MGQIX vs. PRCOX
MGQIX (Morgan Stanley Institutional Fund, Inc. Global Sustain Portfolio) and PRCOX (T. Rowe Price U.S. Equity Research Fund) are both mutual funds - MGQIX is a Global Equities fund managed by T. Rowe Price, while PRCOX is a Large Cap Blend Equities fund managed by T. Rowe Price. Over the past 10 years, MGQIX returned 6.77%/yr vs 16.17%/yr for PRCOX. Their correlation of 0.85 suggests significant overlap in exposure. MGQIX charges 0.90%/yr vs 0.42%/yr for PRCOX.
Performance
MGQIX vs. PRCOX - Performance Comparison
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Returns By Period
In the year-to-date period, MGQIX achieves a -2.42% return, which is significantly lower than PRCOX's 12.08% return. Over the past 10 years, MGQIX has underperformed PRCOX with an annualized return of 6.77%, while PRCOX has yielded a comparatively higher 16.17% annualized return.
MGQIX
- 1D
- -0.23%
- 1M
- 1.89%
- YTD
- -2.42%
- 6M
- -26.62%
- 1Y
- -27.60%
- 3Y*
- 0.01%
- 5Y*
- -0.29%
- 10Y*
- 6.77%
PRCOX
- 1D
- 0.28%
- 1M
- 5.68%
- YTD
- 12.08%
- 6M
- 12.15%
- 1Y
- 28.46%
- 3Y*
- 23.19%
- 5Y*
- 14.72%
- 10Y*
- 16.17%
MGQIX vs. PRCOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MGQIX Morgan Stanley Institutional Fund, Inc. Global Sustain Portfolio | -2.42% | -19.55% | 16.34% | 21.69% | -20.69% | 18.61% | 15.97% | 32.94% | 0.43% | 21.67% |
PRCOX T. Rowe Price U.S. Equity Research Fund | 12.08% | 16.34% | 26.41% | 29.82% | -18.80% | 28.06% | 19.82% | 33.04% | -4.73% | 23.80% |
Correlation
The correlation between MGQIX and PRCOX is 0.77, 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 | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2013 | 0.85 |
The correlation between MGQIX and PRCOX shifts across timeframes, from 0.77 (1 year) to 0.87 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
MGQIX vs. PRCOX — Risk / Return Rank
MGQIX
PRCOX
MGQIX vs. PRCOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Institutional Fund, Inc. Global Sustain Portfolio (MGQIX) and T. Rowe Price U.S. Equity Research Fund (PRCOX). 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.
| MGQIX | PRCOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.44 | ||
| Sortino ratioReturn per unit of downside risk | -4.44 | ||
| Omega ratioGain probability vs. loss probability | 0.74 | 1.44 | -0.70 |
| Calmar ratioReturn relative to maximum drawdown | -0.75 | 3.16 | -3.91 |
| Martin ratioReturn relative to average drawdown | -1.34 | 14.73 | -16.07 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MGQIX | PRCOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.97 | 2.47 | -3.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.01 | 0.85 | -0.87 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.31 | 0.88 | -0.57 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.57 | -0.22 |
Drawdowns
MGQIX vs. PRCOX - Drawdown Comparison
The maximum MGQIX drawdown since its inception was -47.63%, smaller than the maximum PRCOX drawdown of -53.96%. Use the drawdown chart below to compare losses from any high point for MGQIX and PRCOX.
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Drawdown Indicators
| MGQIX | PRCOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.63% | -53.96% | +6.33% |
Max Drawdown (1Y)Largest decline over 1 year | -37.59% | -9.32% | -28.27% |
Max Drawdown (3Y)Largest decline over 3 years | -47.63% | -19.39% | -28.24% |
Max Drawdown (5Y)Largest decline over 5 years | -47.63% | -24.94% | -22.69% |
Max Drawdown (10Y)Largest decline over 10 years | -47.63% | -34.42% | -13.21% |
Current DrawdownCurrent decline from peak | -41.07% | 0.00% | -41.07% |
Average DrawdownAverage peak-to-trough decline | -7.27% | -9.18% | +1.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.89% | 1.99% | +18.90% |
Volatility
MGQIX vs. PRCOX - Volatility Comparison
Morgan Stanley Institutional Fund, Inc. Global Sustain Portfolio (MGQIX) and T. Rowe Price U.S. Equity Research Fund (PRCOX) have volatilities of 3.00% and 3.07%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MGQIX | PRCOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.00% | 3.07% | -0.07% |
Volatility (6M)Calculated over the trailing 6-month period | 31.40% | 9.39% | +22.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.91% | 11.93% | +16.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.02% | 17.34% | +8.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.92% | 18.35% | +3.57% |
MGQIX vs. PRCOX - Expense Ratio Comparison
MGQIX has a 0.90% expense ratio, which is higher than PRCOX's 0.42% expense ratio.
Dividends
MGQIX vs. PRCOX - Dividend Comparison
MGQIX has not paid dividends to shareholders, while PRCOX's dividend yield for the trailing twelve months is around 1.05%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MGQIX Morgan Stanley Institutional Fund, Inc. Global Sustain Portfolio | 0.00% | 0.00% | 30.72% | 0.47% | 0.71% | 1.79% | 2.54% | 4.84% | 8.37% | 5.51% | 8.22% | 3.11% |
PRCOX T. Rowe Price U.S. Equity Research Fund | 1.05% | 1.17% | 0.64% | 1.17% | 1.28% | 3.71% | 1.04% | 1.39% | 5.60% | 7.02% | 7.28% | 8.76% |
Frequently Asked Questions
MGQIX and PRCOX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PRCOX has higher volatility (3.07%) compared to MGQIX (3.00%). In terms of maximum drawdown, MGQIX dropped -47.63% vs PRCOX's -53.96%.
PRCOX currently has the higher Sharpe Ratio (2.47 vs -0.97), 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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