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PSILX vs. TROSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PSILXTROSX
YTD Return5.85%4.17%
1Y Return15.55%14.81%
3Y Return (Ann)-1.62%0.47%
5Y Return (Ann)4.44%5.52%
10Y Return (Ann)4.75%5.07%
Sharpe Ratio1.261.10
Sortino Ratio1.811.63
Omega Ratio1.221.20
Calmar Ratio0.831.18
Martin Ratio6.866.04
Ulcer Index2.29%2.45%
Daily Std Dev12.50%13.48%
Max Drawdown-61.38%-61.11%
Current Drawdown-6.93%-7.54%

Correlation

-0.50.00.51.01.0

The correlation between PSILX and TROSX is 0.97, 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

PSILX vs. TROSX - Performance Comparison

In the year-to-date period, PSILX achieves a 5.85% return, which is significantly higher than TROSX's 4.17% return. Over the past 10 years, PSILX has underperformed TROSX with an annualized return of 4.75%, while TROSX has yielded a comparatively higher 5.07% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-1.61%
-2.70%
PSILX
TROSX

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PSILX vs. TROSX - Expense Ratio Comparison

PSILX has a 0.89% expense ratio, which is higher than TROSX's 0.77% expense ratio.


PSILX
T. Rowe Price Spectrum International Equity Fund
Expense ratio chart for PSILX: current value at 0.89% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.89%
Expense ratio chart for TROSX: current value at 0.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.77%

Risk-Adjusted Performance

PSILX vs. TROSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Spectrum International Equity Fund (PSILX) and T. Rowe Price Overseas Stock Fund (TROSX). 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.


PSILX
Sharpe ratio
The chart of Sharpe ratio for PSILX, currently valued at 1.26, compared to the broader market0.002.004.001.26
Sortino ratio
The chart of Sortino ratio for PSILX, currently valued at 1.81, compared to the broader market0.005.0010.001.81
Omega ratio
The chart of Omega ratio for PSILX, currently valued at 1.22, compared to the broader market1.002.003.004.001.22
Calmar ratio
The chart of Calmar ratio for PSILX, currently valued at 0.83, compared to the broader market0.005.0010.0015.0020.0025.000.83
Martin ratio
The chart of Martin ratio for PSILX, currently valued at 6.86, compared to the broader market0.0020.0040.0060.0080.00100.006.86
TROSX
Sharpe ratio
The chart of Sharpe ratio for TROSX, currently valued at 1.10, compared to the broader market0.002.004.001.10
Sortino ratio
The chart of Sortino ratio for TROSX, currently valued at 1.63, compared to the broader market0.005.0010.001.63
Omega ratio
The chart of Omega ratio for TROSX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for TROSX, currently valued at 1.18, compared to the broader market0.005.0010.0015.0020.0025.001.18
Martin ratio
The chart of Martin ratio for TROSX, currently valued at 6.04, compared to the broader market0.0020.0040.0060.0080.00100.006.04

PSILX vs. TROSX - Sharpe Ratio Comparison

The current PSILX Sharpe Ratio is 1.26, which is comparable to the TROSX Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of PSILX and TROSX, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.26
1.10
PSILX
TROSX

Dividends

PSILX vs. TROSX - Dividend Comparison

PSILX's dividend yield for the trailing twelve months is around 1.77%, less than TROSX's 2.19% yield.


TTM20232022202120202019201820172016201520142013
PSILX
T. Rowe Price Spectrum International Equity Fund
1.77%1.88%1.45%1.30%0.75%1.99%1.97%1.37%1.77%1.36%3.82%1.33%
TROSX
T. Rowe Price Overseas Stock Fund
2.19%2.28%2.31%1.88%1.41%2.14%2.26%1.86%1.98%2.11%2.87%1.87%

Drawdowns

PSILX vs. TROSX - Drawdown Comparison

The maximum PSILX drawdown since its inception was -61.38%, roughly equal to the maximum TROSX drawdown of -61.11%. Use the drawdown chart below to compare losses from any high point for PSILX and TROSX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.93%
-7.54%
PSILX
TROSX

Volatility

PSILX vs. TROSX - Volatility Comparison

T. Rowe Price Spectrum International Equity Fund (PSILX) and T. Rowe Price Overseas Stock Fund (TROSX) have volatilities of 3.90% and 4.07%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.90%
4.07%
PSILX
TROSX