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

Key characteristics


PREIXPRFDX
YTD Return26.72%16.87%
1Y Return37.33%29.41%
3Y Return (Ann)10.05%7.77%
5Y Return (Ann)15.75%10.36%
10Y Return (Ann)13.21%9.03%
Sharpe Ratio3.032.75
Sortino Ratio4.043.89
Omega Ratio1.571.51
Calmar Ratio4.403.51
Martin Ratio19.8919.13
Ulcer Index1.87%1.53%
Daily Std Dev12.27%10.62%
Max Drawdown-55.32%-58.12%
Current Drawdown-0.28%-0.89%

Correlation

-0.50.00.51.00.9

The correlation between PREIX and PRFDX is 0.90, 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

PREIX vs. PRFDX - Performance Comparison

In the year-to-date period, PREIX achieves a 26.72% return, which is significantly higher than PRFDX's 16.87% return. Over the past 10 years, PREIX has outperformed PRFDX with an annualized return of 13.21%, while PRFDX has yielded a comparatively lower 9.03% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.70%
6.88%
PREIX
PRFDX

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PREIX vs. PRFDX - Expense Ratio Comparison

PREIX has a 0.15% expense ratio, which is lower than PRFDX's 0.63% expense ratio.


PRFDX
T. Rowe Price Equity Income Fund
Expense ratio chart for PRFDX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
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

PREIX vs. PRFDX - Risk-Adjusted Performance Comparison

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


PREIX
Sharpe ratio
The chart of Sharpe ratio for PREIX, currently valued at 3.03, compared to the broader market0.002.004.003.03
Sortino ratio
The chart of Sortino ratio for PREIX, currently valued at 4.04, compared to the broader market0.005.0010.004.04
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 4.40, compared to the broader market0.005.0010.0015.0020.004.40
Martin ratio
The chart of Martin ratio for PREIX, currently valued at 19.89, compared to the broader market0.0020.0040.0060.0080.00100.0019.89
PRFDX
Sharpe ratio
The chart of Sharpe ratio for PRFDX, currently valued at 2.75, compared to the broader market0.002.004.002.75
Sortino ratio
The chart of Sortino ratio for PRFDX, currently valued at 3.89, compared to the broader market0.005.0010.003.89
Omega ratio
The chart of Omega ratio for PRFDX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for PRFDX, currently valued at 3.51, compared to the broader market0.005.0010.0015.0020.003.51
Martin ratio
The chart of Martin ratio for PRFDX, currently valued at 19.13, compared to the broader market0.0020.0040.0060.0080.00100.0019.13

PREIX vs. PRFDX - Sharpe Ratio Comparison

The current PREIX Sharpe Ratio is 3.03, which is comparable to the PRFDX Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of PREIX and PRFDX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.03
2.75
PREIX
PRFDX

Dividends

PREIX vs. PRFDX - Dividend Comparison

PREIX's dividend yield for the trailing twelve months is around 1.09%, less than PRFDX's 1.86% yield.


TTM20232022202120202019201820172016201520142013
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%
PRFDX
T. Rowe Price Equity Income Fund
1.86%2.09%2.13%1.75%2.18%2.37%2.67%2.01%2.32%2.28%2.01%1.64%

Drawdowns

PREIX vs. PRFDX - Drawdown Comparison

The maximum PREIX drawdown since its inception was -55.32%, roughly equal to the maximum PRFDX drawdown of -58.12%. Use the drawdown chart below to compare losses from any high point for PREIX and PRFDX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.28%
-0.89%
PREIX
PRFDX

Volatility

PREIX vs. PRFDX - Volatility Comparison

T. Rowe Price Equity Index 500 Fund (PREIX) has a higher volatility of 3.85% compared to T. Rowe Price Equity Income Fund (PRFDX) at 3.26%. This indicates that PREIX's price experiences larger fluctuations and is considered to be riskier than PRFDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.85%
3.26%
PREIX
PRFDX