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TRMCX vs. FSMDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TRMCX vs. FSMDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Mid-Cap Value Fund (TRMCX) and Fidelity Mid Cap Index Fund (FSMDX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.98%
11.07%
TRMCX
FSMDX

Returns By Period

The year-to-date returns for both investments are quite close, with TRMCX having a 19.20% return and FSMDX slightly higher at 19.34%. Over the past 10 years, TRMCX has outperformed FSMDX with an annualized return of 10.32%, while FSMDX has yielded a comparatively lower 9.07% annualized return.


TRMCX

YTD

19.20%

1M

0.24%

6M

7.98%

1Y

33.15%

5Y (annualized)

14.50%

10Y (annualized)

10.32%

FSMDX

YTD

19.34%

1M

1.88%

6M

11.07%

1Y

30.56%

5Y (annualized)

10.37%

10Y (annualized)

9.07%

Key characteristics


TRMCXFSMDX
Sharpe Ratio1.932.37
Sortino Ratio2.763.26
Omega Ratio1.401.41
Calmar Ratio4.781.95
Martin Ratio14.1013.47
Ulcer Index2.38%2.32%
Daily Std Dev17.42%13.20%
Max Drawdown-55.28%-40.35%
Current Drawdown-2.26%-1.84%

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TRMCX vs. FSMDX - Expense Ratio Comparison

TRMCX has a 0.77% expense ratio, which is higher than FSMDX's 0.03% expense ratio.


TRMCX
T. Rowe Price Mid-Cap Value Fund
Expense ratio chart for TRMCX: current value at 0.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.77%
Expense ratio chart for FSMDX: 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%

Correlation

-0.50.00.51.00.9

The correlation between TRMCX and FSMDX is 0.92, 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.

Risk-Adjusted Performance

TRMCX vs. FSMDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Mid-Cap Value Fund (TRMCX) and Fidelity Mid Cap Index Fund (FSMDX). 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 TRMCX, currently valued at 1.93, compared to the broader market-1.000.001.002.003.004.005.001.932.37
The chart of Sortino ratio for TRMCX, currently valued at 2.76, compared to the broader market0.005.0010.002.763.26
The chart of Omega ratio for TRMCX, currently valued at 1.40, compared to the broader market1.002.003.004.001.401.41
The chart of Calmar ratio for TRMCX, currently valued at 4.78, compared to the broader market0.005.0010.0015.0020.0025.004.781.95
The chart of Martin ratio for TRMCX, currently valued at 14.10, compared to the broader market0.0020.0040.0060.0080.00100.0014.1013.47
TRMCX
FSMDX

The current TRMCX Sharpe Ratio is 1.93, which is comparable to the FSMDX Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of TRMCX and FSMDX, 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
1.93
2.37
TRMCX
FSMDX

Dividends

TRMCX vs. FSMDX - Dividend Comparison

TRMCX's dividend yield for the trailing twelve months is around 0.96%, more than FSMDX's 0.95% yield.


TTM20232022202120202019201820172016201520142013
TRMCX
T. Rowe Price Mid-Cap Value Fund
0.96%1.14%0.89%1.01%1.01%1.47%1.23%1.09%0.93%1.36%1.08%0.73%
FSMDX
Fidelity Mid Cap Index Fund
0.95%1.39%1.59%1.10%1.37%1.42%1.85%1.32%1.35%2.29%3.82%2.74%

Drawdowns

TRMCX vs. FSMDX - Drawdown Comparison

The maximum TRMCX drawdown since its inception was -55.28%, which is greater than FSMDX's maximum drawdown of -40.35%. Use the drawdown chart below to compare losses from any high point for TRMCX and FSMDX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.26%
-1.84%
TRMCX
FSMDX

Volatility

TRMCX vs. FSMDX - Volatility Comparison

The current volatility for T. Rowe Price Mid-Cap Value Fund (TRMCX) is 3.80%, while Fidelity Mid Cap Index Fund (FSMDX) has a volatility of 4.15%. This indicates that TRMCX experiences smaller price fluctuations and is considered to be less risky than FSMDX 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%JuneJulyAugustSeptemberOctoberNovember
3.80%
4.15%
TRMCX
FSMDX