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PRSIX vs. FXNAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRSIXFXNAX
YTD Return9.69%1.72%
1Y Return16.73%7.89%
3Y Return (Ann)1.62%-2.30%
5Y Return (Ann)5.38%-0.47%
10Y Return (Ann)5.43%1.29%
Sharpe Ratio2.991.17
Sortino Ratio4.531.75
Omega Ratio1.611.21
Calmar Ratio1.650.43
Martin Ratio20.963.90
Ulcer Index0.80%1.72%
Daily Std Dev5.60%5.86%
Max Drawdown-29.56%-19.64%
Current Drawdown-0.49%-10.00%

Correlation

-0.50.00.51.00.0

The correlation between PRSIX and FXNAX is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

PRSIX vs. FXNAX - Performance Comparison

In the year-to-date period, PRSIX achieves a 9.69% return, which is significantly higher than FXNAX's 1.72% return. Over the past 10 years, PRSIX has outperformed FXNAX with an annualized return of 5.43%, while FXNAX has yielded a comparatively lower 1.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.19%
3.12%
PRSIX
FXNAX

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PRSIX vs. FXNAX - Expense Ratio Comparison

PRSIX has a 0.36% expense ratio, which is higher than FXNAX's 0.03% expense ratio.


PRSIX
T. Rowe Price Spectrum Conservative Allocation Fund
Expense ratio chart for PRSIX: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for FXNAX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

PRSIX vs. FXNAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Spectrum Conservative Allocation Fund (PRSIX) and Fidelity U.S. Bond Index Fund (FXNAX). 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.


PRSIX
Sharpe ratio
The chart of Sharpe ratio for PRSIX, currently valued at 2.76, compared to the broader market0.002.004.002.76
Sortino ratio
The chart of Sortino ratio for PRSIX, currently valued at 4.09, compared to the broader market0.005.0010.004.09
Omega ratio
The chart of Omega ratio for PRSIX, currently valued at 1.55, compared to the broader market1.002.003.004.001.55
Calmar ratio
The chart of Calmar ratio for PRSIX, currently valued at 1.74, compared to the broader market0.005.0010.0015.0020.0025.001.74
Martin ratio
The chart of Martin ratio for PRSIX, currently valued at 18.79, compared to the broader market0.0020.0040.0060.0080.00100.0018.79
FXNAX
Sharpe ratio
The chart of Sharpe ratio for FXNAX, currently valued at 1.17, compared to the broader market0.002.004.001.17
Sortino ratio
The chart of Sortino ratio for FXNAX, currently valued at 1.75, compared to the broader market0.005.0010.001.75
Omega ratio
The chart of Omega ratio for FXNAX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for FXNAX, currently valued at 0.43, compared to the broader market0.005.0010.0015.0020.0025.000.43
Martin ratio
The chart of Martin ratio for FXNAX, currently valued at 3.90, compared to the broader market0.0020.0040.0060.0080.00100.003.90

PRSIX vs. FXNAX - Sharpe Ratio Comparison

The current PRSIX Sharpe Ratio is 2.99, which is higher than the FXNAX Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of PRSIX and FXNAX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.76
1.17
PRSIX
FXNAX

Dividends

PRSIX vs. FXNAX - Dividend Comparison

PRSIX's dividend yield for the trailing twelve months is around 3.62%, more than FXNAX's 3.32% yield.


TTM20232022202120202019201820172016201520142013
PRSIX
T. Rowe Price Spectrum Conservative Allocation Fund
3.62%3.77%2.19%1.31%1.35%2.30%2.28%1.69%2.00%2.14%2.04%1.85%
FXNAX
Fidelity U.S. Bond Index Fund
3.32%2.92%2.41%1.81%2.10%2.69%2.74%2.52%2.52%2.69%2.59%2.39%

Drawdowns

PRSIX vs. FXNAX - Drawdown Comparison

The maximum PRSIX drawdown since its inception was -29.56%, which is greater than FXNAX's maximum drawdown of -19.64%. Use the drawdown chart below to compare losses from any high point for PRSIX and FXNAX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.49%
-10.00%
PRSIX
FXNAX

Volatility

PRSIX vs. FXNAX - Volatility Comparison

The current volatility for T. Rowe Price Spectrum Conservative Allocation Fund (PRSIX) is 1.47%, while Fidelity U.S. Bond Index Fund (FXNAX) has a volatility of 1.72%. This indicates that PRSIX experiences smaller price fluctuations and is considered to be less risky than FXNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
1.47%
1.72%
PRSIX
FXNAX