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PRSGX vs. PRCOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRSGX and PRCOX 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

PRSGX vs. PRCOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Spectrum Diversified Equity Fund (PRSGX) and T. Rowe Price U.S. Equity Research Fund (PRCOX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
1.53%
10.56%
PRSGX
PRCOX

Key characteristics

Sharpe Ratio

PRSGX:

0.93

PRCOX:

1.82

Sortino Ratio

PRSGX:

1.26

PRCOX:

2.45

Omega Ratio

PRSGX:

1.18

PRCOX:

1.33

Calmar Ratio

PRSGX:

0.65

PRCOX:

2.69

Martin Ratio

PRSGX:

3.34

PRCOX:

11.37

Ulcer Index

PRSGX:

3.46%

PRCOX:

2.10%

Daily Std Dev

PRSGX:

12.37%

PRCOX:

13.16%

Max Drawdown

PRSGX:

-62.07%

PRCOX:

-58.69%

Current Drawdown

PRSGX:

-7.88%

PRCOX:

-0.49%

Returns By Period

In the year-to-date period, PRSGX achieves a 4.55% return, which is significantly higher than PRCOX's 4.04% return. Over the past 10 years, PRSGX has underperformed PRCOX with an annualized return of 1.80%, while PRCOX has yielded a comparatively higher 10.89% annualized return.


PRSGX

YTD

4.55%

1M

1.06%

6M

1.52%

1Y

11.82%

5Y*

3.05%

10Y*

1.80%

PRCOX

YTD

4.04%

1M

1.00%

6M

10.56%

1Y

24.58%

5Y*

14.62%

10Y*

10.89%

*Annualized

Compare stocks, funds, or ETFs

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


PRSGX vs. PRCOX - Expense Ratio Comparison

PRSGX has a 0.73% expense ratio, which is higher than PRCOX's 0.42% expense ratio.


PRSGX
T. Rowe Price Spectrum Diversified Equity Fund
Expense ratio chart for PRSGX: current value at 0.73% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.73%
Expense ratio chart for PRCOX: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%

Risk-Adjusted Performance

PRSGX vs. PRCOX — Risk-Adjusted Performance Rank

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

PRSGX
The Risk-Adjusted Performance Rank of PRSGX is 4848
Overall Rank
The Sharpe Ratio Rank of PRSGX is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of PRSGX is 4444
Sortino Ratio Rank
The Omega Ratio Rank of PRSGX is 4848
Omega Ratio Rank
The Calmar Ratio Rank of PRSGX is 4949
Calmar Ratio Rank
The Martin Ratio Rank of PRSGX is 5050
Martin Ratio Rank

PRCOX
The Risk-Adjusted Performance Rank of PRCOX is 8686
Overall Rank
The Sharpe Ratio Rank of PRCOX is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of PRCOX is 8383
Sortino Ratio Rank
The Omega Ratio Rank of PRCOX is 8383
Omega Ratio Rank
The Calmar Ratio Rank of PRCOX is 8989
Calmar Ratio Rank
The Martin Ratio Rank of PRCOX is 9090
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.

PRSGX vs. PRCOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Spectrum Diversified Equity Fund (PRSGX) and T. Rowe Price U.S. Equity Research Fund (PRCOX). 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 PRSGX, currently valued at 0.93, compared to the broader market-1.000.001.002.003.004.000.931.82
The chart of Sortino ratio for PRSGX, currently valued at 1.26, compared to the broader market0.002.004.006.008.0010.0012.001.262.45
The chart of Omega ratio for PRSGX, currently valued at 1.18, compared to the broader market1.002.003.004.001.181.33
The chart of Calmar ratio for PRSGX, currently valued at 0.65, compared to the broader market0.005.0010.0015.0020.000.652.69
The chart of Martin ratio for PRSGX, currently valued at 3.34, compared to the broader market0.0020.0040.0060.0080.003.3411.37
PRSGX
PRCOX

The current PRSGX Sharpe Ratio is 0.93, which is lower than the PRCOX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of PRSGX and PRCOX, 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 Ratio0.501.001.502.002.503.003.504.00SeptemberOctoberNovemberDecember2025February
0.93
1.82
PRSGX
PRCOX

Dividends

PRSGX vs. PRCOX - Dividend Comparison

PRSGX's dividend yield for the trailing twelve months is around 0.93%, more than PRCOX's 0.62% yield.


TTM20242023202220212020201920182017201620152014
PRSGX
T. Rowe Price Spectrum Diversified Equity Fund
0.93%0.97%0.91%0.68%0.61%0.82%1.29%1.35%1.07%1.19%1.24%9.26%
PRCOX
T. Rowe Price U.S. Equity Research Fund
0.62%0.64%1.17%0.88%0.69%0.87%0.55%1.23%1.07%1.24%1.64%1.12%

Drawdowns

PRSGX vs. PRCOX - Drawdown Comparison

The maximum PRSGX drawdown since its inception was -62.07%, which is greater than PRCOX's maximum drawdown of -58.69%. Use the drawdown chart below to compare losses from any high point for PRSGX and PRCOX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-7.88%
-0.49%
PRSGX
PRCOX

Volatility

PRSGX vs. PRCOX - Volatility Comparison

The current volatility for T. Rowe Price Spectrum Diversified Equity Fund (PRSGX) is 2.43%, while T. Rowe Price U.S. Equity Research Fund (PRCOX) has a volatility of 3.25%. This indicates that PRSGX experiences smaller price fluctuations and is considered to be less risky than PRCOX 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%SeptemberOctoberNovemberDecember2025February
2.43%
3.25%
PRSGX
PRCOX
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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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