PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ONEX.TO vs. TRRIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ONEX.TOTRRIX
YTD Return10.28%7.92%
1Y Return23.76%14.76%
3Y Return (Ann)2.86%1.35%
5Y Return (Ann)5.49%5.40%
10Y Return (Ann)5.33%5.10%
Sharpe Ratio1.132.81
Sortino Ratio1.664.23
Omega Ratio1.201.55
Calmar Ratio1.361.56
Martin Ratio3.0319.38
Ulcer Index8.58%0.80%
Daily Std Dev22.92%5.52%
Max Drawdown-75.60%-27.78%
Current Drawdown-4.61%-1.51%

Correlation

-0.50.00.51.00.5

The correlation between ONEX.TO and TRRIX is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

ONEX.TO vs. TRRIX - Performance Comparison

In the year-to-date period, ONEX.TO achieves a 10.28% return, which is significantly higher than TRRIX's 7.92% return. Both investments have delivered pretty close results over the past 10 years, with ONEX.TO having a 5.33% annualized return and TRRIX not far behind at 5.10%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-0.32%
4.81%
ONEX.TO
TRRIX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ONEX.TO vs. TRRIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Onex Corporation (ONEX.TO) and T. Rowe Price Retirement Balanced Fund (TRRIX). 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.


ONEX.TO
Sharpe ratio
The chart of Sharpe ratio for ONEX.TO, currently valued at 0.82, compared to the broader market-4.00-2.000.002.000.82
Sortino ratio
The chart of Sortino ratio for ONEX.TO, currently valued at 1.27, compared to the broader market-4.00-2.000.002.004.001.27
Omega ratio
The chart of Omega ratio for ONEX.TO, currently valued at 1.15, compared to the broader market0.501.001.502.001.15
Calmar ratio
The chart of Calmar ratio for ONEX.TO, currently valued at 0.84, compared to the broader market0.002.004.006.000.84
Martin ratio
The chart of Martin ratio for ONEX.TO, currently valued at 2.01, compared to the broader market-10.000.0010.0020.0030.002.01
TRRIX
Sharpe ratio
The chart of Sharpe ratio for TRRIX, currently valued at 2.81, compared to the broader market-4.00-2.000.002.002.81
Sortino ratio
The chart of Sortino ratio for TRRIX, currently valued at 4.23, compared to the broader market-4.00-2.000.002.004.004.23
Omega ratio
The chart of Omega ratio for TRRIX, currently valued at 1.56, compared to the broader market0.501.001.502.001.56
Calmar ratio
The chart of Calmar ratio for TRRIX, currently valued at 1.60, compared to the broader market0.002.004.006.001.60
Martin ratio
The chart of Martin ratio for TRRIX, currently valued at 19.15, compared to the broader market-10.000.0010.0020.0030.0019.15

ONEX.TO vs. TRRIX - Sharpe Ratio Comparison

The current ONEX.TO Sharpe Ratio is 1.13, which is lower than the TRRIX Sharpe Ratio of 2.81. The chart below compares the historical Sharpe Ratios of ONEX.TO and TRRIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
0.82
2.81
ONEX.TO
TRRIX

Dividends

ONEX.TO vs. TRRIX - Dividend Comparison

ONEX.TO's dividend yield for the trailing twelve months is around 0.39%, less than TRRIX's 4.19% yield.


TTM20232022202120202019201820172016201520142013
ONEX.TO
Onex Corporation
0.39%0.43%0.61%0.40%0.55%0.46%0.44%0.31%0.29%0.27%0.26%0.23%
TRRIX
T. Rowe Price Retirement Balanced Fund
4.19%4.13%10.46%12.72%9.26%3.39%7.01%5.08%3.40%3.45%3.49%2.97%

Drawdowns

ONEX.TO vs. TRRIX - Drawdown Comparison

The maximum ONEX.TO drawdown since its inception was -75.60%, which is greater than TRRIX's maximum drawdown of -27.78%. Use the drawdown chart below to compare losses from any high point for ONEX.TO and TRRIX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.92%
-1.51%
ONEX.TO
TRRIX

Volatility

ONEX.TO vs. TRRIX - Volatility Comparison

Onex Corporation (ONEX.TO) has a higher volatility of 5.82% compared to T. Rowe Price Retirement Balanced Fund (TRRIX) at 1.13%. This indicates that ONEX.TO's price experiences larger fluctuations and is considered to be riskier than TRRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.82%
1.13%
ONEX.TO
TRRIX