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

Key characteristics


PRSNXFADMX
YTD Return4.74%7.08%
1Y Return11.18%13.51%
3Y Return (Ann)-0.83%0.59%
5Y Return (Ann)1.04%2.57%
Sharpe Ratio2.743.20
Sortino Ratio4.625.12
Omega Ratio1.591.65
Calmar Ratio0.791.28
Martin Ratio17.4719.39
Ulcer Index0.61%0.63%
Daily Std Dev3.87%3.96%
Max Drawdown-19.82%-16.68%
Current Drawdown-3.66%-0.50%

Correlation

-0.50.00.51.00.7

The correlation between PRSNX and FADMX is 0.68, 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. FADMX - Performance Comparison

In the year-to-date period, PRSNX achieves a 4.74% return, which is significantly lower than FADMX's 7.08% 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%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.30%
5.38%
PRSNX
FADMX

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PRSNX vs. FADMX - Expense Ratio Comparison

PRSNX has a 0.65% expense ratio, which is lower than FADMX's 0.66% expense ratio.


FADMX
Fidelity Strategic Income Fund
Expense ratio chart for FADMX: current value at 0.66% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.66%
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%

Risk-Adjusted Performance

PRSNX vs. FADMX - 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 Fidelity Strategic Income Fund (FADMX). 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 2.71, compared to the broader market0.002.004.002.71
Sortino ratio
The chart of Sortino ratio for PRSNX, currently valued at 4.46, compared to the broader market0.005.0010.004.46
Omega ratio
The chart of Omega ratio for PRSNX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
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 16.34, compared to the broader market0.0020.0040.0060.0080.00100.0016.34
FADMX
Sharpe ratio
The chart of Sharpe ratio for FADMX, currently valued at 3.20, compared to the broader market0.002.004.003.20
Sortino ratio
The chart of Sortino ratio for FADMX, currently valued at 5.12, compared to the broader market0.005.0010.005.12
Omega ratio
The chart of Omega ratio for FADMX, currently valued at 1.65, compared to the broader market1.002.003.004.001.65
Calmar ratio
The chart of Calmar ratio for FADMX, currently valued at 1.28, compared to the broader market0.005.0010.0015.0020.001.28
Martin ratio
The chart of Martin ratio for FADMX, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.0019.39

PRSNX vs. FADMX - Sharpe Ratio Comparison

The current PRSNX Sharpe Ratio is 2.74, which is comparable to the FADMX Sharpe Ratio of 3.20. The chart below compares the historical Sharpe Ratios of PRSNX and FADMX, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.71
3.20
PRSNX
FADMX

Dividends

PRSNX vs. FADMX - Dividend Comparison

PRSNX's dividend yield for the trailing twelve months is around 5.02%, more than FADMX's 4.31% 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%
FADMX
Fidelity Strategic Income Fund
4.31%4.32%3.67%2.75%3.33%3.46%2.61%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRSNX vs. FADMX - Drawdown Comparison

The maximum PRSNX drawdown since its inception was -19.82%, which is greater than FADMX's maximum drawdown of -16.68%. Use the drawdown chart below to compare losses from any high point for PRSNX and FADMX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.66%
-0.50%
PRSNX
FADMX

Volatility

PRSNX vs. FADMX - Volatility Comparison

T. Rowe Price Global Multi-Sector Bond Fund (PRSNX) and Fidelity Strategic Income Fund (FADMX) have volatilities of 0.89% and 0.88%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
0.89%
0.88%
PRSNX
FADMX