PFF: The Rewards Do Not Justify The Risk

Approximately one-third of PFF's portfolio is invested in Mandatory Convertible Preferred Shares. These have contributed disproportionately to PFF's overall returns, which lag the overall category. PFF's exposure to Mandatory Convertible Preferred Shares has made it a riskier investment (as measured by its Standard Deviation) than both its benchmark index, and the overall Preferred Share category. Returns have been worse that the category as a whole, investors are not compensated for assuming this additional risk, and PFF has an extremely low Sharpe Ratio.