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THYF vs. PRHYX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

THYF vs. PRHYX

Last updated Jun 24, 2026

THYF (T. Rowe Price U.S. High Yield ETF) and PRHYX (T. Rowe Price High Yield Fund) are both High Yield Bonds funds from T. Rowe Price. Over the past 3 years, THYF returned 8.57%/yr vs 12.07%/yr for PRHYX. A 0.58 correlation means they provide meaningful diversification when combined. THYF charges 0.56%/yr vs 0.70%/yr for PRHYX.

Performance

THYF vs. PRHYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. High Yield ETF (THYF) and T. Rowe Price High Yield Fund (PRHYX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, THYF achieves a 1.84% return, which is significantly higher than PRHYX's 1.39% return.

THYF

1D
-0.15%
1M
0.51%
YTD
1.84%
6M
1.95%
1Y
6.06%
3Y*
8.57%
5Y*
—
10Y*
—

PRHYX

1D
0.00%
1M
0.40%
YTD
1.39%
6M
2.08%
1Y
6.39%
3Y*
12.07%
5Y*
6.18%
10Y*
6.50%
*Multi-year figures are annualized to reflect compound growth (CAGR)

THYF vs. PRHYX - Yearly Performance Comparison

2026 (YTD)2025202420232022
THYF
T. Rowe Price U.S. High Yield ETF		1.84%7.77%8.51%11.32%1.69%
PRHYX
T. Rowe Price High Yield Fund		1.39%10.44%12.07%20.05%3.77%

Correlation

The correlation between THYF and PRHYX is 0.60, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.60

Correlation (3Y)
Calculated over the trailing 3-year period

0.57

Correlation (All Time)
Calculated using the full available price history since Oct 26, 2022

0.58

The correlation between THYF and PRHYX has been stable across timeframes, ranging from 0.57 to 0.60 - a consistent structural relationship.

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T. Rowe Price U.S. High Yield ETF

T. Rowe Price High Yield Fund

Often compared with THYF:
THYF vs. JPIETHYF vs. HYGVTHYF vs. JAAATHYF vs. BNDTHYF vs. SCHGTHYF vs. SJNKTHYF vs. HYBL
Often compared with PRHYX:
PRHYX vs. VWEHXPRHYX vs. TUHIXPRHYX vs. PHYQXPRHYX vs. FHYSXPRHYX vs. FAGIXPRHYX vs. SPHIXPRHYX vs. VWEAX

Return for Risk

THYF vs. PRHYX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
THYF
THYF Risk / Return Rank: 5555
Overall Rank
THYF Sharpe Ratio Rank: 5454
Sharpe Ratio Rank
THYF Sortino Ratio Rank: 6060
Sortino Ratio Rank
THYF Omega Ratio Rank: 5757
Omega Ratio Rank
THYF Calmar Ratio Rank: 4646
Calmar Ratio Rank
THYF Martin Ratio Rank: 5959
Martin Ratio Rank
PRHYX
PRHYX Risk / Return Rank: 7474
Overall Rank
PRHYX Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
PRHYX Sortino Ratio Rank: 7979
Sortino Ratio Rank
PRHYX Omega Ratio Rank: 7979
Omega Ratio Rank
PRHYX Calmar Ratio Rank: 6868
Calmar Ratio Rank
PRHYX Martin Ratio Rank: 8484
Martin Ratio Rank
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.

THYF vs. PRHYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. High Yield ETF (THYF) and T. Rowe Price High Yield Fund (PRHYX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

THYFPRHYXDifference
Sharpe ratioReturn per unit of total volatility
1.72
2.07

-0.35

Sortino ratioReturn per unit of downside risk
2.63
3.43

-0.80

Omega ratioGain probability vs. loss probability

1.33

1.47

-0.14

Calmar ratioReturn relative to maximum drawdown

2.17

3.03

-0.86

Martin ratioReturn relative to average drawdown

9.87

14.51

-4.65

THYF vs. PRHYX - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 1.72, which is comparable to the PRHYX Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of THYF and PRHYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

THYF vs. PRHYX - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, smaller than the maximum PRHYX drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for THYF and PRHYX.

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Drawdown Indicators

THYFPRHYXDifference

Max Drawdown

Largest peak-to-trough decline

-5.24%

-30.79%

+25.55%

Max Drawdown (1Y)

Largest decline over 1 year

-2.80%

-2.17%

-0.63%

Max Drawdown (3Y)

Largest decline over 3 years

-5.07%

-3.33%

-1.74%

Max Drawdown (5Y)

Largest decline over 5 years

—

-16.43%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-22.10%

—

Current Drawdown

Current decline from peak

-0.35%

-0.50%

+0.15%

Average Drawdown

Average peak-to-trough decline

-0.81%

-3.63%

+2.82%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.62%

0.45%

+0.17%

Volatility

THYF vs. PRHYX - Volatility Comparison

T. Rowe Price U.S. High Yield ETF (THYF) has a higher volatility of 0.95% compared to T. Rowe Price High Yield Fund (PRHYX) at 0.89%. This indicates that THYF's price experiences larger fluctuations and is considered to be riskier than PRHYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

THYFPRHYXDifference

Volatility (1M)

Calculated over the trailing 1-month period

0.95%

0.89%

+0.06%

Volatility (6M)

Calculated over the trailing 6-month period

2.77%

2.52%

+0.25%

Volatility (1Y)

Calculated over the trailing 1-year period

3.56%

3.19%

+0.37%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.79%

5.34%

+0.45%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

5.79%

5.59%

+0.20%

THYF vs. PRHYX - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is lower than PRHYX's 0.70% expense ratio.

Dividends

THYF vs. PRHYX - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.00%, more than PRHYX's 6.74% yield.

PositionTTM20252024202320222021202020192018201720162015
PRHYX
T. Rowe Price High Yield Fund		6.74%8.33%11.50%11.49%4.68%5.09%5.19%5.48%6.25%5.49%6.02%6.45%
THYF
T. Rowe Price U.S. High Yield ETF		7.00%7.17%7.30%8.02%1.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

THYF and PRHYX have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

THYF has higher volatility (0.95%) compared to PRHYX (0.89%). In terms of maximum drawdown, THYF dropped -5.24% vs PRHYX's -30.79%.

PRHYX currently has the higher Sharpe Ratio (2.07 vs 1.72), 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.

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