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

Correlation

The correlation between TRLGX and SPY 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.


-0.50.00.51.00.9

Performance

TRLGX vs. SPY - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.39%
9.85%
TRLGX
SPY

Key characteristics

Sharpe Ratio

TRLGX:

1.71

SPY:

2.21

Sortino Ratio

TRLGX:

2.26

SPY:

2.93

Omega Ratio

TRLGX:

1.32

SPY:

1.41

Calmar Ratio

TRLGX:

1.41

SPY:

3.26

Martin Ratio

TRLGX:

10.03

SPY:

14.40

Ulcer Index

TRLGX:

2.81%

SPY:

1.90%

Daily Std Dev

TRLGX:

16.55%

SPY:

12.44%

Max Drawdown

TRLGX:

-56.16%

SPY:

-55.19%

Current Drawdown

TRLGX:

-6.59%

SPY:

-1.83%

Returns By Period

The year-to-date returns for both stocks are quite close, with TRLGX having a 27.85% return and SPY slightly lower at 26.72%. Over the past 10 years, TRLGX has underperformed SPY with an annualized return of 11.89%, while SPY has yielded a comparatively higher 13.04% annualized return.


TRLGX

YTD

27.85%

1M

-2.35%

6M

6.71%

1Y

28.10%

5Y*

13.86%

10Y*

11.89%

SPY

YTD

26.72%

1M

0.20%

6M

10.28%

1Y

27.17%

5Y*

14.87%

10Y*

13.04%

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. SPY - Expense Ratio Comparison

TRLGX has a 0.55% expense ratio, which is higher than SPY's 0.09% expense ratio.


TRLGX
T. Rowe Price Large-Cap Growth Fund
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

TRLGX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Large-Cap Growth Fund (TRLGX) and SPDR S&P 500 ETF (SPY). 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 TRLGX, currently valued at 1.71, compared to the broader market-1.000.001.002.003.004.001.712.21
The chart of Sortino ratio for TRLGX, currently valued at 2.26, compared to the broader market-2.000.002.004.006.008.0010.002.262.93
The chart of Omega ratio for TRLGX, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.003.501.321.41
The chart of Calmar ratio for TRLGX, currently valued at 1.41, compared to the broader market0.002.004.006.008.0010.0012.0014.001.413.26
The chart of Martin ratio for TRLGX, currently valued at 10.03, compared to the broader market0.0020.0040.0060.0010.0314.40
TRLGX
SPY

The current TRLGX Sharpe Ratio is 1.71, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of TRLGX and SPY, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.71
2.21
TRLGX
SPY

Dividends

TRLGX vs. SPY - Dividend Comparison

TRLGX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.19%.


TTM20232022202120202019201820172016201520142013
TRLGX
T. Rowe Price Large-Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.41%0.28%0.24%0.24%0.03%0.07%0.04%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

TRLGX vs. SPY - Drawdown Comparison

The maximum TRLGX drawdown since its inception was -56.16%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TRLGX and SPY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.59%
-1.83%
TRLGX
SPY

Volatility

TRLGX vs. SPY - Volatility Comparison

T. Rowe Price Large-Cap Growth Fund (TRLGX) has a higher volatility of 6.12% compared to SPDR S&P 500 ETF (SPY) at 3.83%. This indicates that TRLGX's price experiences larger fluctuations and is considered to be riskier than SPY 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%JulyAugustSeptemberOctoberNovemberDecember
6.12%
3.83%
TRLGX
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab