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PBDIX vs. PRXCX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PBDIX vs. PRXCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price QM U.S. Bond Index Fund (PBDIX) and T. Rowe Price California Tax Free Bond Fund (PRXCX). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
3.55%
PBDIX
PRXCX

Returns By Period

In the year-to-date period, PBDIX achieves a 1.61% return, which is significantly lower than PRXCX's 2.93% return. Over the past 10 years, PBDIX has underperformed PRXCX with an annualized return of 1.53%, while PRXCX has yielded a comparatively higher 2.51% annualized return.


PBDIX

YTD

1.61%

1M

-0.79%

6M

3.07%

1Y

6.53%

5Y (annualized)

-0.02%

10Y (annualized)

1.53%

PRXCX

YTD

2.93%

1M

0.00%

6M

3.26%

1Y

7.85%

5Y (annualized)

1.43%

10Y (annualized)

2.51%

Key characteristics


PBDIXPRXCX
Sharpe Ratio1.142.17
Sortino Ratio1.693.22
Omega Ratio1.201.51
Calmar Ratio0.431.02
Martin Ratio3.7510.27
Ulcer Index1.77%0.78%
Daily Std Dev5.84%3.72%
Max Drawdown-19.26%-19.48%
Current Drawdown-9.54%-1.08%

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PBDIX vs. PRXCX - Expense Ratio Comparison

PBDIX has a 0.23% expense ratio, which is lower than PRXCX's 0.53% expense ratio.


PRXCX
T. Rowe Price California Tax Free Bond Fund
Expense ratio chart for PRXCX: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for PBDIX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Correlation

-0.50.00.51.00.6

The correlation between PBDIX and PRXCX is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PBDIX vs. PRXCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price QM U.S. Bond Index Fund (PBDIX) and T. Rowe Price California Tax Free Bond Fund (PRXCX). 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 PBDIX, currently valued at 1.14, compared to the broader market-1.000.001.002.003.004.005.001.142.17
The chart of Sortino ratio for PBDIX, currently valued at 1.69, compared to the broader market0.005.0010.001.693.22
The chart of Omega ratio for PBDIX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.51
The chart of Calmar ratio for PBDIX, currently valued at 0.43, compared to the broader market0.005.0010.0015.0020.0025.000.431.02
The chart of Martin ratio for PBDIX, currently valued at 3.75, compared to the broader market0.0020.0040.0060.0080.00100.003.7510.27
PBDIX
PRXCX

The current PBDIX Sharpe Ratio is 1.14, which is lower than the PRXCX Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of PBDIX and PRXCX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.14
2.17
PBDIX
PRXCX

Dividends

PBDIX vs. PRXCX - Dividend Comparison

PBDIX's dividend yield for the trailing twelve months is around 4.00%, more than PRXCX's 3.21% yield.


TTM20232022202120202019201820172016201520142013
PBDIX
T. Rowe Price QM U.S. Bond Index Fund
4.00%3.49%2.74%1.85%4.85%2.92%2.94%2.75%2.78%2.90%2.86%3.05%
PRXCX
T. Rowe Price California Tax Free Bond Fund
3.21%3.04%2.83%2.51%2.73%2.93%3.11%3.09%3.34%3.43%3.60%3.95%

Drawdowns

PBDIX vs. PRXCX - Drawdown Comparison

The maximum PBDIX drawdown since its inception was -19.26%, roughly equal to the maximum PRXCX drawdown of -19.48%. Use the drawdown chart below to compare losses from any high point for PBDIX and PRXCX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.54%
-1.08%
PBDIX
PRXCX

Volatility

PBDIX vs. PRXCX - Volatility Comparison

The current volatility for T. Rowe Price QM U.S. Bond Index Fund (PBDIX) is 1.47%, while T. Rowe Price California Tax Free Bond Fund (PRXCX) has a volatility of 1.87%. This indicates that PBDIX experiences smaller price fluctuations and is considered to be less risky than PRXCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.47%
1.87%
PBDIX
PRXCX