PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PRSIX vs. PRDGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRSIXPRDGX
YTD Return10.23%18.32%
1Y Return17.31%27.39%
3Y Return (Ann)1.79%7.67%
5Y Return (Ann)5.51%12.66%
10Y Return (Ann)5.48%12.10%
Sharpe Ratio3.192.99
Sortino Ratio4.854.16
Omega Ratio1.661.56
Calmar Ratio1.765.23
Martin Ratio22.3520.48
Ulcer Index0.80%1.41%
Daily Std Dev5.58%9.63%
Max Drawdown-29.56%-49.79%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between PRSIX and PRDGX is 0.90, 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

PRSIX vs. PRDGX - Performance Comparison

In the year-to-date period, PRSIX achieves a 10.23% return, which is significantly lower than PRDGX's 18.32% return. Over the past 10 years, PRSIX has underperformed PRDGX with an annualized return of 5.48%, while PRDGX has yielded a comparatively higher 12.10% 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%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.98%
9.54%
PRSIX
PRDGX

Compare stocks, funds, or ETFs

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


PRSIX vs. PRDGX - Expense Ratio Comparison

PRSIX has a 0.36% expense ratio, which is lower than PRDGX's 0.62% expense ratio.


PRDGX
T. Rowe Price Dividend Growth Fund, Inc.
Expense ratio chart for PRDGX: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
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%

Risk-Adjusted Performance

PRSIX vs. PRDGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Spectrum Conservative Allocation Fund (PRSIX) and T. Rowe Price Dividend Growth Fund, Inc. (PRDGX). 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 3.19, compared to the broader market0.002.004.003.19
Sortino ratio
The chart of Sortino ratio for PRSIX, currently valued at 4.85, compared to the broader market0.005.0010.004.85
Omega ratio
The chart of Omega ratio for PRSIX, currently valued at 1.66, compared to the broader market1.002.003.004.001.66
Calmar ratio
The chart of Calmar ratio for PRSIX, currently valued at 1.76, compared to the broader market0.005.0010.0015.0020.0025.001.76
Martin ratio
The chart of Martin ratio for PRSIX, currently valued at 22.35, compared to the broader market0.0020.0040.0060.0080.00100.0022.35
PRDGX
Sharpe ratio
The chart of Sharpe ratio for PRDGX, currently valued at 2.99, compared to the broader market0.002.004.002.99
Sortino ratio
The chart of Sortino ratio for PRDGX, currently valued at 4.16, compared to the broader market0.005.0010.004.16
Omega ratio
The chart of Omega ratio for PRDGX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for PRDGX, currently valued at 5.23, compared to the broader market0.005.0010.0015.0020.0025.005.23
Martin ratio
The chart of Martin ratio for PRDGX, currently valued at 20.48, compared to the broader market0.0020.0040.0060.0080.00100.0020.48

PRSIX vs. PRDGX - Sharpe Ratio Comparison

The current PRSIX Sharpe Ratio is 3.19, which is comparable to the PRDGX Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of PRSIX and PRDGX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.19
2.99
PRSIX
PRDGX

Dividends

PRSIX vs. PRDGX - Dividend Comparison

PRSIX's dividend yield for the trailing twelve months is around 3.60%, more than PRDGX's 0.98% yield.


TTM20232022202120202019201820172016201520142013
PRSIX
T. Rowe Price Spectrum Conservative Allocation Fund
3.60%3.77%2.19%1.31%1.35%2.30%2.28%1.69%2.00%2.14%2.04%1.85%
PRDGX
T. Rowe Price Dividend Growth Fund, Inc.
0.98%1.16%1.14%0.78%1.03%1.24%1.76%1.22%1.53%1.78%1.30%1.22%

Drawdowns

PRSIX vs. PRDGX - Drawdown Comparison

The maximum PRSIX drawdown since its inception was -29.56%, smaller than the maximum PRDGX drawdown of -49.79%. Use the drawdown chart below to compare losses from any high point for PRSIX and PRDGX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
PRSIX
PRDGX

Volatility

PRSIX vs. PRDGX - Volatility Comparison

The current volatility for T. Rowe Price Spectrum Conservative Allocation Fund (PRSIX) is 1.39%, while T. Rowe Price Dividend Growth Fund, Inc. (PRDGX) has a volatility of 3.09%. This indicates that PRSIX experiences smaller price fluctuations and is considered to be less risky than PRDGX 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%JuneJulyAugustSeptemberOctoberNovember
1.39%
3.09%
PRSIX
PRDGX