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STLG vs. PRFIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STLG and PRFIX is 0.13, 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.


-0.50.00.51.00.1

Performance

STLG vs. PRFIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Factors US Growth Style ETF (STLG) and Parnassus Fixed Income Fund (PRFIX). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
127.29%
-4.00%
STLG
PRFIX

Key characteristics

Sharpe Ratio

STLG:

2.10

PRFIX:

0.31

Sortino Ratio

STLG:

2.73

PRFIX:

0.46

Omega Ratio

STLG:

1.38

PRFIX:

1.05

Calmar Ratio

STLG:

2.92

PRFIX:

0.11

Martin Ratio

STLG:

11.00

PRFIX:

0.97

Ulcer Index

STLG:

3.57%

PRFIX:

1.65%

Daily Std Dev

STLG:

18.72%

PRFIX:

5.17%

Max Drawdown

STLG:

-31.34%

PRFIX:

-21.14%

Current Drawdown

STLG:

-3.60%

PRFIX:

-11.14%

Returns By Period

In the year-to-date period, STLG achieves a 38.21% return, which is significantly higher than PRFIX's 1.19% return.


STLG

YTD

38.21%

1M

2.42%

6M

9.68%

1Y

37.94%

5Y*

N/A

10Y*

N/A

PRFIX

YTD

1.19%

1M

-0.95%

6M

1.03%

1Y

1.74%

5Y*

-0.67%

10Y*

1.07%

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STLG vs. PRFIX - Expense Ratio Comparison

STLG has a 0.25% expense ratio, which is lower than PRFIX's 0.68% expense ratio.


PRFIX
Parnassus Fixed Income Fund
Expense ratio chart for PRFIX: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for STLG: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

STLG vs. PRFIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Factors US Growth Style ETF (STLG) and Parnassus Fixed Income Fund (PRFIX). 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 STLG, currently valued at 2.10, compared to the broader market0.002.004.002.100.31
The chart of Sortino ratio for STLG, currently valued at 2.73, compared to the broader market-2.000.002.004.006.008.0010.002.730.46
The chart of Omega ratio for STLG, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.05
The chart of Calmar ratio for STLG, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.920.11
The chart of Martin ratio for STLG, currently valued at 11.00, compared to the broader market0.0020.0040.0060.0080.00100.0011.000.97
STLG
PRFIX

The current STLG Sharpe Ratio is 2.10, which is higher than the PRFIX Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of STLG and PRFIX, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
0.31
STLG
PRFIX

Dividends

STLG vs. PRFIX - Dividend Comparison

STLG's dividend yield for the trailing twelve months is around 0.21%, less than PRFIX's 3.04% yield.


TTM20232022202120202019201820172016201520142013
STLG
iShares Factors US Growth Style ETF
0.21%0.21%0.14%0.00%0.75%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PRFIX
Parnassus Fixed Income Fund
3.04%3.15%2.53%1.67%1.59%2.31%2.72%2.34%2.18%1.98%2.20%1.78%

Drawdowns

STLG vs. PRFIX - Drawdown Comparison

The maximum STLG drawdown since its inception was -31.34%, which is greater than PRFIX's maximum drawdown of -21.14%. Use the drawdown chart below to compare losses from any high point for STLG and PRFIX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.60%
-11.14%
STLG
PRFIX

Volatility

STLG vs. PRFIX - Volatility Comparison

iShares Factors US Growth Style ETF (STLG) has a higher volatility of 5.91% compared to Parnassus Fixed Income Fund (PRFIX) at 1.39%. This indicates that STLG's price experiences larger fluctuations and is considered to be riskier than PRFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.91%
1.39%
STLG
PRFIX
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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.

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