PRULX vs. ^GSPC
PRULX (T. Rowe Price U.S. Treasury Long Term Index Fund) is Government Bonds fund managed by T. Rowe Price, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, PRULX returned -1.14%/yr vs 13.49%/yr for ^GSPC. Their -0.12 correlation means they have often moved in opposite directions in the past.
Performance
PRULX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, PRULX achieves a -3.51% return, which is significantly lower than ^GSPC's 13.02% return. Over the past 10 years, PRULX has underperformed ^GSPC with an annualized return of -1.14%, while ^GSPC has yielded a comparatively higher 13.49% annualized return.
PRULX
- 1D
- 0.30%
- 1M
- -3.42%
- 6M
- -2.88%
- YTD
- -3.51%
- 1Y
- -0.82%
- 3Y*
- 0.42%
- 5Y*
- -7.37%
- 10Y*
- -1.14%
- ALL TIME*
- 4.98%
^GSPC
- 1D
- 1.79%
- 1M
- 3.38%
- 6M
- 11.83%
- YTD
- 13.02%
- 1Y
- 22.22%
- 3Y*
- 19.99%
- 5Y*
- 11.80%
- 10Y*
- 13.49%
- ALL TIME*
- 8.15%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $38.53T | $37.79T | $41.47T |
| $0.00 | $0.00 | $0.00 |
PRULX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PRULX T. Rowe Price U.S. Treasury Long Term Index Fund | -3.51% | 6.69% | -5.71% | 2.90% | -30.45% | -5.22% | 18.34% | 22.58% | -1.86% | 8.23% |
^GSPC S&P 500 Index | 13.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between PRULX and ^GSPC is 0.24, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.24 |
Correlation (3Y) Balances recent behavior with more history. | 0.16 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.08 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.08 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1990 | -0.12 |
The correlation between PRULX and ^GSPC shifts across timeframes, from -0.12 (all time) to 0.24 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
PRULX vs. ^GSPC — Risk / Return Rank
PRULX
^GSPC
PRULX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) 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.
| PRULX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.81 | ||
| Sortino ratioReturn per unit of downside risk | -2.45 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.31 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.10 | 2.45 | -2.55 |
| Martin ratioReturn relative to average drawdown | -0.22 | 10.40 | -10.62 |
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Drawdowns
PRULX vs. ^GSPC - Drawdown Comparison
The maximum PRULX drawdown since its inception was -47.40%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PRULX and ^GSPC.
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Drawdown Indicators
| PRULX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.40% | -56.78% | +9.38% |
Max Drawdown (1Y)Largest decline over 1 year | -7.23% | -9.10% | +1.87% |
Max Drawdown (3Y)Largest decline over 3 years | -13.44% | -18.90% | +5.46% |
Max Drawdown (5Y)Largest decline over 5 years | -42.35% | -25.43% | -16.92% |
Max Drawdown (10Y)Largest decline over 10 years | -47.40% | -33.92% | -13.48% |
Current DrawdownCurrent decline from peak | -38.86% | 0.00% | -38.86% |
Average DrawdownAverage peak-to-trough decline | -9.49% | -10.70% | +1.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.20% | 2.14% | +1.06% |
Volatility
PRULX vs. ^GSPC - Volatility Comparison
The current volatility for T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) is 2.27%, while S&P 500 Index (^GSPC) has a volatility of 4.12%. This indicates that PRULX 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
| PRULX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.27% | 4.12% | -1.85% |
Volatility (6M)Calculated over the trailing 6-month period | 6.53% | 10.33% | -3.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.82% | 12.95% | -4.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.55% | 17.04% | -2.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.92% | 18.09% | -4.17% |
Frequently Asked Questions
PRULX and ^GSPC have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.12%) compared to PRULX (2.27%). In terms of maximum drawdown, PRULX dropped -47.40% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.73 vs -0.08), 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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