PARWX vs. SPY

Last updated Jun 3, 2026

PARWX (Parnassus Endeavor Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - PARWX is a Large Cap Value Equities fund managed by Parnassus, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, PARWX returned 14.57%/yr vs 15.57%/yr for SPY. Their correlation of 0.89 suggests significant overlap in exposure. PARWX charges 0.88%/yr vs 0.09%/yr for SPY.

Performance

PARWX vs. SPY - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with PARWX having a 11.88% return and SPY slightly lower at 11.69%. Over the past 10 years, PARWX has underperformed SPY with an annualized return of 14.57%, while SPY has yielded a comparatively higher 15.57% annualized return.

PARWX

• 1D: 0.19%
• 1M: 3.15%
• YTD: 11.88%
• 6M: 13.58%
• 1Y: 33.62%
• 3Y*: 18.86%
• 5Y*: 9.00%
• 10Y*: 14.57%

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PARWX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PARWX Parnassus Endeavor Fund	11.88%	19.07%	12.03%	13.67%	-13.71%	31.09%	27.42%	33.28%	-13.58%	19.85%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between PARWX and SPY is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since May 2, 2005	0.89

The correlation between PARWX and SPY has been stable across timeframes, ranging from 0.86 to 0.90 - a consistent structural relationship.

Return for Risk

PARWX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PARWX

PARWX Risk / Return Rank: 85
PARWX Sharpe Ratio Rank: 88
PARWX Sortino Ratio Rank: 85
PARWX Omega Ratio Rank: 78
PARWX Calmar Ratio Rank: 82
PARWX Martin Ratio Rank: 90

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PARWX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Endeavor Fund (PARWX) and State Street 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.

	PARWX	SPY	Difference
Sharpe ratio Return per unit of total volatility	2.86	2.52	+0.34
Sortino ratio Return per unit of downside risk	4.03	3.42	+0.61
Omega ratio Gain probability vs. loss probability	1.51	1.46	+0.05
Calmar ratio Return relative to maximum drawdown	3.82	3.42	+0.40
Martin ratio Return relative to average drawdown	18.05	15.93	+2.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PARWX vs. SPY - Sharpe Ratio Comparison

The current PARWX Sharpe Ratio is 2.86, which is comparable to the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of PARWX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PARWX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.86	2.52	+0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.84	-0.35
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.87	-0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.59	+0.02

Drawdowns

PARWX vs. SPY - Drawdown Comparison

The maximum PARWX drawdown since its inception was -47.76%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PARWX and SPY.

Drawdown Indicators

	PARWX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-47.76%	-55.19%	+7.43%
Max Drawdown (1Y) Largest decline over 1 year	-8.92%	-8.88%	-0.04%
Max Drawdown (3Y) Largest decline over 3 years	-18.02%	-18.76%	+0.74%
Max Drawdown (5Y) Largest decline over 5 years	-32.27%	-24.50%	-7.77%
Max Drawdown (10Y) Largest decline over 10 years	-37.21%	-33.72%	-3.49%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.88%	-9.05%	+2.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.89%	1.91%	-0.02%

Volatility

PARWX vs. SPY - Volatility Comparison

Parnassus Endeavor Fund (PARWX) has a higher volatility of 3.12% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that PARWX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PARWX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.12%	2.75%	+0.37%
Volatility (6M) Calculated over the trailing 6-month period	9.28%	8.89%	+0.39%
Volatility (1Y) Calculated over the trailing 1-year period	11.90%	11.81%	+0.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.70%	17.05%	+1.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.05%	17.94%	+3.11%

PARWX vs. SPY - Expense Ratio Comparison

PARWX has a 0.88% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

PARWX vs. SPY - Dividend Comparison

PARWX's dividend yield for the trailing twelve months is around 10.85%, more than SPY's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PARWX Parnassus Endeavor Fund	10.85%	12.14%	8.25%	1.76%	2.97%	16.75%	0.70%	0.79%	12.34%	6.32%	3.27%	10.26%
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both PARWX and SPY in my portfolio?

PARWX and SPY have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PARWX or SPY?

PARWX has higher volatility (3.12%) compared to SPY (2.75%). In terms of maximum drawdown, PARWX dropped -47.76% vs SPY's -55.19%.

Which has better risk-adjusted returns?

PARWX currently has the higher Sharpe Ratio (2.86 vs 2.52), 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.