PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PRIDX vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between PRIDX and ^SP500TR is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

PRIDX vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price International Discovery Fund (PRIDX) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
-3.18%
10.09%
PRIDX
^SP500TR

Key characteristics

Sharpe Ratio

PRIDX:

0.55

^SP500TR:

1.94

Sortino Ratio

PRIDX:

0.84

^SP500TR:

2.60

Omega Ratio

PRIDX:

1.10

^SP500TR:

1.35

Calmar Ratio

PRIDX:

0.17

^SP500TR:

2.98

Martin Ratio

PRIDX:

1.55

^SP500TR:

12.39

Ulcer Index

PRIDX:

4.54%

^SP500TR:

2.03%

Daily Std Dev

PRIDX:

12.91%

^SP500TR:

12.98%

Max Drawdown

PRIDX:

-71.20%

^SP500TR:

-55.25%

Current Drawdown

PRIDX:

-37.15%

^SP500TR:

-1.29%

Returns By Period

In the year-to-date period, PRIDX achieves a 2.39% return, which is significantly lower than ^SP500TR's 2.76% return. Over the past 10 years, PRIDX has underperformed ^SP500TR with an annualized return of 2.99%, while ^SP500TR has yielded a comparatively higher 13.79% annualized return.


PRIDX

YTD

2.39%

1M

2.09%

6M

-1.42%

1Y

6.91%

5Y*

-0.34%

10Y*

2.99%

^SP500TR

YTD

2.76%

1M

2.32%

6M

10.09%

1Y

24.31%

5Y*

15.22%

10Y*

13.79%

*Annualized

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

PRIDX vs. ^SP500TR — Risk-Adjusted Performance Rank

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

PRIDX
The Risk-Adjusted Performance Rank of PRIDX is 1919
Overall Rank
The Sharpe Ratio Rank of PRIDX is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of PRIDX is 2323
Sortino Ratio Rank
The Omega Ratio Rank of PRIDX is 1919
Omega Ratio Rank
The Calmar Ratio Rank of PRIDX is 1313
Calmar Ratio Rank
The Martin Ratio Rank of PRIDX is 2020
Martin Ratio Rank

^SP500TR
The Risk-Adjusted Performance Rank of ^SP500TR is 9292
Overall Rank
The Sharpe Ratio Rank of ^SP500TR is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP500TR is 9090
Sortino Ratio Rank
The Omega Ratio Rank of ^SP500TR is 9191
Omega Ratio Rank
The Calmar Ratio Rank of ^SP500TR is 9191
Calmar Ratio Rank
The Martin Ratio Rank of ^SP500TR is 9595
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.

PRIDX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price International Discovery Fund (PRIDX) and S&P 500 Total Return (^SP500TR). 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 PRIDX, currently valued at 0.53, compared to the broader market-1.000.001.002.003.004.000.531.94
The chart of Sortino ratio for PRIDX, currently valued at 0.81, compared to the broader market0.002.004.006.008.0010.0012.000.812.60
The chart of Omega ratio for PRIDX, currently valued at 1.10, compared to the broader market1.002.003.004.001.101.35
The chart of Calmar ratio for PRIDX, currently valued at 0.16, compared to the broader market0.005.0010.0015.0020.000.162.98
The chart of Martin ratio for PRIDX, currently valued at 1.48, compared to the broader market0.0020.0040.0060.0080.001.4812.39
PRIDX
^SP500TR

The current PRIDX Sharpe Ratio is 0.55, which is lower than the ^SP500TR Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of PRIDX and ^SP500TR, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
0.53
1.94
PRIDX
^SP500TR

Drawdowns

PRIDX vs. ^SP500TR - Drawdown Comparison

The maximum PRIDX drawdown since its inception was -71.20%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for PRIDX and ^SP500TR. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-37.15%
-1.29%
PRIDX
^SP500TR

Volatility

PRIDX vs. ^SP500TR - Volatility Comparison

The current volatility for T. Rowe Price International Discovery Fund (PRIDX) is 3.50%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.25%. This indicates that PRIDX experiences smaller price fluctuations and is considered to be less risky than ^SP500TR 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%AugustSeptemberOctoberNovemberDecember2025
3.50%
4.25%
PRIDX
^SP500TR
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab