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PEXMX vs. IWM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PEXMXIWM
YTD Return21.58%19.68%
1Y Return45.20%44.16%
3Y Return (Ann)1.16%0.95%
5Y Return (Ann)11.50%9.84%
10Y Return (Ann)9.87%8.79%
Sharpe Ratio2.361.94
Sortino Ratio3.252.78
Omega Ratio1.411.34
Calmar Ratio1.501.44
Martin Ratio13.7711.17
Ulcer Index3.14%3.75%
Daily Std Dev18.32%21.57%
Max Drawdown-57.28%-59.05%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between PEXMX and IWM is 0.96, 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

PEXMX vs. IWM - Performance Comparison

In the year-to-date period, PEXMX achieves a 21.58% return, which is significantly higher than IWM's 19.68% return. Over the past 10 years, PEXMX has outperformed IWM with an annualized return of 9.87%, while IWM has yielded a comparatively lower 8.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.66%
17.27%
PEXMX
IWM

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PEXMX vs. IWM - Expense Ratio Comparison

PEXMX has a 0.23% expense ratio, which is higher than IWM's 0.19% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


PEXMX
T. Rowe Price Extended Equity Market Index Fund
Expense ratio chart for PEXMX: 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%
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

PEXMX vs. IWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Extended Equity Market Index Fund (PEXMX) and iShares Russell 2000 ETF (IWM). 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.


PEXMX
Sharpe ratio
The chart of Sharpe ratio for PEXMX, currently valued at 2.36, compared to the broader market0.002.004.002.36
Sortino ratio
The chart of Sortino ratio for PEXMX, currently valued at 3.25, compared to the broader market0.005.0010.003.25
Omega ratio
The chart of Omega ratio for PEXMX, currently valued at 1.41, compared to the broader market1.002.003.004.001.41
Calmar ratio
The chart of Calmar ratio for PEXMX, currently valued at 1.50, compared to the broader market0.005.0010.0015.0020.001.50
Martin ratio
The chart of Martin ratio for PEXMX, currently valued at 13.77, compared to the broader market0.0020.0040.0060.0080.00100.0013.77
IWM
Sharpe ratio
The chart of Sharpe ratio for IWM, currently valued at 1.94, compared to the broader market0.002.004.001.94
Sortino ratio
The chart of Sortino ratio for IWM, currently valued at 2.78, compared to the broader market0.005.0010.002.78
Omega ratio
The chart of Omega ratio for IWM, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for IWM, currently valued at 1.44, compared to the broader market0.005.0010.0015.0020.001.44
Martin ratio
The chart of Martin ratio for IWM, currently valued at 11.17, compared to the broader market0.0020.0040.0060.0080.00100.0011.17

PEXMX vs. IWM - Sharpe Ratio Comparison

The current PEXMX Sharpe Ratio is 2.36, which is comparable to the IWM Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of PEXMX and IWM, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.36
1.94
PEXMX
IWM

Dividends

PEXMX vs. IWM - Dividend Comparison

PEXMX's dividend yield for the trailing twelve months is around 0.86%, less than IWM's 1.08% yield.


TTM20232022202120202019201820172016201520142013
PEXMX
T. Rowe Price Extended Equity Market Index Fund
0.86%1.05%1.32%0.75%0.65%1.06%1.29%1.13%1.15%0.95%1.08%0.74%
IWM
iShares Russell 2000 ETF
1.08%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%

Drawdowns

PEXMX vs. IWM - Drawdown Comparison

The maximum PEXMX drawdown since its inception was -57.28%, roughly equal to the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for PEXMX and IWM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
PEXMX
IWM

Volatility

PEXMX vs. IWM - Volatility Comparison

The current volatility for T. Rowe Price Extended Equity Market Index Fund (PEXMX) is 5.84%, while iShares Russell 2000 ETF (IWM) has a volatility of 7.16%. This indicates that PEXMX experiences smaller price fluctuations and is considered to be less risky than IWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.84%
7.16%
PEXMX
IWM