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

Correlation

The correlation between PRGSX and VTWAX is 0.94, 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.


-0.50.00.51.00.9

Performance

PRGSX vs. VTWAX - 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 World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.75%
5.70%
PRGSX
VTWAX

Key characteristics

Sharpe Ratio

PRGSX:

0.80

VTWAX:

1.53

Sortino Ratio

PRGSX:

1.11

VTWAX:

2.09

Omega Ratio

PRGSX:

1.16

VTWAX:

1.28

Calmar Ratio

PRGSX:

0.47

VTWAX:

2.22

Martin Ratio

PRGSX:

4.13

VTWAX:

9.58

Ulcer Index

PRGSX:

3.10%

VTWAX:

1.87%

Daily Std Dev

PRGSX:

16.05%

VTWAX:

11.72%

Max Drawdown

PRGSX:

-66.74%

VTWAX:

-34.20%

Current Drawdown

PRGSX:

-15.90%

VTWAX:

-3.53%

Returns By Period

In the year-to-date period, PRGSX achieves a 12.43% return, which is significantly lower than VTWAX's 16.88% return.


PRGSX

YTD

12.43%

1M

-4.58%

6M

-2.75%

1Y

12.80%

5Y*

7.07%

10Y*

9.83%

VTWAX

YTD

16.88%

1M

-1.45%

6M

5.99%

1Y

17.76%

5Y*

10.09%

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.


PRGSX vs. VTWAX - Expense Ratio Comparison

PRGSX has a 0.82% expense ratio, which is higher than VTWAX's 0.10% expense ratio.


PRGSX
T. Rowe Price Global Stock Fund
Expense ratio chart for PRGSX: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
Expense ratio chart for VTWAX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

PRGSX vs. VTWAX - 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 World Stock Index Fund Admiral Shares (VTWAX). 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 PRGSX, currently valued at 0.80, compared to the broader market-1.000.001.002.003.004.000.801.52
The chart of Sortino ratio for PRGSX, currently valued at 1.11, compared to the broader market-2.000.002.004.006.008.0010.001.112.07
The chart of Omega ratio for PRGSX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.003.501.161.28
The chart of Calmar ratio for PRGSX, currently valued at 0.47, compared to the broader market0.002.004.006.008.0010.0012.0014.000.472.20
The chart of Martin ratio for PRGSX, currently valued at 4.13, compared to the broader market0.0020.0040.0060.004.139.43
PRGSX
VTWAX

The current PRGSX Sharpe Ratio is 0.80, which is lower than the VTWAX Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of PRGSX and VTWAX, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.80
1.52
PRGSX
VTWAX

Dividends

PRGSX vs. VTWAX - Dividend Comparison

PRGSX has not paid dividends to shareholders, while VTWAX's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
PRGSX
T. Rowe Price Global Stock Fund
0.00%0.27%0.00%0.00%0.02%0.28%0.20%0.34%0.63%0.33%0.27%0.21%
VTWAX
Vanguard Total World Stock Index Fund Admiral Shares
1.17%2.06%2.16%1.79%1.64%2.29%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRGSX vs. VTWAX - Drawdown Comparison

The maximum PRGSX drawdown since its inception was -66.74%, which is greater than VTWAX's maximum drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for PRGSX and VTWAX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.90%
-3.53%
PRGSX
VTWAX

Volatility

PRGSX vs. VTWAX - Volatility Comparison

T. Rowe Price Global Stock Fund (PRGSX) has a higher volatility of 7.94% compared to Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) at 3.38%. This indicates that PRGSX's price experiences larger fluctuations and is considered to be riskier than VTWAX 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.94%
3.38%
PRGSX
VTWAX
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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.

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