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PRCOX vs. SWPPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRCOX and SWPPX is 0.97, 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

PRCOX vs. SWPPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. Equity Research Fund (PRCOX) and Schwab S&P 500 Index Fund (SWPPX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

PRCOX:

0.58

SWPPX:

0.63

Sortino Ratio

PRCOX:

0.99

SWPPX:

1.07

Omega Ratio

PRCOX:

1.14

SWPPX:

1.16

Calmar Ratio

PRCOX:

0.65

SWPPX:

0.71

Martin Ratio

PRCOX:

2.42

SWPPX:

2.70

Ulcer Index

PRCOX:

5.14%

SWPPX:

4.92%

Daily Std Dev

PRCOX:

20.11%

SWPPX:

19.78%

Max Drawdown

PRCOX:

-58.69%

SWPPX:

-55.06%

Current Drawdown

PRCOX:

-4.25%

SWPPX:

-3.80%

Returns By Period

In the year-to-date period, PRCOX achieves a 0.10% return, which is significantly lower than SWPPX's 0.65% return. Over the past 10 years, PRCOX has underperformed SWPPX with an annualized return of 10.34%, while SWPPX has yielded a comparatively higher 12.77% annualized return.


PRCOX

YTD

0.10%

1M

6.63%

6M

-1.35%

1Y

11.52%

3Y*

15.19%

5Y*

15.80%

10Y*

10.34%

SWPPX

YTD

0.65%

1M

6.66%

6M

-1.20%

1Y

12.45%

3Y*

13.99%

5Y*

15.82%

10Y*

12.77%

*Annualized

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Schwab S&P 500 Index Fund

PRCOX vs. SWPPX - Expense Ratio Comparison

PRCOX has a 0.42% expense ratio, which is higher than SWPPX's 0.02% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

PRCOX vs. SWPPX — Risk-Adjusted Performance Rank

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

PRCOX
The Risk-Adjusted Performance Rank of PRCOX is 5454
Overall Rank
The Sharpe Ratio Rank of PRCOX is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of PRCOX is 5252
Sortino Ratio Rank
The Omega Ratio Rank of PRCOX is 5656
Omega Ratio Rank
The Calmar Ratio Rank of PRCOX is 6060
Calmar Ratio Rank
The Martin Ratio Rank of PRCOX is 5555
Martin Ratio Rank

SWPPX
The Risk-Adjusted Performance Rank of SWPPX is 5959
Overall Rank
The Sharpe Ratio Rank of SWPPX is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of SWPPX is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SWPPX is 6363
Omega Ratio Rank
The Calmar Ratio Rank of SWPPX is 6565
Calmar Ratio Rank
The Martin Ratio Rank of SWPPX is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PRCOX vs. SWPPX - 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 Schwab S&P 500 Index Fund (SWPPX). 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.


The current PRCOX Sharpe Ratio is 0.58, which is comparable to the SWPPX Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of PRCOX and SWPPX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

PRCOX vs. SWPPX - Dividend Comparison

PRCOX's dividend yield for the trailing twelve months is around 0.64%, less than SWPPX's 1.22% yield.


TTM20242023202220212020201920182017201620152014
PRCOX
T. Rowe Price U.S. Equity Research Fund
0.64%0.64%1.17%1.28%3.71%1.04%0.97%5.60%7.02%7.28%8.76%5.01%
SWPPX
Schwab S&P 500 Index Fund
1.22%1.23%1.43%1.67%1.27%1.81%1.95%2.67%1.79%2.55%3.17%1.80%

Drawdowns

PRCOX vs. SWPPX - Drawdown Comparison

The maximum PRCOX drawdown since its inception was -58.69%, which is greater than SWPPX's maximum drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for PRCOX and SWPPX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

PRCOX vs. SWPPX - Volatility Comparison

T. Rowe Price U.S. Equity Research Fund (PRCOX) and Schwab S&P 500 Index Fund (SWPPX) have volatilities of 4.78% and 4.77%, 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.


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