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PARMX vs. NOSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PARMX and NOSIX is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

PARMX vs. NOSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parnassus Mid Cap Fund (PARMX) and Northern Stock Index Fund (NOSIX). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
200.77%
646.81%
PARMX
NOSIX

Key characteristics

Sharpe Ratio

PARMX:

0.58

NOSIX:

2.41

Sortino Ratio

PARMX:

0.86

NOSIX:

3.24

Omega Ratio

PARMX:

1.11

NOSIX:

1.45

Calmar Ratio

PARMX:

0.37

NOSIX:

3.48

Martin Ratio

PARMX:

2.29

NOSIX:

15.61

Ulcer Index

PARMX:

3.47%

NOSIX:

1.88%

Daily Std Dev

PARMX:

13.81%

NOSIX:

12.21%

Max Drawdown

PARMX:

-51.40%

NOSIX:

-55.43%

Current Drawdown

PARMX:

-14.40%

NOSIX:

-0.54%

Returns By Period

In the year-to-date period, PARMX achieves a 6.34% return, which is significantly lower than NOSIX's 28.46% return. Over the past 10 years, PARMX has underperformed NOSIX with an annualized return of 4.20%, while NOSIX has yielded a comparatively higher 13.27% annualized return.


PARMX

YTD

6.34%

1M

-7.52%

6M

4.37%

1Y

7.25%

5Y*

2.36%

10Y*

4.20%

NOSIX

YTD

28.46%

1M

2.77%

6M

10.95%

1Y

28.61%

5Y*

15.19%

10Y*

13.27%

Compare stocks, funds, or ETFs

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PARMX vs. NOSIX - Expense Ratio Comparison

PARMX has a 0.96% expense ratio, which is higher than NOSIX's 0.05% expense ratio.


PARMX
Parnassus Mid Cap Fund
Expense ratio chart for PARMX: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%
Expense ratio chart for NOSIX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

PARMX vs. NOSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Mid Cap Fund (PARMX) and Northern Stock Index Fund (NOSIX). 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.


Sharpe ratio
The chart of Sharpe ratio for PARMX, currently valued at 0.58, compared to the broader market-1.000.001.002.003.004.000.582.41
The chart of Sortino ratio for PARMX, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.0010.000.863.24
The chart of Omega ratio for PARMX, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.003.501.111.45
The chart of Calmar ratio for PARMX, currently valued at 0.37, compared to the broader market0.005.0010.0015.000.373.48
The chart of Martin ratio for PARMX, currently valued at 2.29, compared to the broader market0.0020.0040.0060.002.2915.61
PARMX
NOSIX

The current PARMX Sharpe Ratio is 0.58, which is lower than the NOSIX Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of PARMX and NOSIX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.58
2.41
PARMX
NOSIX

Dividends

PARMX vs. NOSIX - Dividend Comparison

PARMX's dividend yield for the trailing twelve months is around 0.34%, less than NOSIX's 3.96% yield.


TTM20232022202120202019201820172016201520142013
PARMX
Parnassus Mid Cap Fund
0.34%0.37%0.01%0.03%0.19%0.51%0.76%1.49%0.38%0.70%0.72%1.04%
NOSIX
Northern Stock Index Fund
3.96%5.02%4.72%3.22%4.00%2.41%2.09%1.73%2.06%1.99%1.77%1.74%

Drawdowns

PARMX vs. NOSIX - Drawdown Comparison

The maximum PARMX drawdown since its inception was -51.40%, smaller than the maximum NOSIX drawdown of -55.43%. Use the drawdown chart below to compare losses from any high point for PARMX and NOSIX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.40%
-0.54%
PARMX
NOSIX

Volatility

PARMX vs. NOSIX - Volatility Comparison

Parnassus Mid Cap Fund (PARMX) has a higher volatility of 6.20% compared to Northern Stock Index Fund (NOSIX) at 1.84%. This indicates that PARMX's price experiences larger fluctuations and is considered to be riskier than NOSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
6.20%
1.84%
PARMX
NOSIX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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