SDMZX vs. JAAA

Last updated Jun 3, 2026

SDMZX (PGIM Short Duration Multi-Sector Bond Fund) and JAAA (Janus Henderson AAA CLO ETF) are both funds - SDMZX is a Short-Term Bond fund managed by PGIM, while JAAA is a CLO fund actively managed by Janus Henderson. Over the past 5 years, SDMZX returned 2.80%/yr vs 4.80%/yr for JAAA. At a 0.09 correlation, their price movements are largely independent. SDMZX charges 0.46%/yr vs 0.21%/yr for JAAA.

Performance

SDMZX vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Short Duration Multi-Sector Bond Fund (SDMZX) 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, SDMZX achieves a 1.15% return, which is significantly lower than JAAA's 1.89% return.

SDMZX

• 1D: -1.44%
• 1M: 0.29%
• YTD: 1.15%
• 6M: 1.67%
• 1Y: 5.15%
• 3Y*: 5.84%
• 5Y*: 2.80%
• 10Y*: 3.15%

JAAA

• 1D: 0.02%
• 1M: 0.47%
• YTD: 1.89%
• 6M: 2.49%
• 1Y: 5.14%
• 3Y*: 6.72%
• 5Y*: 4.80%
• 10Y*: —

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

SDMZX vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SDMZX PGIM Short Duration Multi-Sector Bond Fund	1.15%	6.18%	5.64%	6.25%	-4.82%	-0.19%	1.90%
JAAA Janus Henderson AAA CLO ETF	1.89%	5.16%	7.43%	8.59%	0.49%	1.39%	0.79%

Correlation

The correlation between SDMZX 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	0.04
Correlation (5Y) Calculated over the trailing 5-year period	0.09
Correlation (All Time) Calculated using the full available price history since Oct 20, 2020	0.09

The correlation between SDMZX and JAAA shifts across timeframes, from 0.04 (3 years) to 0.14 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SDMZX vs. JAAA — Risk / Return Rank

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

SDMZX

SDMZX Risk / Return Rank: 65
SDMZX Sharpe Ratio Rank: 31
SDMZX Sortino Ratio Rank: 43
SDMZX Omega Ratio Rank: 80
SDMZX Calmar Ratio Rank: 83
SDMZX Martin Ratio Rank: 87

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.

SDMZX vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Short Duration Multi-Sector Bond Fund (SDMZX) 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.

	SDMZX	JAAA	Difference
Sharpe ratio Return per unit of total volatility	1.62	6.08	-4.46
Sortino ratio Return per unit of downside risk	2.74	10.21	-7.48
Omega ratio Gain probability vs. loss probability	1.52	2.72	-1.20
Calmar ratio Return relative to maximum drawdown	3.85	13.29	-9.43
Martin ratio Return relative to average drawdown	16.74	71.37	-54.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SDMZX vs. JAAA - Sharpe Ratio Comparison

The current SDMZX Sharpe Ratio is 1.62, which is lower than the JAAA Sharpe Ratio of 6.08. The chart below compares the historical Sharpe Ratios of SDMZX 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

	SDMZX	JAAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	6.08	-4.46
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.10	2.88	-1.77
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.23	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.20	2.78	-1.57

Drawdowns

SDMZX vs. JAAA - Drawdown Comparison

The maximum SDMZX drawdown since its inception was -9.76%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for SDMZX and JAAA.

Drawdown Indicators

	SDMZX	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-9.76%	-2.64%	-7.12%
Max Drawdown (1Y) Largest decline over 1 year	-1.44%	-0.39%	-1.05%
Max Drawdown (3Y) Largest decline over 3 years	-1.44%	-1.46%	+0.02%
Max Drawdown (5Y) Largest decline over 5 years	-8.51%	-2.64%	-5.87%
Max Drawdown (10Y) Largest decline over 10 years	-9.76%	—	—
Current Drawdown Current decline from peak	-1.44%	0.00%	-1.44%
Average Drawdown Average peak-to-trough decline	-0.99%	-0.25%	-0.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.33%	0.07%	+0.26%

Volatility

SDMZX vs. JAAA - Volatility Comparison

PGIM Short Duration Multi-Sector Bond Fund (SDMZX) has a higher volatility of 2.46% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.13%. This indicates that SDMZX'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

	SDMZX	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.46%	0.13%	+2.33%
Volatility (6M) Calculated over the trailing 6-month period	2.81%	0.64%	+2.17%
Volatility (1Y) Calculated over the trailing 1-year period	3.13%	0.85%	+2.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.55%	1.68%	+0.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.58%	1.64%	+0.94%

SDMZX vs. JAAA - Expense Ratio Comparison

SDMZX has a 0.46% expense ratio, which is higher than JAAA's 0.21% expense ratio.

Dividends

SDMZX vs. JAAA - Dividend Comparison

SDMZX's dividend yield for the trailing twelve months is around 4.69%, less than JAAA's 5.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JAAA Janus Henderson AAA CLO ETF	5.00%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%	0.00%	0.00%	0.00%	0.00%	0.00%
SDMZX PGIM Short Duration Multi-Sector Bond Fund	4.69%	4.62%	4.57%	3.36%	4.70%	2.76%	3.10%	6.18%	3.47%	2.64%	2.76%	3.34%

Frequently Asked Questions

Can I hold both SDMZX and JAAA in my portfolio?

SDMZX 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, SDMZX or JAAA?

SDMZX has higher volatility (2.46%) compared to JAAA (0.13%). In terms of maximum drawdown, SDMZX dropped -9.76% vs JAAA's -2.64%.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.08 vs 1.62), 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.