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TOUS vs. PRWCX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TOUS and PRWCX is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

TOUS vs. PRWCX - Performance Comparison

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

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Key characteristics

Sharpe Ratio

TOUS:

0.97

PRWCX:

1.00

Sortino Ratio

TOUS:

1.33

PRWCX:

1.33

Omega Ratio

TOUS:

1.18

PRWCX:

1.19

Calmar Ratio

TOUS:

1.09

PRWCX:

1.05

Martin Ratio

TOUS:

3.48

PRWCX:

4.52

Ulcer Index

TOUS:

4.48%

PRWCX:

2.19%

Daily Std Dev

TOUS:

17.36%

PRWCX:

11.44%

Max Drawdown

TOUS:

-14.29%

PRWCX:

-41.77%

Current Drawdown

TOUS:

-0.57%

PRWCX:

-0.59%

Returns By Period

In the year-to-date period, TOUS achieves a 20.06% return, which is significantly higher than PRWCX's 3.00% return.


TOUS

YTD

20.06%

1M

4.97%

6M

16.60%

1Y

15.68%

3Y*

N/A

5Y*

N/A

10Y*

N/A

PRWCX

YTD

3.00%

1M

3.03%

6M

0.68%

1Y

10.47%

3Y*

10.00%

5Y*

11.14%

10Y*

10.32%

*Annualized

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TOUS vs. PRWCX - Expense Ratio Comparison

TOUS has a 0.50% expense ratio, which is lower than PRWCX's 0.68% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

TOUS vs. PRWCX — Risk-Adjusted Performance Rank

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

TOUS
The Risk-Adjusted Performance Rank of TOUS is 7676
Overall Rank
The Sharpe Ratio Rank of TOUS is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of TOUS is 7474
Sortino Ratio Rank
The Omega Ratio Rank of TOUS is 7373
Omega Ratio Rank
The Calmar Ratio Rank of TOUS is 8282
Calmar Ratio Rank
The Martin Ratio Rank of TOUS is 7575
Martin Ratio Rank

PRWCX
The Risk-Adjusted Performance Rank of PRWCX is 7575
Overall Rank
The Sharpe Ratio Rank of PRWCX is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of PRWCX is 7171
Sortino Ratio Rank
The Omega Ratio Rank of PRWCX is 7373
Omega Ratio Rank
The Calmar Ratio Rank of PRWCX is 8080
Calmar Ratio Rank
The Martin Ratio Rank of PRWCX is 8181
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

TOUS vs. PRWCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price International Equity ETF (TOUS) and T. Rowe Price Capital Appreciation Fund (PRWCX). 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.


The current TOUS Sharpe Ratio is 0.97, which is comparable to the PRWCX Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of TOUS and PRWCX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

TOUS vs. PRWCX - Dividend Comparison

TOUS's dividend yield for the trailing twelve months is around 2.51%, less than PRWCX's 10.07% yield.


TTM20242023202220212020201920182017201620152014
TOUS
T. Rowe Price International Equity ETF
2.51%3.01%0.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PRWCX
T. Rowe Price Capital Appreciation Fund
10.07%10.38%4.15%9.45%9.23%7.97%5.83%7.46%6.82%3.51%9.86%10.03%

Drawdowns

TOUS vs. PRWCX - Drawdown Comparison

The maximum TOUS drawdown since its inception was -14.29%, smaller than the maximum PRWCX drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for TOUS and PRWCX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

TOUS vs. PRWCX - Volatility Comparison

T. Rowe Price International Equity ETF (TOUS) and T. Rowe Price Capital Appreciation Fund (PRWCX) have volatilities of 3.04% and 3.17%, 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.


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