PRRIX vs. ^GSPC
Compare and contrast key facts about PIMCO Real Return Fund (PRRIX) and S&P 500 (^GSPC).
PRRIX is managed by PIMCO. It was launched on Jan 28, 1997.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PRRIX or ^GSPC.
Key characteristics
| PRRIX | ^GSPC | |
|---|---|---|
| YTD Return | 3.57% | 25.82% |
| 1Y Return | 7.82% | 35.92% |
| 3Y Return (Ann) | -1.96% | 8.67% |
| 5Y Return (Ann) | 2.50% | 14.22% |
| 10Y Return (Ann) | 2.21% | 11.43% |
| Sharpe Ratio | 1.53 | 3.08 |
| Sortino Ratio | 2.35 | 4.10 |
| Omega Ratio | 1.29 | 1.58 |
| Calmar Ratio | 0.61 | 4.48 |
| Martin Ratio | 6.93 | 20.05 |
| Ulcer Index | 1.13% | 1.90% |
| Daily Std Dev | 5.13% | 12.28% |
| Max Drawdown | -19.33% | -56.78% |
| Current Drawdown | -5.88% | 0.00% |
Correlation
The correlation between PRRIX and ^GSPC is -0.12. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
PRRIX vs. ^GSPC - Performance Comparison
In the year-to-date period, PRRIX achieves a 3.57% return, which is significantly lower than ^GSPC's 25.82% return. Over the past 10 years, PRRIX has underperformed ^GSPC with an annualized return of 2.21%, while ^GSPC has yielded a comparatively higher 11.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
PRRIX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO Real Return Fund (PRRIX) and S&P 500 (^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.
Drawdowns
PRRIX vs. ^GSPC - Drawdown Comparison
The maximum PRRIX drawdown since its inception was -19.33%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PRRIX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
PRRIX vs. ^GSPC - Volatility Comparison
The current volatility for PIMCO Real Return Fund (PRRIX) is 1.22%, while S&P 500 (^GSPC) has a volatility of 3.89%. This indicates that PRRIX 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.