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

Key characteristics


PARWXVOO
YTD Return16.30%27.15%
1Y Return30.74%39.90%
3Y Return (Ann)-0.33%10.28%
5Y Return (Ann)11.04%16.00%
10Y Return (Ann)8.39%13.43%
Sharpe Ratio2.503.15
Sortino Ratio3.424.19
Omega Ratio1.451.59
Calmar Ratio1.214.60
Martin Ratio11.9221.00
Ulcer Index2.51%1.85%
Daily Std Dev11.93%12.34%
Max Drawdown-48.96%-33.99%
Current Drawdown-1.53%0.00%

Correlation

-0.50.00.51.00.9

The correlation between PARWX and VOO is 0.88, 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

PARWX vs. VOO - Performance Comparison

In the year-to-date period, PARWX achieves a 16.30% return, which is significantly lower than VOO's 27.15% return. Over the past 10 years, PARWX has underperformed VOO with an annualized return of 8.39%, while VOO has yielded a comparatively higher 13.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%300.00%400.00%500.00%600.00%JuneJulyAugustSeptemberOctoberNovember
291.72%
609.26%
PARWX
VOO

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PARWX vs. VOO - Expense Ratio Comparison

PARWX has a 0.88% expense ratio, which is higher than VOO'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 VOO: 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%

Risk-Adjusted Performance

PARWX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Endeavor Fund (PARWX) and Vanguard S&P 500 ETF (VOO). 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
Sharpe ratio
The chart of Sharpe ratio for PARWX, currently valued at 2.50, compared to the broader market0.002.004.002.50
Sortino ratio
The chart of Sortino ratio for PARWX, currently valued at 3.42, compared to the broader market0.005.0010.003.42
Omega ratio
The chart of Omega ratio for PARWX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for PARWX, currently valued at 1.21, compared to the broader market0.005.0010.0015.0020.0025.001.21
Martin ratio
The chart of Martin ratio for PARWX, currently valued at 11.92, compared to the broader market0.0020.0040.0060.0080.00100.0011.92
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.0021.00

PARWX vs. VOO - Sharpe Ratio Comparison

The current PARWX Sharpe Ratio is 2.50, which is comparable to the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of PARWX and VOO, 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
2.50
3.15
PARWX
VOO

Dividends

PARWX vs. VOO - Dividend Comparison

PARWX's dividend yield for the trailing twelve months is around 1.03%, less than VOO's 1.23% 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%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PARWX vs. VOO - Drawdown Comparison

The maximum PARWX drawdown since its inception was -48.96%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PARWX and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.53%
0
PARWX
VOO

Volatility

PARWX vs. VOO - Volatility Comparison

The current volatility for Parnassus Endeavor Fund (PARWX) is 3.33%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.95%. This indicates that PARWX experiences smaller price fluctuations and is considered to be less risky than VOO 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
3.33%
3.95%
PARWX
VOO