Description

The investment seeks income and long-term growth of capital. The fund invests in a portfolio of equity, fixed-income and money market securities that is actively managed to capitalize on opportunities created by perceived misvaluation. It will invest 45% to 70% of its total assets in equity and equity-related securities. Under normal circumstances, 30% to 55% of the fund's total assets are invested in fixed income securities. It may invest up to 15% of its total assets in equity-related securities of small companies.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (61.3%) in the period of the last 5 years, the total return of 18.5% of PGIM Balanced Fund Class A is smaller, thus worse.
  • Compared with SPY (31.6%) in the period of the last 3 years, the total return, or performance of 6.7% is smaller, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of PGIM Balanced Fund Class A is 3.5%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
  • Looking at annual return (CAGR) in of 2.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the 30 days standard deviation of 12.4% of PGIM Balanced Fund Class A is smaller, thus better.
  • During the last 3 years, the volatility is 14.3%, which is lower, thus better than the value of 24% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of PGIM Balanced Fund Class A is 9.3%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside risk in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.08 in the last 5 years of PGIM Balanced Fund Class A, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
  • During the last 3 years, the Sharpe Ratio is -0.02, which is smaller, thus worse than the value of 0.3 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.1 in the last 5 years of PGIM Balanced Fund Class A, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
  • Looking at downside risk / excess return profile in of -0.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 6.07 in the last 5 years of PGIM Balanced Fund Class A, we see it is relatively smaller, thus better in comparison to the benchmark SPY (7.61 )
  • During the last 3 years, the Ulcer Index is 7.28 , which is lower, thus better than the value of 8.93 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -26.5 days in the last 5 years of PGIM Balanced Fund Class A, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum drop from peak to valley is -26.5 days, which is higher, thus better than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (185 days) in the period of the last 5 years, the maximum days under water of 190 days of PGIM Balanced Fund Class A is higher, thus worse.
  • Looking at maximum days below previous high in of 190 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (185 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 52 days in the last 5 years of PGIM Balanced Fund Class A, we see it is relatively larger, thus worse in comparison to the benchmark SPY (46 days)
  • Looking at average days below previous high in of 48 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (44 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of PGIM Balanced Fund Class A are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.