PARMX vs. SPY
Compare and contrast key facts about Parnassus Mid Cap Fund (PARMX) and SPDR S&P 500 ETF (SPY).
PARMX is managed by Parnassus. It was launched on Apr 29, 2005. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PARMX or SPY.
Key characteristics
| PARMX | SPY | |
|---|---|---|
| YTD Return | 18.42% | 27.16% |
| 1Y Return | 30.37% | 37.73% |
| 3Y Return (Ann) | -1.21% | 10.28% |
| 5Y Return (Ann) | 4.67% | 15.97% |
| 10Y Return (Ann) | 5.44% | 13.38% |
| Sharpe Ratio | 2.46 | 3.25 |
| Sortino Ratio | 3.44 | 4.32 |
| Omega Ratio | 1.42 | 1.61 |
| Calmar Ratio | 1.19 | 4.74 |
| Martin Ratio | 10.22 | 21.51 |
| Ulcer Index | 3.14% | 1.85% |
| Daily Std Dev | 13.03% | 12.20% |
| Max Drawdown | -51.40% | -55.19% |
| Current Drawdown | -4.67% | 0.00% |
Correlation
The correlation between PARMX and SPY 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.
Performance
PARMX vs. SPY - Performance Comparison
In the year-to-date period, PARMX achieves a 18.42% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, PARMX has underperformed SPY with an annualized return of 5.44%, while SPY has yielded a comparatively higher 13.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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PARMX vs. SPY - Expense Ratio Comparison
PARMX has a 0.96% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
PARMX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parnassus Mid Cap Fund (PARMX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
PARMX vs. SPY - Dividend Comparison
PARMX's dividend yield for the trailing twelve months is around 0.31%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PARMX Parnassus Mid Cap Fund | 0.31% | 0.37% | 0.01% | 0.03% | 0.19% | 0.51% | 0.76% | 1.49% | 0.38% | 0.70% | 0.72% | 1.04% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
PARMX vs. SPY - Drawdown Comparison
The maximum PARMX drawdown since its inception was -51.40%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PARMX and SPY. For additional features, visit the drawdowns tool.
Volatility
PARMX vs. SPY - Volatility Comparison
The current volatility for Parnassus Mid Cap Fund (PARMX) is 3.42%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that PARMX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.