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TRBCX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TRBCXVOO
YTD Return36.31%26.94%
1Y Return42.56%35.06%
3Y Return (Ann)6.31%10.23%
5Y Return (Ann)15.71%15.77%
10Y Return (Ann)14.96%13.41%
Sharpe Ratio2.493.08
Sortino Ratio3.244.09
Omega Ratio1.461.58
Calmar Ratio2.664.46
Martin Ratio13.6420.36
Ulcer Index3.30%1.85%
Daily Std Dev18.05%12.23%
Max Drawdown-54.56%-33.99%
Current Drawdown-0.11%-0.25%

Correlation

-0.50.00.51.00.9

The correlation between TRBCX and VOO is 0.91, 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

TRBCX vs. VOO - Performance Comparison

In the year-to-date period, TRBCX achieves a 36.31% return, which is significantly higher than VOO's 26.94% return. Over the past 10 years, TRBCX has outperformed VOO with an annualized return of 14.96%, while VOO has yielded a comparatively lower 13.41% 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
16.32%
13.51%
TRBCX
VOO

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TRBCX vs. VOO - Expense Ratio Comparison

TRBCX has a 0.69% expense ratio, which is higher than VOO's 0.03% expense ratio.


TRBCX
T. Rowe Price Blue Chip Growth Fund
Expense ratio chart for TRBCX: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

TRBCX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Blue Chip Growth Fund (TRBCX) and Vanguard S&P 500 ETF (VOO). 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.


TRBCX
Sharpe ratio
The chart of Sharpe ratio for TRBCX, currently valued at 2.49, compared to the broader market0.002.004.002.49
Sortino ratio
The chart of Sortino ratio for TRBCX, currently valued at 3.24, compared to the broader market0.005.0010.003.24
Omega ratio
The chart of Omega ratio for TRBCX, currently valued at 1.46, compared to the broader market1.002.003.004.001.46
Calmar ratio
The chart of Calmar ratio for TRBCX, currently valued at 2.66, compared to the broader market0.005.0010.0015.0020.0025.002.66
Martin ratio
The chart of Martin ratio for TRBCX, currently valued at 13.64, compared to the broader market0.0020.0040.0060.0080.00100.0013.64
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.09, compared to the broader market0.005.0010.004.09
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.0025.004.46
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.36, compared to the broader market0.0020.0040.0060.0080.00100.0020.36

TRBCX vs. VOO - Sharpe Ratio Comparison

The current TRBCX Sharpe Ratio is 2.49, which is comparable to the VOO Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of TRBCX and VOO, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.49
3.08
TRBCX
VOO

Dividends

TRBCX vs. VOO - Dividend Comparison

TRBCX's dividend yield for the trailing twelve months is around 2.56%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
TRBCX
T. Rowe Price Blue Chip Growth Fund
2.56%3.49%5.87%9.38%1.19%0.36%2.44%2.94%0.67%3.26%4.85%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

TRBCX vs. VOO - Drawdown Comparison

The maximum TRBCX drawdown since its inception was -54.56%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for TRBCX and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.11%
-0.25%
TRBCX
VOO

Volatility

TRBCX vs. VOO - Volatility Comparison

T. Rowe Price Blue Chip Growth Fund (TRBCX) has a higher volatility of 4.68% compared to Vanguard S&P 500 ETF (VOO) at 3.78%. This indicates that TRBCX's price experiences larger fluctuations and is considered to be riskier than VOO 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
4.68%
3.78%
TRBCX
VOO