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PIEQX vs. PREIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PIEQXPREIX
YTD Return4.29%26.75%
1Y Return12.11%34.77%
3Y Return (Ann)1.29%10.04%
5Y Return (Ann)5.63%15.58%
10Y Return (Ann)5.05%13.21%
Sharpe Ratio1.083.04
Sortino Ratio1.634.05
Omega Ratio1.201.57
Calmar Ratio1.744.42
Martin Ratio5.7019.96
Ulcer Index2.64%1.87%
Daily Std Dev13.90%12.27%
Max Drawdown-60.73%-55.32%
Current Drawdown-8.65%-0.26%

Correlation

-0.50.00.51.00.7

The correlation between PIEQX and PREIX is 0.74, 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

PIEQX vs. PREIX - Performance Comparison

In the year-to-date period, PIEQX achieves a 4.29% return, which is significantly lower than PREIX's 26.75% return. Over the past 10 years, PIEQX has underperformed PREIX with an annualized return of 5.05%, while PREIX has yielded a comparatively higher 13.21% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.79%
13.38%
PIEQX
PREIX

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PIEQX vs. PREIX - Expense Ratio Comparison

PIEQX has a 0.29% expense ratio, which is higher than PREIX's 0.15% expense ratio.


PIEQX
T. Rowe Price International Equity Index Fund
Expense ratio chart for PIEQX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for PREIX: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

PIEQX vs. PREIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price International Equity Index Fund (PIEQX) and T. Rowe Price Equity Index 500 Fund (PREIX). 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.


PIEQX
Sharpe ratio
The chart of Sharpe ratio for PIEQX, currently valued at 1.08, compared to the broader market0.002.004.001.08
Sortino ratio
The chart of Sortino ratio for PIEQX, currently valued at 1.63, compared to the broader market0.005.0010.001.63
Omega ratio
The chart of Omega ratio for PIEQX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for PIEQX, currently valued at 1.74, compared to the broader market0.005.0010.0015.0020.0025.001.74
Martin ratio
The chart of Martin ratio for PIEQX, currently valued at 5.70, compared to the broader market0.0020.0040.0060.0080.00100.005.70
PREIX
Sharpe ratio
The chart of Sharpe ratio for PREIX, currently valued at 3.04, compared to the broader market0.002.004.003.04
Sortino ratio
The chart of Sortino ratio for PREIX, currently valued at 4.05, compared to the broader market0.005.0010.004.05
Omega ratio
The chart of Omega ratio for PREIX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for PREIX, currently valued at 4.42, compared to the broader market0.005.0010.0015.0020.0025.004.42
Martin ratio
The chart of Martin ratio for PREIX, currently valued at 19.96, compared to the broader market0.0020.0040.0060.0080.00100.0019.96

PIEQX vs. PREIX - Sharpe Ratio Comparison

The current PIEQX Sharpe Ratio is 1.08, which is lower than the PREIX Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of PIEQX and PREIX, 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
1.08
3.04
PIEQX
PREIX

Dividends

PIEQX vs. PREIX - Dividend Comparison

PIEQX's dividend yield for the trailing twelve months is around 2.88%, more than PREIX's 1.09% yield.


TTM20232022202120202019201820172016201520142013
PIEQX
T. Rowe Price International Equity Index Fund
2.88%3.01%2.67%2.42%1.71%2.68%2.99%2.42%2.90%2.69%3.33%2.07%
PREIX
T. Rowe Price Equity Index 500 Fund
1.09%1.33%1.50%1.15%1.56%1.78%1.95%1.65%1.83%2.02%1.69%1.63%

Drawdowns

PIEQX vs. PREIX - Drawdown Comparison

The maximum PIEQX drawdown since its inception was -60.73%, which is greater than PREIX's maximum drawdown of -55.32%. Use the drawdown chart below to compare losses from any high point for PIEQX and PREIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.65%
-0.26%
PIEQX
PREIX

Volatility

PIEQX vs. PREIX - Volatility Comparison

T. Rowe Price International Equity Index Fund (PIEQX) and T. Rowe Price Equity Index 500 Fund (PREIX) have volatilities of 3.83% and 3.74%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.83%
3.74%
PIEQX
PREIX