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PEYAX vs. DGRO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PEYAX vs. DGRO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Putnam Large Cap Value Fund (PEYAX) and iShares Core Dividend Growth ETF (DGRO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.65%
12.23%
PEYAX
DGRO

Returns By Period

In the year-to-date period, PEYAX achieves a 24.90% return, which is significantly higher than DGRO's 20.51% return. Over the past 10 years, PEYAX has underperformed DGRO with an annualized return of 7.83%, while DGRO has yielded a comparatively higher 11.82% annualized return.


PEYAX

YTD

24.90%

1M

1.73%

6M

10.65%

1Y

27.72%

5Y (annualized)

9.43%

10Y (annualized)

7.83%

DGRO

YTD

20.51%

1M

0.76%

6M

12.23%

1Y

27.58%

5Y (annualized)

12.00%

10Y (annualized)

11.82%

Key characteristics


PEYAXDGRO
Sharpe Ratio2.642.92
Sortino Ratio3.504.12
Omega Ratio1.471.54
Calmar Ratio3.665.76
Martin Ratio19.7819.22
Ulcer Index1.42%1.46%
Daily Std Dev10.68%9.61%
Max Drawdown-50.96%-35.10%
Current Drawdown-0.80%-0.65%

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PEYAX vs. DGRO - Expense Ratio Comparison

PEYAX has a 0.88% expense ratio, which is higher than DGRO's 0.08% expense ratio.


PEYAX
Putnam Large Cap Value Fund
Expense ratio chart for PEYAX: 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 DGRO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between PEYAX and DGRO is 0.94, 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.

Risk-Adjusted Performance

PEYAX vs. DGRO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Large Cap Value Fund (PEYAX) and iShares Core Dividend Growth ETF (DGRO). 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 PEYAX, currently valued at 2.64, compared to the broader market-1.000.001.002.003.004.005.002.642.92
The chart of Sortino ratio for PEYAX, currently valued at 3.50, compared to the broader market0.005.0010.003.504.12
The chart of Omega ratio for PEYAX, currently valued at 1.47, compared to the broader market1.002.003.004.001.471.54
The chart of Calmar ratio for PEYAX, currently valued at 3.66, compared to the broader market0.005.0010.0015.0020.003.665.76
The chart of Martin ratio for PEYAX, currently valued at 19.78, compared to the broader market0.0020.0040.0060.0080.00100.0019.7819.22
PEYAX
DGRO

The current PEYAX Sharpe Ratio is 2.64, which is comparable to the DGRO Sharpe Ratio of 2.92. The chart below compares the historical Sharpe Ratios of PEYAX and DGRO, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.64
2.92
PEYAX
DGRO

Dividends

PEYAX vs. DGRO - Dividend Comparison

PEYAX's dividend yield for the trailing twelve months is around 1.20%, less than DGRO's 2.16% yield.


TTM20232022202120202019201820172016201520142013
PEYAX
Putnam Large Cap Value Fund
1.20%1.43%1.88%1.16%1.50%1.35%1.85%1.55%1.42%1.46%9.72%9.82%
DGRO
iShares Core Dividend Growth ETF
2.16%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%0.00%

Drawdowns

PEYAX vs. DGRO - Drawdown Comparison

The maximum PEYAX drawdown since its inception was -50.96%, which is greater than DGRO's maximum drawdown of -35.10%. Use the drawdown chart below to compare losses from any high point for PEYAX and DGRO. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
-0.65%
PEYAX
DGRO

Volatility

PEYAX vs. DGRO - Volatility Comparison

Putnam Large Cap Value Fund (PEYAX) and iShares Core Dividend Growth ETF (DGRO) have volatilities of 3.41% and 3.40%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.41%
3.40%
PEYAX
DGRO