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

Key characteristics


PRNEXPRWCX
YTD Return12.78%14.83%
1Y Return18.70%24.32%
3Y Return (Ann)6.62%6.51%
5Y Return (Ann)9.28%11.80%
10Y Return (Ann)4.02%10.85%
Sharpe Ratio1.323.06
Sortino Ratio1.804.29
Omega Ratio1.231.59
Calmar Ratio1.956.45
Martin Ratio5.7225.20
Ulcer Index3.28%0.93%
Daily Std Dev14.22%7.65%
Max Drawdown-66.56%-41.77%
Current Drawdown-0.45%0.00%

Correlation

-0.50.00.51.00.7

The correlation between PRNEX and PRWCX is 0.72, 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

PRNEX vs. PRWCX - Performance Comparison

In the year-to-date period, PRNEX achieves a 12.78% return, which is significantly lower than PRWCX's 14.83% return. Over the past 10 years, PRNEX has underperformed PRWCX with an annualized return of 4.02%, while PRWCX has yielded a comparatively higher 10.85% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.02%
9.38%
PRNEX
PRWCX

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PRNEX vs. PRWCX - Expense Ratio Comparison

PRNEX has a 0.56% 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 PRNEX: current value at 0.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.56%

Risk-Adjusted Performance

PRNEX vs. PRWCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price New Era Fund (PRNEX) 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.


PRNEX
Sharpe ratio
The chart of Sharpe ratio for PRNEX, currently valued at 1.32, compared to the broader market0.002.004.001.32
Sortino ratio
The chart of Sortino ratio for PRNEX, currently valued at 1.80, compared to the broader market0.005.0010.001.80
Omega ratio
The chart of Omega ratio for PRNEX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for PRNEX, currently valued at 1.95, compared to the broader market0.005.0010.0015.0020.001.95
Martin ratio
The chart of Martin ratio for PRNEX, currently valued at 5.72, compared to the broader market0.0020.0040.0060.0080.00100.005.72
PRWCX
Sharpe ratio
The chart of Sharpe ratio for PRWCX, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for PRWCX, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Omega ratio
The chart of Omega ratio for PRWCX, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for PRWCX, currently valued at 6.45, compared to the broader market0.005.0010.0015.0020.006.45
Martin ratio
The chart of Martin ratio for PRWCX, currently valued at 25.20, compared to the broader market0.0020.0040.0060.0080.00100.0025.20

PRNEX vs. PRWCX - Sharpe Ratio Comparison

The current PRNEX Sharpe Ratio is 1.32, which is lower than the PRWCX Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of PRNEX 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.32
3.06
PRNEX
PRWCX

Dividends

PRNEX vs. PRWCX - Dividend Comparison

PRNEX's dividend yield for the trailing twelve months is around 2.83%, more than PRWCX's 1.84% yield.


TTM20232022202120202019201820172016201520142013
PRNEX
T. Rowe Price New Era Fund
2.83%3.20%4.34%2.07%2.39%2.18%1.69%1.89%1.28%1.54%1.22%0.56%
PRWCX
T. Rowe Price Capital Appreciation Fund
1.84%2.11%1.57%0.95%1.17%1.54%2.53%1.31%1.57%1.52%1.42%1.13%

Drawdowns

PRNEX vs. PRWCX - Drawdown Comparison

The maximum PRNEX drawdown since its inception was -66.56%, which is greater than PRWCX's maximum drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for PRNEX and PRWCX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.45%
0
PRNEX
PRWCX

Volatility

PRNEX vs. PRWCX - Volatility Comparison

T. Rowe Price New Era Fund (PRNEX) has a higher volatility of 4.07% compared to T. Rowe Price Capital Appreciation Fund (PRWCX) at 2.37%. This indicates that PRNEX'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
4.07%
2.37%
PRNEX
PRWCX