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PARWX vs. IVV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PARWX vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parnassus Endeavor Fund (PARWX) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.62%
13.24%
PARWX
IVV

Returns By Period

In the year-to-date period, PARWX achieves a 16.34% return, which is significantly lower than IVV's 26.56% return. Over the past 10 years, PARWX has underperformed IVV with an annualized return of 8.63%, while IVV has yielded a comparatively higher 13.20% annualized return.


PARWX

YTD

16.34%

1M

2.91%

6M

9.62%

1Y

24.88%

5Y (annualized)

11.17%

10Y (annualized)

8.63%

IVV

YTD

26.56%

1M

3.04%

6M

13.24%

1Y

32.78%

5Y (annualized)

15.74%

10Y (annualized)

13.20%

Key characteristics


PARWXIVV
Sharpe Ratio2.112.70
Sortino Ratio2.893.60
Omega Ratio1.371.50
Calmar Ratio1.173.90
Martin Ratio9.8617.52
Ulcer Index2.52%1.87%
Daily Std Dev11.82%12.16%
Max Drawdown-48.96%-55.25%
Current Drawdown-1.49%-0.52%

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PARWX vs. IVV - Expense Ratio Comparison

PARWX has a 0.88% expense ratio, which is higher than IVV's 0.03% expense ratio.


PARWX
Parnassus Endeavor Fund
Expense ratio chart for PARWX: current value at 0.88% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.88%
Expense ratio chart for IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.9

The correlation between PARWX and IVV is 0.89, 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.

Risk-Adjusted Performance

PARWX vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Endeavor Fund (PARWX) and iShares Core S&P 500 ETF (IVV). 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 PARWX, currently valued at 2.11, compared to the broader market-1.000.001.002.003.004.005.002.112.70
The chart of Sortino ratio for PARWX, currently valued at 2.89, compared to the broader market0.005.0010.002.893.60
The chart of Omega ratio for PARWX, currently valued at 1.37, compared to the broader market1.002.003.004.001.371.50
The chart of Calmar ratio for PARWX, currently valued at 1.17, compared to the broader market0.005.0010.0015.0020.001.173.90
The chart of Martin ratio for PARWX, currently valued at 9.86, compared to the broader market0.0020.0040.0060.0080.00100.009.8617.52
PARWX
IVV

The current PARWX Sharpe Ratio is 2.11, which is comparable to the IVV Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of PARWX and IVV, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.11
2.70
PARWX
IVV

Dividends

PARWX vs. IVV - Dividend Comparison

PARWX's dividend yield for the trailing twelve months is around 1.03%, less than IVV's 1.24% yield.


TTM20232022202120202019201820172016201520142013
PARWX
Parnassus Endeavor Fund
1.03%1.20%1.19%1.80%0.70%0.79%1.80%2.08%0.98%3.11%1.71%1.85%
IVV
iShares Core S&P 500 ETF
1.24%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%

Drawdowns

PARWX vs. IVV - Drawdown Comparison

The maximum PARWX drawdown since its inception was -48.96%, smaller than the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for PARWX and IVV. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.49%
-0.52%
PARWX
IVV

Volatility

PARWX vs. IVV - Volatility Comparison

The current volatility for Parnassus Endeavor Fund (PARWX) is 3.59%, while iShares Core S&P 500 ETF (IVV) has a volatility of 3.98%. This indicates that PARWX experiences smaller price fluctuations and is considered to be less risky than IVV 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%JuneJulyAugustSeptemberOctoberNovember
3.59%
3.98%
PARWX
IVV