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PRULX vs. FNBGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PRULX and FNBGX is -0.10. 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

PRULX vs. FNBGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) and Fidelity Long-Term Treasury Bond Index Fund (FNBGX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

PRULX:

0.06

FNBGX:

0.11

Sortino Ratio

PRULX:

0.18

FNBGX:

0.12

Omega Ratio

PRULX:

1.02

FNBGX:

1.01

Calmar Ratio

PRULX:

0.02

FNBGX:

0.01

Martin Ratio

PRULX:

0.11

FNBGX:

0.04

Ulcer Index

PRULX:

7.49%

FNBGX:

7.44%

Daily Std Dev

PRULX:

13.32%

FNBGX:

13.12%

Max Drawdown

PRULX:

-47.33%

FNBGX:

-46.32%

Current Drawdown

PRULX:

-41.09%

FNBGX:

-39.56%

Returns By Period


PRULX

YTD

0.00%

1M

-3.31%

6M

-5.39%

1Y

0.78%

3Y*

-5.69%

5Y*

-9.15%

10Y*

-0.66%

FNBGX

YTD

0.38%

1M

-3.09%

6M

-4.81%

1Y

1.51%

3Y*

-5.08%

5Y*

-8.69%

10Y*

N/A

*Annualized

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PRULX vs. FNBGX - Expense Ratio Comparison

PRULX has a 0.29% expense ratio, which is higher than FNBGX's 0.03% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

PRULX vs. FNBGX — Risk-Adjusted Performance Rank

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

PRULX
The Risk-Adjusted Performance Rank of PRULX is 1212
Overall Rank
The Sharpe Ratio Rank of PRULX is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of PRULX is 1313
Sortino Ratio Rank
The Omega Ratio Rank of PRULX is 1212
Omega Ratio Rank
The Calmar Ratio Rank of PRULX is 1212
Calmar Ratio Rank
The Martin Ratio Rank of PRULX is 1313
Martin Ratio Rank

FNBGX
The Risk-Adjusted Performance Rank of FNBGX is 1212
Overall Rank
The Sharpe Ratio Rank of FNBGX is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of FNBGX is 1111
Sortino Ratio Rank
The Omega Ratio Rank of FNBGX is 1010
Omega Ratio Rank
The Calmar Ratio Rank of FNBGX is 1212
Calmar Ratio Rank
The Martin Ratio Rank of FNBGX is 1212
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.

PRULX vs. FNBGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) and Fidelity Long-Term Treasury Bond Index Fund (FNBGX). 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.


The current PRULX Sharpe Ratio is 0.06, which is lower than the FNBGX Sharpe Ratio of 0.11. The chart below compares the historical Sharpe Ratios of PRULX and FNBGX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

PRULX vs. FNBGX - Dividend Comparison

PRULX's dividend yield for the trailing twelve months is around 3.63%, less than FNBGX's 3.86% yield.


TTM20242023202220212020201920182017201620152014
PRULX
T. Rowe Price U.S. Treasury Long Term Index Fund
3.63%3.90%3.33%2.78%1.70%20.33%9.55%2.62%2.48%4.66%5.09%2.75%
FNBGX
Fidelity Long-Term Treasury Bond Index Fund
3.54%3.76%3.20%3.00%2.81%4.14%2.64%2.95%0.69%0.00%0.00%0.00%

Drawdowns

PRULX vs. FNBGX - Drawdown Comparison

The maximum PRULX drawdown since its inception was -47.33%, roughly equal to the maximum FNBGX drawdown of -46.32%. Use the drawdown chart below to compare losses from any high point for PRULX and FNBGX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

PRULX vs. FNBGX - Volatility Comparison

T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) and Fidelity Long-Term Treasury Bond Index Fund (FNBGX) have volatilities of 3.28% and 3.31%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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