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

Correlation

The correlation between PRWAX and PRCOX is 0.93, 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

PRWAX vs. PRCOX - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
189.07%
552.15%
PRWAX
PRCOX

Key characteristics

Sharpe Ratio

PRWAX:

1.19

PRCOX:

2.21

Sortino Ratio

PRWAX:

1.52

PRCOX:

2.92

Omega Ratio

PRWAX:

1.25

PRCOX:

1.41

Calmar Ratio

PRWAX:

0.69

PRCOX:

3.21

Martin Ratio

PRWAX:

7.06

PRCOX:

14.25

Ulcer Index

PRWAX:

2.60%

PRCOX:

2.00%

Daily Std Dev

PRWAX:

15.38%

PRCOX:

12.91%

Max Drawdown

PRWAX:

-70.45%

PRCOX:

-58.69%

Current Drawdown

PRWAX:

-12.86%

PRCOX:

-3.12%

Returns By Period

In the year-to-date period, PRWAX achieves a 16.34% return, which is significantly lower than PRCOX's 26.62% return. Over the past 10 years, PRWAX has underperformed PRCOX with an annualized return of 5.96%, while PRCOX has yielded a comparatively higher 10.69% annualized return.


PRWAX

YTD

16.34%

1M

-8.01%

6M

-1.70%

1Y

17.08%

5Y*

6.48%

10Y*

5.96%

PRCOX

YTD

26.62%

1M

-0.00%

6M

8.17%

1Y

27.17%

5Y*

14.68%

10Y*

10.69%

Compare stocks, funds, or ETFs

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


PRWAX vs. PRCOX - Expense Ratio Comparison

PRWAX has a 0.76% expense ratio, which is higher than PRCOX's 0.42% expense ratio.


PRWAX
T. Rowe Price All-Cap Opportunities Fund
Expense ratio chart for PRWAX: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
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

PRWAX vs. PRCOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price All-Cap Opportunities Fund (PRWAX) 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 PRWAX, currently valued at 1.19, compared to the broader market-1.000.001.002.003.004.001.192.21
The chart of Sortino ratio for PRWAX, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.001.522.92
The chart of Omega ratio for PRWAX, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.003.501.251.41
The chart of Calmar ratio for PRWAX, currently valued at 0.69, compared to the broader market0.002.004.006.008.0010.0012.0014.000.693.21
The chart of Martin ratio for PRWAX, currently valued at 7.06, compared to the broader market0.0020.0040.0060.007.0614.25
PRWAX
PRCOX

The current PRWAX Sharpe Ratio is 1.19, which is lower than the PRCOX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of PRWAX 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.19
2.21
PRWAX
PRCOX

Dividends

PRWAX vs. PRCOX - Dividend Comparison

Neither PRWAX nor PRCOX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
PRWAX
T. Rowe Price All-Cap Opportunities Fund
0.00%0.20%0.00%0.00%0.03%0.40%0.23%0.17%0.05%0.00%0.00%0.00%
PRCOX
T. Rowe Price U.S. Equity Research Fund
0.00%1.17%0.88%0.69%0.87%0.55%1.23%1.07%1.24%1.64%1.12%0.92%

Drawdowns

PRWAX vs. PRCOX - Drawdown Comparison

The maximum PRWAX drawdown since its inception was -70.45%, which is greater than PRCOX's maximum drawdown of -58.69%. Use the drawdown chart below to compare losses from any high point for PRWAX and PRCOX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-12.86%
-3.12%
PRWAX
PRCOX

Volatility

PRWAX vs. PRCOX - Volatility Comparison

T. Rowe Price All-Cap Opportunities Fund (PRWAX) has a higher volatility of 9.04% compared to T. Rowe Price U.S. Equity Research Fund (PRCOX) at 4.10%. This indicates that PRWAX's price experiences larger fluctuations and is considered to be riskier than PRCOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.04%
4.10%
PRWAX
PRCOX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab