PRCOX vs. ^GSPC
Compare and contrast key facts about T. Rowe Price U.S. Equity Research Fund (PRCOX) and S&P 500 (^GSPC).
PRCOX is managed by T. Rowe Price. It was launched on Nov 30, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PRCOX or ^GSPC.
Performance
PRCOX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, PRCOX achieves a 27.29% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, PRCOX has underperformed ^GSPC with an annualized return of 10.39%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
PRCOX
27.29%
1.70%
13.12%
33.49%
15.55%
10.39%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| PRCOX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.72 | 2.54 |
| Sortino Ratio | 3.61 | 3.40 |
| Omega Ratio | 1.50 | 1.47 |
| Calmar Ratio | 3.84 | 3.66 |
| Martin Ratio | 17.48 | 16.26 |
| Ulcer Index | 1.95% | 1.91% |
| Daily Std Dev | 12.55% | 12.23% |
| Max Drawdown | -58.69% | -56.78% |
| Current Drawdown | -0.87% | -0.88% |
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Correlation
The correlation between PRCOX and ^GSPC is 0.95, 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
PRCOX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. Equity Research Fund (PRCOX) and S&P 500 (^GSPC). 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.
Drawdowns
PRCOX vs. ^GSPC - Drawdown Comparison
The maximum PRCOX drawdown since its inception was -58.69%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PRCOX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
PRCOX vs. ^GSPC - Volatility Comparison
T. Rowe Price U.S. Equity Research Fund (PRCOX) and S&P 500 (^GSPC) have volatilities of 4.02% and 3.96%, 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.