PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TRLGX vs. PRBLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TRLGXPRBLX
YTD Return26.15%16.91%
1Y Return38.58%28.13%
3Y Return (Ann)6.11%6.97%
5Y Return (Ann)17.86%14.17%
10Y Return (Ann)16.32%12.15%
Sharpe Ratio2.682.62
Sortino Ratio3.513.54
Omega Ratio1.491.48
Calmar Ratio2.163.64
Martin Ratio16.2817.19
Ulcer Index2.57%1.84%
Daily Std Dev15.57%12.08%
Max Drawdown-55.56%-42.20%
Current Drawdown-1.68%-2.87%

Correlation

-0.50.00.51.00.9

The correlation between TRLGX and PRBLX is 0.89, 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

TRLGX vs. PRBLX - Performance Comparison

In the year-to-date period, TRLGX achieves a 26.15% return, which is significantly higher than PRBLX's 16.91% return. Over the past 10 years, TRLGX has outperformed PRBLX with an annualized return of 16.32%, while PRBLX has yielded a comparatively lower 12.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


800.00%900.00%1,000.00%1,100.00%1,200.00%JuneJulyAugustSeptemberOctoberNovember
1,154.25%
902.79%
TRLGX
PRBLX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TRLGX vs. PRBLX - Expense Ratio Comparison

TRLGX has a 0.55% expense ratio, which is lower than PRBLX's 0.82% expense ratio.


PRBLX
Parnassus Core Equity Fund
Expense ratio chart for PRBLX: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
Expense ratio chart for TRLGX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

TRLGX vs. PRBLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Large-Cap Growth Fund (TRLGX) and Parnassus Core Equity Fund (PRBLX). 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.


TRLGX
Sharpe ratio
The chart of Sharpe ratio for TRLGX, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for TRLGX, currently valued at 3.51, compared to the broader market0.005.0010.003.51
Omega ratio
The chart of Omega ratio for TRLGX, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for TRLGX, currently valued at 2.16, compared to the broader market0.005.0010.0015.0020.002.16
Martin ratio
The chart of Martin ratio for TRLGX, currently valued at 16.28, compared to the broader market0.0020.0040.0060.0080.0016.28
PRBLX
Sharpe ratio
The chart of Sharpe ratio for PRBLX, currently valued at 2.62, compared to the broader market0.002.004.002.62
Sortino ratio
The chart of Sortino ratio for PRBLX, currently valued at 3.54, compared to the broader market0.005.0010.003.54
Omega ratio
The chart of Omega ratio for PRBLX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for PRBLX, currently valued at 3.64, compared to the broader market0.005.0010.0015.0020.003.64
Martin ratio
The chart of Martin ratio for PRBLX, currently valued at 17.19, compared to the broader market0.0020.0040.0060.0080.0017.19

TRLGX vs. PRBLX - Sharpe Ratio Comparison

The current TRLGX Sharpe Ratio is 2.68, which is comparable to the PRBLX Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of TRLGX and PRBLX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.68
2.62
TRLGX
PRBLX

Dividends

TRLGX vs. PRBLX - Dividend Comparison

TRLGX's dividend yield for the trailing twelve months is around 1.61%, less than PRBLX's 5.04% yield.


TTM20232022202120202019201820172016201520142013
TRLGX
T. Rowe Price Large-Cap Growth Fund
1.61%2.04%3.88%2.56%0.42%7.76%7.93%9.27%1.64%4.71%7.64%0.04%
PRBLX
Parnassus Core Equity Fund
5.04%6.01%10.13%7.77%5.87%8.02%9.64%7.16%3.80%9.62%3.12%6.42%

Drawdowns

TRLGX vs. PRBLX - Drawdown Comparison

The maximum TRLGX drawdown since its inception was -55.56%, which is greater than PRBLX's maximum drawdown of -42.20%. Use the drawdown chart below to compare losses from any high point for TRLGX and PRBLX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.68%
-2.87%
TRLGX
PRBLX

Volatility

TRLGX vs. PRBLX - Volatility Comparison

T. Rowe Price Large-Cap Growth Fund (TRLGX) has a higher volatility of 4.40% compared to Parnassus Core Equity Fund (PRBLX) at 3.63%. This indicates that TRLGX's price experiences larger fluctuations and is considered to be riskier than PRBLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.40%
3.63%
TRLGX
PRBLX