PRPFX vs. ^GSPC
PRPFX (Permanent Portfolio Class I) is Diversified Portfolio fund actively managed by Permanent Portfolio, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, PRPFX returned 10.52%/yr vs 13.88%/yr for ^GSPC. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
PRPFX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, PRPFX achieves a 3.39% return, which is significantly lower than ^GSPC's 9.16% return. Over the past 10 years, PRPFX has underperformed ^GSPC with an annualized return of 10.52%, while ^GSPC has yielded a comparatively higher 13.88% annualized return.
PRPFX
- 1D
- -0.78%
- 1M
- -2.48%
- YTD
- 3.39%
- 6M
- 2.62%
- 1Y
- 18.88%
- 3Y*
- 19.46%
- 5Y*
- 11.52%
- 10Y*
- 10.52%
^GSPC
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
PRPFX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PRPFX Permanent Portfolio Class I | 3.39% | 28.78% | 19.36% | 11.96% | -5.48% | 10.87% | 18.80% | 19.20% | -7.02% | 11.42% |
^GSPC S&P 500 Index | 9.16% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between PRPFX and ^GSPC is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.56 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 1983 | 0.56 |
The correlation between PRPFX and ^GSPC shifts across timeframes, from 0.56 (1 year) to 0.67 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
PRPFX vs. ^GSPC — Risk / Return Rank
PRPFX
^GSPC
PRPFX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Permanent Portfolio Class I (PRPFX) and S&P 500 Index (^GSPC). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| PRPFX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.60 | ||
| Sortino ratioReturn per unit of downside risk | -0.97 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.37 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.19 | 2.78 | -0.60 |
| Martin ratioReturn relative to average drawdown | 5.66 | 12.44 | -6.78 |
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Drawdowns
PRPFX vs. ^GSPC - Drawdown Comparison
The maximum PRPFX drawdown since its inception was -27.16%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PRPFX and ^GSPC.
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Drawdown Indicators
| PRPFX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.16% | -56.78% | +29.62% |
Max Drawdown (1Y)Largest decline over 1 year | -8.40% | -9.10% | +0.70% |
Max Drawdown (3Y)Largest decline over 3 years | -8.40% | -18.90% | +10.50% |
Max Drawdown (5Y)Largest decline over 5 years | -15.49% | -25.43% | +9.94% |
Max Drawdown (10Y)Largest decline over 10 years | -20.84% | -33.92% | +13.08% |
Current DrawdownCurrent decline from peak | -7.50% | -1.80% | -5.70% |
Average DrawdownAverage peak-to-trough decline | -3.52% | -10.71% | +7.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.24% | 2.03% | +1.21% |
Volatility
PRPFX vs. ^GSPC - Volatility Comparison
The current volatility for Permanent Portfolio Class I (PRPFX) is 3.73%, while S&P 500 Index (^GSPC) has a volatility of 4.67%. This indicates that PRPFX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PRPFX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.73% | 4.67% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 11.63% | 9.84% | +1.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.90% | 12.50% | +0.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.10% | 16.99% | -5.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.66% | 18.11% | -7.45% |
Frequently Asked Questions
PRPFX and ^GSPC have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.67%) compared to PRPFX (3.73%). In terms of maximum drawdown, PRPFX dropped -27.16% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.03 vs 1.42), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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