TCAF vs. PRCOX

Last updated Jun 9, 2026

TCAF (T. Rowe Price Capital Appreciation Equity ETF) and PRCOX (T. Rowe Price U.S. Equity Research Fund) are both Large Cap Blend Equities funds from T. Rowe Price. Over the past year, TCAF returned 17.40% vs 23.82% for PRCOX. Their correlation of 0.92 suggests significant overlap in exposure. TCAF charges 0.31%/yr vs 0.42%/yr for PRCOX.

Performance

TCAF vs. PRCOX - Performance Comparison

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

Returns By Period

In the year-to-date period, TCAF achieves a 4.53% return, which is significantly lower than PRCOX's 8.61% return.

TCAF

• 1D: -0.20%
• 1M: -0.52%
• YTD: 4.53%
• 6M: 5.02%
• 1Y: 17.40%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PRCOX

• 1D: -2.82%
• 1M: -0.48%
• YTD: 8.61%
• 6M: 8.71%
• 1Y: 23.82%
• 3Y*: 21.91%
• 5Y*: 13.82%
• 10Y*: 15.74%

*Multi-year figures are annualized to reflect compound growth (CAGR)

TCAF vs. PRCOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
TCAF T. Rowe Price Capital Appreciation Equity ETF	4.53%	15.45%	20.93%	8.40%
PRCOX T. Rowe Price U.S. Equity Research Fund	8.61%	16.34%	26.41%	9.99%

Correlation

The correlation between TCAF and PRCOX is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jun 16, 2023	0.92

The correlation between TCAF and PRCOX has been stable across timeframes, ranging from 0.89 to 0.92 - a consistent structural relationship.

Return for Risk

TCAF vs. PRCOX — Risk / Return Rank

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

TCAF

TCAF Risk / Return Rank: 44
TCAF Sharpe Ratio Rank: 47
TCAF Sortino Ratio Rank: 46
TCAF Omega Ratio Rank: 47
TCAF Calmar Ratio Rank: 34
TCAF Martin Ratio Rank: 42

PRCOX

PRCOX Risk / Return Rank: 54
PRCOX Sharpe Ratio Rank: 52
PRCOX Sortino Ratio Rank: 48
PRCOX Omega Ratio Rank: 49
PRCOX Calmar Ratio Rank: 54
PRCOX Martin Ratio Rank: 68

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TCAF vs. PRCOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Capital Appreciation Equity ETF (TCAF) 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.

	TCAF	PRCOX	Difference
Sharpe ratio: Return per unit of total volatility	1.50	2.05	-0.56
Sortino ratio: Return per unit of downside risk	2.07	2.81	-0.74
Omega ratio: Gain probability vs. loss probability	1.27	1.37	-0.10
Calmar ratio: Return relative to maximum drawdown	1.54	2.71	-1.17
Martin ratio: Return relative to average drawdown	6.15	12.57	-6.41
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TCAF vs. PRCOX - Sharpe Ratio Comparison

The current TCAF Sharpe Ratio is 1.50, which is comparable to the PRCOX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of TCAF and PRCOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TCAF	PRCOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.50	2.05	-0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.80	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.86	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.20	0.57	+0.63

Drawdowns

TCAF vs. PRCOX - Drawdown Comparison

The maximum TCAF drawdown since its inception was -16.37%, smaller than the maximum PRCOX drawdown of -53.96%. Use the drawdown chart below to compare losses from any high point for TCAF and PRCOX.

Drawdown Indicators

	TCAF	PRCOX	Difference
Max Drawdown Largest peak-to-trough decline	-16.37%	-53.96%	+37.59%
Max Drawdown (1Y) Largest decline over 1 year	-11.33%	-9.32%	-2.01%
Max Drawdown (3Y) Largest decline over 3 years	—	-19.39%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.94%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-34.42%	—
Current Drawdown Current decline from peak	-2.82%	-3.09%	+0.27%
Average Drawdown Average peak-to-trough decline	-2.06%	-9.18%	+7.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	2.00%	+0.83%

Volatility

TCAF vs. PRCOX - Volatility Comparison

The current volatility for T. Rowe Price Capital Appreciation Equity ETF (TCAF) is 3.25%, while T. Rowe Price U.S. Equity Research Fund (PRCOX) has a volatility of 4.05%. This indicates that TCAF experiences smaller price fluctuations and is considered to be less risky than PRCOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TCAF	PRCOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.25%	4.05%	-0.80%
Volatility (6M) Calculated over the trailing 6-month period	9.05%	9.86%	-0.81%
Volatility (1Y) Calculated over the trailing 1-year period	11.68%	12.30%	-0.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.98%	17.38%	-3.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.98%	18.37%	-4.39%

TCAF vs. PRCOX - Expense Ratio Comparison

TCAF has a 0.31% expense ratio, which is lower than PRCOX's 0.42% expense ratio.

Dividends

TCAF vs. PRCOX - Dividend Comparison

TCAF's dividend yield for the trailing twelve months is around 0.48%, less than PRCOX's 1.08% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PRCOX T. Rowe Price U.S. Equity Research Fund	1.08%	1.17%	0.64%	1.17%	1.28%	3.71%	1.04%	1.39%	5.60%	7.02%	7.28%	8.76%
TCAF T. Rowe Price Capital Appreciation Equity ETF	0.48%	0.50%	0.43%	0.26%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TCAF and PRCOX in my portfolio?

TCAF and PRCOX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TCAF or PRCOX?

PRCOX has higher volatility (4.05%) compared to TCAF (3.25%). In terms of maximum drawdown, TCAF dropped -16.37% vs PRCOX's -53.96%.

Which has better risk-adjusted returns?

PRCOX currently has the higher Sharpe Ratio (2.05 vs 1.50), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.