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

Key characteristics


PRSNXTRVLX
YTD Return4.22%21.29%
1Y Return10.63%32.74%
3Y Return (Ann)-1.09%6.70%
5Y Return (Ann)0.98%12.37%
10Y Return (Ann)2.23%10.12%
Sharpe Ratio2.763.19
Sortino Ratio4.684.50
Omega Ratio1.601.59
Calmar Ratio0.803.50
Martin Ratio17.4121.00
Ulcer Index0.61%1.56%
Daily Std Dev3.85%10.29%
Max Drawdown-19.82%-60.22%
Current Drawdown-4.14%-0.72%

Correlation

-0.50.00.51.00.2

The correlation between PRSNX and TRVLX is 0.15, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

PRSNX vs. TRVLX - Performance Comparison

In the year-to-date period, PRSNX achieves a 4.22% return, which is significantly lower than TRVLX's 21.29% return. Over the past 10 years, PRSNX has underperformed TRVLX with an annualized return of 2.23%, while TRVLX has yielded a comparatively higher 10.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.16%
7.37%
PRSNX
TRVLX

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PRSNX vs. TRVLX - Expense Ratio Comparison

Both PRSNX and TRVLX have an expense ratio of 0.65%.


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 TRVLX: 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. TRVLX - 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 T. Rowe Price Value Fund (TRVLX). 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 2.76, compared to the broader market0.002.004.002.76
Sortino ratio
The chart of Sortino ratio for PRSNX, currently valued at 4.68, compared to the broader market0.005.0010.004.68
Omega ratio
The chart of Omega ratio for PRSNX, currently valued at 1.60, compared to the broader market1.002.003.004.001.60
Calmar ratio
The chart of Calmar ratio for PRSNX, currently valued at 0.80, compared to the broader market0.005.0010.0015.0020.000.80
Martin ratio
The chart of Martin ratio for PRSNX, currently valued at 17.41, compared to the broader market0.0020.0040.0060.0080.00100.0017.41
TRVLX
Sharpe ratio
The chart of Sharpe ratio for TRVLX, currently valued at 3.19, compared to the broader market0.002.004.003.19
Sortino ratio
The chart of Sortino ratio for TRVLX, currently valued at 4.50, compared to the broader market0.005.0010.004.50
Omega ratio
The chart of Omega ratio for TRVLX, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for TRVLX, currently valued at 3.50, compared to the broader market0.005.0010.0015.0020.003.50
Martin ratio
The chart of Martin ratio for TRVLX, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.0021.00

PRSNX vs. TRVLX - Sharpe Ratio Comparison

The current PRSNX Sharpe Ratio is 2.76, which is comparable to the TRVLX Sharpe Ratio of 3.19. The chart below compares the historical Sharpe Ratios of PRSNX and TRVLX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.76
3.19
PRSNX
TRVLX

Dividends

PRSNX vs. TRVLX - Dividend Comparison

PRSNX's dividend yield for the trailing twelve months is around 5.04%, more than TRVLX's 1.09% yield.


TTM20232022202120202019201820172016201520142013
PRSNX
T. Rowe Price Global Multi-Sector Bond Fund
5.04%4.60%3.40%3.00%3.17%3.55%3.62%3.42%3.45%3.60%4.08%3.64%
TRVLX
T. Rowe Price Value Fund
1.09%1.33%1.39%0.75%0.68%1.69%1.77%1.31%1.66%2.08%1.24%1.21%

Drawdowns

PRSNX vs. TRVLX - Drawdown Comparison

The maximum PRSNX drawdown since its inception was -19.82%, smaller than the maximum TRVLX drawdown of -60.22%. Use the drawdown chart below to compare losses from any high point for PRSNX and TRVLX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.14%
-0.72%
PRSNX
TRVLX

Volatility

PRSNX vs. TRVLX - Volatility Comparison

The current volatility for T. Rowe Price Global Multi-Sector Bond Fund (PRSNX) is 0.97%, while T. Rowe Price Value Fund (TRVLX) has a volatility of 3.54%. This indicates that PRSNX experiences smaller price fluctuations and is considered to be less risky than TRVLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.97%
3.54%
PRSNX
TRVLX