PRBLX vs. SPY

Last updated Jun 23, 2026

PRBLX (Parnassus Core Equity Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - PRBLX is a Large Cap Blend Equities fund managed by Parnassus, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, PRBLX returned 13.76%/yr vs 15.70%/yr for SPY. Their correlation of 0.89 suggests significant overlap in exposure. PRBLX charges 0.82%/yr vs 0.09%/yr for SPY.

Performance

PRBLX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parnassus Core Equity Fund (PRBLX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PRBLX achieves a 7.77% return, which is significantly lower than SPY's 9.74% return. Over the past 10 years, PRBLX has underperformed SPY with an annualized return of 13.76%, while SPY has yielded a comparatively higher 15.70% annualized return.

PRBLX

• 1D: 1.65%
• 1M: 2.48%
• YTD: 7.77%
• 6M: 7.55%
• 1Y: 16.44%
• 3Y*: 15.69%
• 5Y*: 10.64%
• 10Y*: 13.76%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PRBLX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PRBLX Parnassus Core Equity Fund	7.77%	11.67%	18.58%	24.97%	-18.64%	27.59%	21.21%	30.68%	-0.30%	16.63%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between PRBLX and SPY is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993	0.89

The correlation between PRBLX and SPY has been stable across timeframes, ranging from 0.89 to 0.95 - a consistent structural relationship.

Return for Risk

PRBLX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PRBLX

PRBLX Risk / Return Rank: 22
PRBLX Sharpe Ratio Rank: 24
PRBLX Sortino Ratio Rank: 23
PRBLX Omega Ratio Rank: 22
PRBLX Calmar Ratio Rank: 17
PRBLX Martin Ratio Rank: 24

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PRBLX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Core Equity Fund (PRBLX) and State Street SPDR S&P 500 ETF (SPY). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PRBLX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.31	2.16	-0.85
Sortino ratio: Return per unit of downside risk	1.87	2.91	-1.05
Omega ratio: Gain probability vs. loss probability	1.23	1.39	-0.16
Calmar ratio: Return relative to maximum drawdown	1.39	3.01	-1.63
Martin ratio: Return relative to average drawdown	5.38	13.54	-8.15

PRBLX vs. SPY - Sharpe Ratio Comparison

The current PRBLX Sharpe Ratio is 1.31, which is lower than the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of PRBLX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PRBLX vs. SPY - Drawdown Comparison

The maximum PRBLX drawdown since its inception was -42.20%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PRBLX and SPY.

Drawdown Indicators

	PRBLX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-42.20%	-55.19%	+12.99%
Max Drawdown (1Y) Largest decline over 1 year	-11.63%	-8.88%	-2.75%
Max Drawdown (3Y) Largest decline over 3 years	-16.31%	-18.76%	+2.45%
Max Drawdown (5Y) Largest decline over 5 years	-26.31%	-24.50%	-1.81%
Max Drawdown (10Y) Largest decline over 10 years	-30.09%	-33.72%	+3.63%
Current Drawdown Current decline from peak	-0.13%	-1.75%	+1.62%
Average Drawdown Average peak-to-trough decline	-4.04%	-9.04%	+5.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.98%	1.97%	+1.01%

Volatility

PRBLX vs. SPY - Volatility Comparison

Parnassus Core Equity Fund (PRBLX) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 4.67% and 4.64%, 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.

Volatility by Period

	PRBLX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.67%	4.64%	+0.03%
Volatility (6M) Calculated over the trailing 6-month period	9.97%	9.75%	+0.22%
Volatility (1Y) Calculated over the trailing 1-year period	12.35%	12.43%	-0.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.34%	17.14%	-0.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.31%	17.99%	-0.68%

PRBLX vs. SPY - Expense Ratio Comparison

PRBLX has a 0.82% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

PRBLX vs. SPY - Dividend Comparison

PRBLX's dividend yield for the trailing twelve months is around 17.66%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PRBLX Parnassus Core Equity Fund	17.66%	19.08%	10.00%	6.01%	10.13%	7.77%	5.87%	8.02%	9.64%	7.16%	3.80%	9.62%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both PRBLX and SPY in my portfolio?

With a correlation of 0.92, PRBLX and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, PRBLX or SPY?

PRBLX has higher volatility (4.67%) compared to SPY (4.64%). In terms of maximum drawdown, PRBLX dropped -42.20% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.16 vs 1.31), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.