODLX is 0.62, 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.

Performance

PRSNX vs. DODLX - Performance Comparison

In the year-to-date period, PRSNX achieves a 4.74% return, which is significantly higher than DODLX's 2.70% return. Over the past 10 years, PRSNX has underperformed DODLX with an annualized return of 2.27%, while DODLX has yielded a comparatively higher 3.21% 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
4.30%
4.00%
PRSNX
DODLX

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PRSNX vs. DODLX - Expense Ratio Comparison

PRSNX has a 0.65% expense ratio, which is higher than DODLX's 0.45% expense ratio.


PRSNX
T. Rowe Price Global Multi-Sector Bond Fund
Expense ratio chart for PRSNX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for DODLX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Risk-Adjusted Performance

PRSNX vs. DODLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Global Multi-Sector Bond Fund (PRSNX) and Dodge & Cox Global Bond Fund (DODLX). 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.


PRSNX
Sharpe ratio
The chart of Sharpe ratio for PRSNX, currently valued at 2.74, compared to the broader market0.002.004.002.74
Sortino ratio
The chart of Sortino ratio for PRSNX, currently valued at 4.62, compared to the broader market0.005.0010.004.62
Omega ratio
The chart of Omega ratio for PRSNX, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for PRSNX, currently valued at 0.79, compared to the broader market0.005.0010.0015.0020.000.79
Martin ratio
The chart of Martin ratio for PRSNX, currently valued at 17.47, compared to the broader market0.0020.0040.0060.0080.00100.0017.47
DODLX
Sharpe ratio
The chart of Sharpe ratio for DODLX, currently valued at 1.77, compared to the broader market0.002.004.001.77
Sortino ratio
The chart of Sortino ratio for DODLX, currently valued at 2.60, compared to the broader market0.005.0010.002.60
Omega ratio
The chart of Omega ratio for DODLX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for DODLX, currently valued at 1.48, compared to the broader market0.005.0010.0015.0020.001.48
Martin ratio
The chart of Martin ratio for DODLX, currently valued at 6.85, compared to the broader market0.0020.0040.0060.0080.00100.006.85

PRSNX vs. DODLX - Sharpe Ratio Comparison

The current PRSNX Sharpe Ratio is 2.74, which is higher than the DODLX Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of PRSNX and DODLX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.74
1.77
PRSNX
DODLX

Dividends

PRSNX vs. DODLX - Dividend Comparison

PRSNX's dividend yield for the trailing twelve months is around 5.02%, more than DODLX's 4.17% yield.


TTM20232022202120202019201820172016201520142013
PRSNX
T. Rowe Price Global Multi-Sector Bond Fund
5.02%4.60%3.40%3.00%3.17%3.55%3.62%3.42%3.45%3.60%4.08%3.64%
DODLX
Dodge & Cox Global Bond Fund
4.17%3.31%5.05%2.49%2.21%3.40%4.21%2.34%1.69%0.00%1.40%0.00%

Drawdowns

PRSNX vs. DODLX - Drawdown Comparison

The maximum PRSNX drawdown since its inception was -19.82%, which is greater than DODLX's maximum drawdown of -17.05%. Use the drawdown chart below to compare losses from any high point for PRSNX and DODLX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.66%
-3.19%
PRSNX
DODLX

Volatility

PRSNX vs. DODLX - Volatility Comparison

The current volatility for T. Rowe Price Global Multi-Sector Bond Fund (PRSNX) is 0.89%, while Dodge & Cox Global Bond Fund (DODLX) has a volatility of 1.64%. This indicates that PRSNX experiences smaller price fluctuations and is considered to be less risky than DODLX 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%1.80%JuneJulyAugustSeptemberOctoberNovember
0.89%
1.64%
PRSNX
DODLX