SDHY vs. JAAA

Last updated Jun 4, 2026

SDHY (PGIM Short Duration High Yield Opportunities Fund) and JAAA (Janus Henderson AAA CLO ETF) are both funds - SDHY is a High Yield Bonds fund managed by PGIM, while JAAA is a CLO fund actively managed by Janus Henderson. Over the past 5 years, SDHY returned 5.19%/yr vs 4.79%/yr for JAAA. At a 0.11 correlation, their price movements are largely independent. SDHY charges 0.70%/yr vs 0.20%/yr for JAAA.

Performance

SDHY vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Short Duration High Yield Opportunities Fund (SDHY) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SDHY achieves a -0.17% return, which is significantly lower than JAAA's 1.87% return.

SDHY

• 1D: -0.81%
• 1M: 0.12%
• YTD: -0.17%
• 6M: 0.90%
• 1Y: 6.18%
• 3Y*: 11.39%
• 5Y*: 5.19%
• 10Y*: —

JAAA

• 1D: -0.02%
• 1M: 0.39%
• YTD: 1.87%
• 6M: 2.45%
• 1Y: 5.06%
• 3Y*: 6.71%
• 5Y*: 4.79%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

SDHY vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SDHY PGIM Short Duration High Yield Opportunities Fund	-0.17%	10.37%	16.68%	11.40%	-13.33%	-3.05%	2.35%
JAAA Janus Henderson AAA CLO ETF	1.87%	5.16%	7.43%	8.59%	0.49%	1.39%	0.40%

Correlation

The correlation between SDHY and JAAA is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.14
Correlation (3Y) Calculated over the trailing 3-year period	0.11
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (All Time) Calculated using the full available price history since Nov 27, 2020	0.11

Return for Risk

SDHY vs. JAAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SDHY

SDHY Risk / Return Rank: 11
SDHY Sharpe Ratio Rank: 11
SDHY Sortino Ratio Rank: 11
SDHY Omega Ratio Rank: 11
SDHY Calmar Ratio Rank: 10
SDHY Martin Ratio Rank: 10

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 98
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SDHY vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Short Duration High Yield Opportunities Fund (SDHY) and Janus Henderson AAA CLO ETF (JAAA). 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.

	SDHY	JAAA	Difference
Sharpe ratio: Return per unit of total volatility	0.85	5.98	-5.13
Sortino ratio: Return per unit of downside risk	1.28	10.04	-8.77
Omega ratio: Gain probability vs. loss probability	1.16	2.69	-1.52
Calmar ratio: Return relative to maximum drawdown	0.99	13.07	-12.09
Martin ratio: Return relative to average drawdown	2.85	70.18	-67.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SDHY vs. JAAA - Sharpe Ratio Comparison

The current SDHY Sharpe Ratio is 0.85, which is lower than the JAAA Sharpe Ratio of 5.98. The chart below compares the historical Sharpe Ratios of SDHY and JAAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SDHY	JAAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.85	5.98	-5.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	2.87	-2.37
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	2.77	-2.42

Drawdowns

SDHY vs. JAAA - Drawdown Comparison

The maximum SDHY drawdown since its inception was -22.65%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for SDHY and JAAA.

Drawdown Indicators

	SDHY	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-22.65%	-2.64%	-20.01%
Max Drawdown (1Y) Largest decline over 1 year	-6.29%	-0.39%	-5.90%
Max Drawdown (3Y) Largest decline over 3 years	-9.24%	-1.46%	-7.78%
Max Drawdown (5Y) Largest decline over 5 years	-22.28%	-2.64%	-19.64%
Current Drawdown Current decline from peak	-2.70%	-0.02%	-2.68%
Average Drawdown Average peak-to-trough decline	-6.70%	-0.25%	-6.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.18%	0.07%	+2.11%

Volatility

SDHY vs. JAAA - Volatility Comparison

PGIM Short Duration High Yield Opportunities Fund (SDHY) has a higher volatility of 1.68% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.13%. This indicates that SDHY's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SDHY	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.68%	0.13%	+1.55%
Volatility (6M) Calculated over the trailing 6-month period	5.93%	0.64%	+5.29%
Volatility (1Y) Calculated over the trailing 1-year period	7.27%	0.85%	+6.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.54%	1.68%	+8.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.02%	1.64%	+9.38%

SDHY vs. JAAA - Expense Ratio Comparison

SDHY has a 0.70% expense ratio, which is higher than JAAA's 0.20% expense ratio.

Dividends

SDHY vs. JAAA - Dividend Comparison

SDHY's dividend yield for the trailing twelve months is around 8.11%, more than JAAA's 5.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	5.00%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%
SDHY PGIM Short Duration High Yield Opportunities Fund	8.11%	7.88%	8.04%	8.64%	8.82%	7.62%	0.00%

Frequently Asked Questions

Can I hold both SDHY and JAAA in my portfolio?

SDHY and JAAA have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SDHY or JAAA?

SDHY has higher volatility (1.68%) compared to JAAA (0.13%). In terms of maximum drawdown, SDHY dropped -22.65% vs JAAA's -2.64%.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (5.98 vs 0.85), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.