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TPLGX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

TPLGX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Institutional Large Cap Core Growth Fund (TPLGX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.30%
12.53%
TPLGX
^GSPC

Returns By Period

In the year-to-date period, TPLGX achieves a 34.45% return, which is significantly higher than ^GSPC's 25.15% return. Over the past 10 years, TPLGX has outperformed ^GSPC with an annualized return of 12.33%, while ^GSPC has yielded a comparatively lower 11.18% annualized return.


TPLGX

YTD

34.45%

1M

3.60%

6M

13.30%

1Y

33.40%

5Y (annualized)

11.41%

10Y (annualized)

12.33%

^GSPC

YTD

25.15%

1M

2.74%

6M

12.53%

1Y

30.93%

5Y (annualized)

13.79%

10Y (annualized)

11.18%

Key characteristics


TPLGX^GSPC
Sharpe Ratio1.912.53
Sortino Ratio2.543.39
Omega Ratio1.351.47
Calmar Ratio1.203.65
Martin Ratio9.8916.21
Ulcer Index3.38%1.91%
Daily Std Dev17.51%12.23%
Max Drawdown-56.03%-56.78%
Current Drawdown-1.60%-0.53%

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Correlation

-0.50.00.51.00.9

The correlation between TPLGX and ^GSPC is 0.93, 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.

Risk-Adjusted Performance

TPLGX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Institutional Large Cap Core Growth Fund (TPLGX) and S&P 500 (^GSPC). 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 TPLGX, currently valued at 1.91, compared to the broader market-1.000.001.002.003.004.005.001.912.53
The chart of Sortino ratio for TPLGX, currently valued at 2.54, compared to the broader market0.005.0010.002.543.39
The chart of Omega ratio for TPLGX, currently valued at 1.35, compared to the broader market1.002.003.004.001.351.47
The chart of Calmar ratio for TPLGX, currently valued at 1.20, compared to the broader market0.005.0010.0015.0020.001.203.65
The chart of Martin ratio for TPLGX, currently valued at 9.89, compared to the broader market0.0020.0040.0060.0080.00100.009.8916.21
TPLGX
^GSPC

The current TPLGX Sharpe Ratio is 1.91, which is comparable to the ^GSPC Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of TPLGX and ^GSPC, 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
1.91
2.53
TPLGX
^GSPC

Drawdowns

TPLGX vs. ^GSPC - Drawdown Comparison

The maximum TPLGX drawdown since its inception was -56.03%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TPLGX and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.60%
-0.53%
TPLGX
^GSPC

Volatility

TPLGX vs. ^GSPC - Volatility Comparison

T. Rowe Price Institutional Large Cap Core Growth Fund (TPLGX) has a higher volatility of 5.09% compared to S&P 500 (^GSPC) at 3.97%. This indicates that TPLGX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.09%
3.97%
TPLGX
^GSPC