PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PRDMX vs. FHESX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRDMX and FHESX is 0.81, 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.


-0.50.00.51.00.8

Performance

PRDMX vs. FHESX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Diversified Mid Cap Growth Fund (PRDMX) and Federated Hermes SDG Engagement Equity Fund (FHESX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
8.17%
-1.88%
PRDMX
FHESX

Key characteristics

Sharpe Ratio

PRDMX:

1.02

FHESX:

0.03

Sortino Ratio

PRDMX:

1.38

FHESX:

0.14

Omega Ratio

PRDMX:

1.20

FHESX:

1.02

Calmar Ratio

PRDMX:

0.59

FHESX:

0.05

Martin Ratio

PRDMX:

5.25

FHESX:

0.12

Ulcer Index

PRDMX:

3.40%

FHESX:

3.59%

Daily Std Dev

PRDMX:

17.60%

FHESX:

14.26%

Max Drawdown

PRDMX:

-59.84%

FHESX:

-40.76%

Current Drawdown

PRDMX:

-15.66%

FHESX:

-8.67%

Returns By Period


PRDMX

YTD

16.91%

1M

-11.10%

6M

8.17%

1Y

17.24%

5Y*

4.89%

10Y*

7.43%

FHESX

YTD

0.00%

1M

-5.76%

6M

-1.88%

1Y

0.15%

5Y*

4.34%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PRDMX vs. FHESX - Expense Ratio Comparison

PRDMX has a 0.79% expense ratio, which is lower than FHESX's 0.94% expense ratio.


FHESX
Federated Hermes SDG Engagement Equity Fund
Expense ratio chart for FHESX: current value at 0.94% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.94%
Expense ratio chart for PRDMX: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%

Risk-Adjusted Performance

PRDMX vs. FHESX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Diversified Mid Cap Growth Fund (PRDMX) and Federated Hermes SDG Engagement Equity Fund (FHESX). 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 PRDMX, currently valued at 1.02, compared to the broader market-1.000.001.002.003.004.001.020.03
The chart of Sortino ratio for PRDMX, currently valued at 1.38, compared to the broader market-2.000.002.004.006.008.0010.001.380.14
The chart of Omega ratio for PRDMX, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.003.501.201.02
The chart of Calmar ratio for PRDMX, currently valued at 0.59, compared to the broader market0.002.004.006.008.0010.0012.0014.000.590.05
The chart of Martin ratio for PRDMX, currently valued at 5.25, compared to the broader market0.0020.0040.0060.005.250.12
PRDMX
FHESX

The current PRDMX Sharpe Ratio is 1.02, which is higher than the FHESX Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of PRDMX and FHESX, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.02
0.03
PRDMX
FHESX

Dividends

PRDMX vs. FHESX - Dividend Comparison

Neither PRDMX nor FHESX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
PRDMX
T. Rowe Price Diversified Mid Cap Growth Fund
0.00%0.00%0.00%0.00%0.03%0.14%0.33%3.16%0.20%0.04%0.00%0.07%
FHESX
Federated Hermes SDG Engagement Equity Fund
0.00%0.95%0.37%0.71%0.88%1.07%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRDMX vs. FHESX - Drawdown Comparison

The maximum PRDMX drawdown since its inception was -59.84%, which is greater than FHESX's maximum drawdown of -40.76%. Use the drawdown chart below to compare losses from any high point for PRDMX and FHESX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.66%
-8.67%
PRDMX
FHESX

Volatility

PRDMX vs. FHESX - Volatility Comparison

T. Rowe Price Diversified Mid Cap Growth Fund (PRDMX) has a higher volatility of 9.56% compared to Federated Hermes SDG Engagement Equity Fund (FHESX) at 4.97%. This indicates that PRDMX's price experiences larger fluctuations and is considered to be riskier than FHESX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.56%
4.97%
PRDMX
FHESX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab