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PRGSX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRGSX and VTSAX is 0.89, 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

PRGSX vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Global Stock Fund (PRGSX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

PRGSX:

0.06

VTSAX:

0.67

Sortino Ratio

PRGSX:

0.27

VTSAX:

1.13

Omega Ratio

PRGSX:

1.04

VTSAX:

1.17

Calmar Ratio

PRGSX:

0.07

VTSAX:

0.74

Martin Ratio

PRGSX:

0.28

VTSAX:

2.80

Ulcer Index

PRGSX:

7.26%

VTSAX:

5.11%

Daily Std Dev

PRGSX:

21.60%

VTSAX:

19.92%

Max Drawdown

PRGSX:

-66.74%

VTSAX:

-55.34%

Current Drawdown

PRGSX:

-14.73%

VTSAX:

-3.08%

Returns By Period

In the year-to-date period, PRGSX achieves a 3.83% return, which is significantly higher than VTSAX's 1.39% return. Over the past 10 years, PRGSX has underperformed VTSAX with an annualized return of 9.11%, while VTSAX has yielded a comparatively higher 12.16% annualized return.


PRGSX

YTD

3.83%

1M

12.42%

6M

-1.31%

1Y

1.09%

5Y*

7.33%

10Y*

9.11%

VTSAX

YTD

1.39%

1M

13.12%

6M

1.53%

1Y

13.13%

5Y*

16.54%

10Y*

12.16%

*Annualized

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PRGSX vs. VTSAX - Expense Ratio Comparison

PRGSX has a 0.82% expense ratio, which is higher than VTSAX's 0.04% expense ratio.


Risk-Adjusted Performance

PRGSX vs. VTSAX — 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 2222
Overall Rank
The Sharpe Ratio Rank of PRGSX is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of PRGSX is 2323
Sortino Ratio Rank
The Omega Ratio Rank of PRGSX is 2323
Omega Ratio Rank
The Calmar Ratio Rank of PRGSX is 2222
Calmar Ratio Rank
The Martin Ratio Rank of PRGSX is 2222
Martin Ratio Rank

VTSAX
The Risk-Adjusted Performance Rank of VTSAX is 6868
Overall Rank
The Sharpe Ratio Rank of VTSAX is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of VTSAX is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VTSAX is 7070
Omega Ratio Rank
The Calmar Ratio Rank of VTSAX is 7373
Calmar Ratio Rank
The Martin Ratio Rank of VTSAX is 6868
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. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Global Stock Fund (PRGSX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 PRGSX Sharpe Ratio is 0.06, which is lower than the VTSAX Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of PRGSX and VTSAX, 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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Dividends

PRGSX vs. VTSAX - Dividend Comparison

PRGSX's dividend yield for the trailing twelve months is around 0.07%, less than VTSAX's 1.27% yield.


TTM20242023202220212020201920182017201620152014
PRGSX
T. Rowe Price Global Stock Fund
0.07%0.08%0.27%0.00%0.00%0.02%0.28%0.20%0.34%0.63%0.33%0.27%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.27%1.26%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%

Drawdowns

PRGSX vs. VTSAX - Drawdown Comparison

The maximum PRGSX drawdown since its inception was -66.74%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for PRGSX and VTSAX. For additional features, visit the drawdowns tool.


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Volatility

PRGSX vs. VTSAX - Volatility Comparison

The current volatility for T. Rowe Price Global Stock Fund (PRGSX) is 4.61%, while Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) has a volatility of 5.55%. This indicates that PRGSX experiences smaller price fluctuations and is considered to be less risky than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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