PortfoliosLab logo
PRGSX vs. SOXX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRGSX and SOXX is 0.76, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

PRGSX vs. SOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Global Stock Fund (PRGSX) and iShares PHLX Semiconductor ETF (SOXX). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%NovemberDecember2025FebruaryMarchApril
386.72%
828.33%
PRGSX
SOXX

Key characteristics

Sharpe Ratio

PRGSX:

-0.06

SOXX:

-0.22

Sortino Ratio

PRGSX:

0.07

SOXX:

-0.03

Omega Ratio

PRGSX:

1.01

SOXX:

1.00

Calmar Ratio

PRGSX:

-0.04

SOXX:

-0.23

Martin Ratio

PRGSX:

-0.19

SOXX:

-0.56

Ulcer Index

PRGSX:

6.85%

SOXX:

17.37%

Daily Std Dev

PRGSX:

21.61%

SOXX:

43.48%

Max Drawdown

PRGSX:

-66.74%

SOXX:

-70.21%

Current Drawdown

PRGSX:

-20.32%

SOXX:

-30.02%

Returns By Period

In the year-to-date period, PRGSX achieves a -2.98% return, which is significantly higher than SOXX's -14.13% return. Over the past 10 years, PRGSX has underperformed SOXX with an annualized return of 8.46%, while SOXX has yielded a comparatively higher 20.82% annualized return.


PRGSX

YTD

-2.98%

1M

-1.57%

6M

-9.48%

1Y

-1.58%

5Y*

7.30%

10Y*

8.46%

SOXX

YTD

-14.13%

1M

-5.01%

6M

-19.27%

1Y

-14.23%

5Y*

19.96%

10Y*

20.82%

*Annualized

Compare stocks, funds, or ETFs

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


PRGSX vs. SOXX - Expense Ratio Comparison

PRGSX has a 0.82% expense ratio, which is higher than SOXX's 0.46% expense ratio.


Expense ratio chart for PRGSX: current value is 0.82%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PRGSX: 0.82%
Expense ratio chart for SOXX: current value is 0.46%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SOXX: 0.46%

Risk-Adjusted Performance

PRGSX vs. SOXX — Risk-Adjusted Performance Rank

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

PRGSX
The Risk-Adjusted Performance Rank of PRGSX is 2020
Overall Rank
The Sharpe Ratio Rank of PRGSX is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of PRGSX is 2121
Sortino Ratio Rank
The Omega Ratio Rank of PRGSX is 2121
Omega Ratio Rank
The Calmar Ratio Rank of PRGSX is 2020
Calmar Ratio Rank
The Martin Ratio Rank of PRGSX is 1919
Martin Ratio Rank

SOXX
The Risk-Adjusted Performance Rank of SOXX is 1212
Overall Rank
The Sharpe Ratio Rank of SOXX is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXX is 1515
Sortino Ratio Rank
The Omega Ratio Rank of SOXX is 1515
Omega Ratio Rank
The Calmar Ratio Rank of SOXX is 99
Calmar Ratio Rank
The Martin Ratio Rank of SOXX is 1212
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.

PRGSX vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Global Stock Fund (PRGSX) and iShares PHLX Semiconductor ETF (SOXX). 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 chart of Sharpe ratio for PRGSX, currently valued at -0.06, compared to the broader market-1.000.001.002.003.00
PRGSX: -0.06
SOXX: -0.22
The chart of Sortino ratio for PRGSX, currently valued at 0.07, compared to the broader market-2.000.002.004.006.008.00
PRGSX: 0.07
SOXX: -0.03
The chart of Omega ratio for PRGSX, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.00
PRGSX: 1.01
SOXX: 1.00
The chart of Calmar ratio for PRGSX, currently valued at -0.04, compared to the broader market0.002.004.006.008.0010.00
PRGSX: -0.04
SOXX: -0.23
The chart of Martin ratio for PRGSX, currently valued at -0.19, compared to the broader market0.0010.0020.0030.0040.0050.00
PRGSX: -0.19
SOXX: -0.56

The current PRGSX Sharpe Ratio is -0.06, which is higher than the SOXX Sharpe Ratio of -0.22. The chart below compares the historical Sharpe Ratios of PRGSX and SOXX, 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.06
-0.22
PRGSX
SOXX

Dividends

PRGSX vs. SOXX - Dividend Comparison

PRGSX's dividend yield for the trailing twelve months is around 0.08%, less than SOXX's 0.80% yield.


TTM20242023202220212020201920182017201620152014
PRGSX
T. Rowe Price Global Stock Fund
0.08%0.08%0.27%0.00%0.00%0.02%0.28%0.20%0.34%0.63%0.33%0.27%
SOXX
iShares PHLX Semiconductor ETF
0.80%0.67%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%

Drawdowns

PRGSX vs. SOXX - Drawdown Comparison

The maximum PRGSX drawdown since its inception was -66.74%, roughly equal to the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for PRGSX and SOXX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%NovemberDecember2025FebruaryMarchApril
-20.32%
-30.02%
PRGSX
SOXX

Volatility

PRGSX vs. SOXX - Volatility Comparison

The current volatility for T. Rowe Price Global Stock Fund (PRGSX) is 14.06%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 25.98%. This indicates that PRGSX experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%NovemberDecember2025FebruaryMarchApril
14.06%
25.98%
PRGSX
SOXX