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

Performance

PRXCX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price California Tax Free Bond Fund (PRXCX) and GMO U.S. Treasury Fund (GUSTX). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.55%
0.84%
PRXCX
GUSTX

Returns By Period

In the year-to-date period, PRXCX achieves a 2.93% return, which is significantly higher than GUSTX's 2.64% return. Over the past 10 years, PRXCX has outperformed GUSTX with an annualized return of 2.51%, while GUSTX has yielded a comparatively lower 1.04% annualized return.


PRXCX

YTD

2.93%

1M

0.00%

6M

3.26%

1Y

7.85%

5Y (annualized)

1.43%

10Y (annualized)

2.51%

GUSTX

YTD

2.64%

1M

0.00%

6M

0.85%

1Y

3.58%

5Y (annualized)

1.87%

10Y (annualized)

1.04%

Key characteristics


PRXCXGUSTX
Sharpe Ratio2.172.56
Sortino Ratio3.227.19
Omega Ratio1.513.94
Calmar Ratio1.0217.86
Martin Ratio10.2760.57
Ulcer Index0.78%0.06%
Daily Std Dev3.72%1.40%
Max Drawdown-19.48%-0.72%
Current Drawdown-1.08%-0.00%

Compare stocks, funds, or ETFs

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


PRXCX vs. GUSTX - Expense Ratio Comparison

PRXCX has a 0.53% expense ratio, which is higher than GUSTX's 0.01% expense ratio.


PRXCX
T. Rowe Price California Tax Free Bond Fund
Expense ratio chart for PRXCX: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for GUSTX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Correlation

-0.50.00.51.00.1

The correlation between PRXCX and GUSTX is 0.06, 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.

Risk-Adjusted Performance

PRXCX vs. GUSTX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price California Tax Free Bond Fund (PRXCX) and GMO U.S. Treasury Fund (GUSTX). 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 PRXCX, currently valued at 2.17, compared to the broader market-1.000.001.002.003.004.005.002.172.56
The chart of Sortino ratio for PRXCX, currently valued at 3.22, compared to the broader market0.005.0010.003.227.19
The chart of Omega ratio for PRXCX, currently valued at 1.51, compared to the broader market1.002.003.004.001.513.94
The chart of Calmar ratio for PRXCX, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.0025.001.0217.86
The chart of Martin ratio for PRXCX, currently valued at 10.27, compared to the broader market0.0020.0040.0060.0080.00100.0010.2760.57
PRXCX
GUSTX

The current PRXCX Sharpe Ratio is 2.17, which is comparable to the GUSTX Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of PRXCX and GUSTX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.17
2.56
PRXCX
GUSTX

Dividends

PRXCX vs. GUSTX - Dividend Comparison

PRXCX's dividend yield for the trailing twelve months is around 3.21%, less than GUSTX's 3.51% yield.


TTM20232022202120202019201820172016201520142013
PRXCX
T. Rowe Price California Tax Free Bond Fund
3.21%3.04%2.83%2.51%2.73%2.93%3.11%3.09%3.34%3.43%3.60%3.95%
GUSTX
GMO U.S. Treasury Fund
3.51%4.05%1.95%0.08%0.49%1.13%0.00%0.00%0.05%0.04%0.01%0.03%

Drawdowns

PRXCX vs. GUSTX - Drawdown Comparison

The maximum PRXCX drawdown since its inception was -19.48%, which is greater than GUSTX's maximum drawdown of -0.72%. Use the drawdown chart below to compare losses from any high point for PRXCX and GUSTX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.08%
-0.00%
PRXCX
GUSTX

Volatility

PRXCX vs. GUSTX - Volatility Comparison

T. Rowe Price California Tax Free Bond Fund (PRXCX) has a higher volatility of 1.87% compared to GMO U.S. Treasury Fund (GUSTX) at 0.00%. This indicates that PRXCX's price experiences larger fluctuations and is considered to be riskier than GUSTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.87%
0
PRXCX
GUSTX