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

Key characteristics


PEXMXPRWCX
YTD Return21.58%14.83%
1Y Return45.20%24.32%
3Y Return (Ann)1.16%6.51%
5Y Return (Ann)11.50%11.80%
10Y Return (Ann)9.87%10.85%
Sharpe Ratio2.363.06
Sortino Ratio3.254.29
Omega Ratio1.411.59
Calmar Ratio1.506.45
Martin Ratio13.7725.20
Ulcer Index3.14%0.93%
Daily Std Dev18.32%7.65%
Max Drawdown-57.28%-41.77%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between PEXMX and PRWCX is 0.81, 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. PRWCX - Performance Comparison

In the year-to-date period, PEXMX achieves a 21.58% return, which is significantly higher than PRWCX's 14.83% return. Over the past 10 years, PEXMX has underperformed PRWCX with an annualized return of 9.87%, while PRWCX has yielded a comparatively higher 10.85% 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%
9.38%
PEXMX
PRWCX

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PEXMX vs. PRWCX - Expense Ratio Comparison

PEXMX has a 0.23% expense ratio, which is lower than PRWCX's 0.68% expense ratio.


PRWCX
T. Rowe Price Capital Appreciation Fund
Expense ratio chart for PRWCX: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
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%

Risk-Adjusted Performance

PEXMX vs. PRWCX - 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 T. Rowe Price Capital Appreciation Fund (PRWCX). 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
PRWCX
Sharpe ratio
The chart of Sharpe ratio for PRWCX, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for PRWCX, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Omega ratio
The chart of Omega ratio for PRWCX, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for PRWCX, currently valued at 6.45, compared to the broader market0.005.0010.0015.0020.006.45
Martin ratio
The chart of Martin ratio for PRWCX, currently valued at 25.20, compared to the broader market0.0020.0040.0060.0080.00100.0025.20

PEXMX vs. PRWCX - Sharpe Ratio Comparison

The current PEXMX Sharpe Ratio is 2.36, which is comparable to the PRWCX Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of PEXMX and PRWCX, 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
2.36
3.06
PEXMX
PRWCX

Dividends

PEXMX vs. PRWCX - Dividend Comparison

PEXMX's dividend yield for the trailing twelve months is around 0.86%, less than PRWCX's 1.84% 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%
PRWCX
T. Rowe Price Capital Appreciation Fund
1.84%2.11%1.57%0.95%1.17%1.54%2.53%1.31%1.57%1.52%1.42%1.13%

Drawdowns

PEXMX vs. PRWCX - Drawdown Comparison

The maximum PEXMX drawdown since its inception was -57.28%, which is greater than PRWCX's maximum drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for PEXMX and PRWCX. For additional features, visit the drawdowns tool.


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

Volatility

PEXMX vs. PRWCX - Volatility Comparison

T. Rowe Price Extended Equity Market Index Fund (PEXMX) has a higher volatility of 5.84% compared to T. Rowe Price Capital Appreciation Fund (PRWCX) at 2.37%. This indicates that PEXMX's price experiences larger fluctuations and is considered to be riskier than PRWCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.84%
2.37%
PEXMX
PRWCX