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

Key characteristics


TPLGX^GSPC
YTD Return36.49%25.48%
1Y Return37.66%33.14%
3Y Return (Ann)0.79%8.55%
5Y Return (Ann)11.87%13.96%
10Y Return (Ann)12.61%11.39%
Sharpe Ratio2.302.91
Sortino Ratio3.003.88
Omega Ratio1.421.55
Calmar Ratio1.444.20
Martin Ratio11.8918.80
Ulcer Index3.37%1.90%
Daily Std Dev17.43%12.27%
Max Drawdown-56.03%-56.78%
Current Drawdown-0.11%-0.27%

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.

Performance

TPLGX vs. ^GSPC - Performance Comparison

In the year-to-date period, TPLGX achieves a 36.49% return, which is significantly higher than ^GSPC's 25.48% return. Over the past 10 years, TPLGX has outperformed ^GSPC with an annualized return of 12.61%, while ^GSPC has yielded a comparatively lower 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.44%
12.76%
TPLGX
^GSPC

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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.


TPLGX
Sharpe ratio
The chart of Sharpe ratio for TPLGX, currently valued at 2.30, compared to the broader market0.002.004.002.30
Sortino ratio
The chart of Sortino ratio for TPLGX, currently valued at 3.00, compared to the broader market0.005.0010.003.00
Omega ratio
The chart of Omega ratio for TPLGX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for TPLGX, currently valued at 1.44, compared to the broader market0.005.0010.0015.0020.001.44
Martin ratio
The chart of Martin ratio for TPLGX, currently valued at 11.89, compared to the broader market0.0020.0040.0060.0080.00100.0011.89
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market0.005.0010.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market1.002.003.004.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.0020.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0020.0040.0060.0080.00100.0018.80

TPLGX vs. ^GSPC - Sharpe Ratio Comparison

The current TPLGX Sharpe Ratio is 2.30, which is comparable to the ^GSPC Sharpe Ratio of 2.91. 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
2.30
2.91
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
-0.11%
-0.27%
TPLGX
^GSPC

Volatility

TPLGX vs. ^GSPC - Volatility Comparison

T. Rowe Price Institutional Large Cap Core Growth Fund (TPLGX) has a higher volatility of 4.67% compared to S&P 500 (^GSPC) at 3.75%. 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
4.67%
3.75%
TPLGX
^GSPC