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

Correlation

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.


-0.50.00.51.00.9

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.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.15%
8.77%
TPLGX
^GSPC

Key characteristics

Sharpe Ratio

TPLGX:

1.09

^GSPC:

1.96

Sortino Ratio

TPLGX:

1.35

^GSPC:

2.63

Omega Ratio

TPLGX:

1.26

^GSPC:

1.36

Calmar Ratio

TPLGX:

0.89

^GSPC:

2.91

Martin Ratio

TPLGX:

6.39

^GSPC:

12.65

Ulcer Index

TPLGX:

3.85%

^GSPC:

1.95%

Daily Std Dev

TPLGX:

22.48%

^GSPC:

12.60%

Max Drawdown

TPLGX:

-56.03%

^GSPC:

-56.78%

Current Drawdown

TPLGX:

-12.08%

^GSPC:

-2.08%

Returns By Period

The year-to-date returns for both investments are quite close, with TPLGX having a 24.69% return and ^GSPC slightly higher at 25.03%. Both investments have delivered pretty close results over the past 10 years, with TPLGX having a 11.63% annualized return and ^GSPC not far behind at 11.07%.


TPLGX

YTD

24.69%

1M

-8.26%

6M

-1.15%

1Y

24.40%

5Y*

8.80%

10Y*

11.63%

^GSPC

YTD

25.03%

1M

-0.96%

6M

8.77%

1Y

24.73%

5Y*

13.00%

10Y*

11.07%

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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.


Sharpe ratio
The chart of Sharpe ratio for TPLGX, currently valued at 1.09, compared to the broader market-1.000.001.002.003.004.001.091.96
The chart of Sortino ratio for TPLGX, currently valued at 1.34, compared to the broader market-2.000.002.004.006.008.0010.001.342.63
The chart of Omega ratio for TPLGX, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.003.501.261.36
The chart of Calmar ratio for TPLGX, currently valued at 0.88, compared to the broader market0.002.004.006.008.0010.0012.0014.000.882.91
The chart of Martin ratio for TPLGX, currently valued at 6.21, compared to the broader market0.0010.0020.0030.0040.0050.0060.006.2112.65
TPLGX
^GSPC

The current TPLGX Sharpe Ratio is 1.09, which is lower than the ^GSPC Sharpe Ratio of 1.96. 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.09
1.96
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%JulyAugustSeptemberOctoberNovemberDecember
-12.08%
-2.08%
TPLGX
^GSPC

Volatility

TPLGX vs. ^GSPC - Volatility Comparison

T. Rowe Price Institutional Large Cap Core Growth Fund (TPLGX) has a higher volatility of 16.03% compared to S&P 500 (^GSPC) at 4.10%. 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.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
16.03%
4.10%
TPLGX
^GSPC
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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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