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

Performance

PREIX vs. PRWCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Equity Index 500 Fund (PREIX) and T. Rowe Price Capital Appreciation Fund (PRWCX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.79%
7.64%
PREIX
PRWCX

Returns By Period

In the year-to-date period, PREIX achieves a 26.05% return, which is significantly higher than PRWCX's 13.86% return. Over the past 10 years, PREIX has outperformed PRWCX with an annualized return of 12.98%, while PRWCX has yielded a comparatively lower 10.65% annualized return.


PREIX

YTD

26.05%

1M

1.77%

6M

13.57%

1Y

32.16%

5Y (annualized)

15.50%

10Y (annualized)

12.98%

PRWCX

YTD

13.86%

1M

0.65%

6M

7.85%

1Y

19.17%

5Y (annualized)

11.35%

10Y (annualized)

10.65%

Key characteristics


PREIXPRWCX
Sharpe Ratio2.672.60
Sortino Ratio3.563.59
Omega Ratio1.501.49
Calmar Ratio3.875.89
Martin Ratio17.3520.66
Ulcer Index1.88%0.95%
Daily Std Dev12.24%7.55%
Max Drawdown-55.32%-41.77%
Current Drawdown-0.81%-0.85%

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PREIX vs. PRWCX - Expense Ratio Comparison

PREIX has a 0.15% expense ratio, which is lower than PRWCX's 0.68% expense ratio.


PRWCX
T. Rowe Price Capital Appreciation Fund
Expense ratio chart for PRWCX: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
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%

Correlation

-0.50.00.51.00.9

The correlation between PREIX and PRWCX is 0.86, 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

PREIX vs. PRWCX - 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 Capital Appreciation Fund (PRWCX). 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 PREIX, currently valued at 2.67, compared to the broader market-1.000.001.002.003.004.005.002.672.60
The chart of Sortino ratio for PREIX, currently valued at 3.56, compared to the broader market0.005.0010.003.563.59
The chart of Omega ratio for PREIX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.49
The chart of Calmar ratio for PREIX, currently valued at 3.87, compared to the broader market0.005.0010.0015.0020.0025.003.875.89
The chart of Martin ratio for PREIX, currently valued at 17.35, compared to the broader market0.0020.0040.0060.0080.00100.0017.3520.66
PREIX
PRWCX

The current PREIX Sharpe Ratio is 2.67, which is comparable to the PRWCX Sharpe Ratio of 2.60. The chart below compares the historical Sharpe Ratios of PREIX and PRWCX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.67
2.60
PREIX
PRWCX

Dividends

PREIX vs. PRWCX - Dividend Comparison

PREIX's dividend yield for the trailing twelve months is around 1.10%, less than PRWCX's 1.85% yield.


TTM20232022202120202019201820172016201520142013
PREIX
T. Rowe Price Equity Index 500 Fund
1.10%1.33%1.50%1.15%1.56%1.78%1.95%1.65%1.83%2.02%1.69%1.63%
PRWCX
T. Rowe Price Capital Appreciation Fund
1.85%2.11%1.57%0.95%1.17%1.54%2.53%1.31%1.57%1.52%1.42%1.13%

Drawdowns

PREIX vs. PRWCX - Drawdown Comparison

The maximum PREIX drawdown since its inception was -55.32%, which is greater than PRWCX's maximum drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for PREIX and PRWCX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-0.85%
PREIX
PRWCX

Volatility

PREIX vs. PRWCX - Volatility Comparison

T. Rowe Price Equity Index 500 Fund (PREIX) has a higher volatility of 3.95% compared to T. Rowe Price Capital Appreciation Fund (PRWCX) at 2.60%. This indicates that PREIX's price experiences larger fluctuations and is considered to be riskier than PRWCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.95%
2.60%
PREIX
PRWCX