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

Performance

TRMCX vs. VGHCX - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.98%
-6.19%
TRMCX
VGHCX

Returns By Period

In the year-to-date period, TRMCX achieves a 19.20% return, which is significantly higher than VGHCX's -2.54% return. Over the past 10 years, TRMCX has outperformed VGHCX with an annualized return of 10.32%, while VGHCX has yielded a comparatively lower -0.16% annualized return.


TRMCX

YTD

19.20%

1M

0.24%

6M

7.98%

1Y

33.15%

5Y (annualized)

14.50%

10Y (annualized)

10.32%

VGHCX

YTD

-2.54%

1M

-10.16%

6M

-6.19%

1Y

1.18%

5Y (annualized)

-0.04%

10Y (annualized)

-0.16%

Key characteristics


TRMCXVGHCX
Sharpe Ratio1.930.14
Sortino Ratio2.760.27
Omega Ratio1.401.03
Calmar Ratio4.780.10
Martin Ratio14.100.42
Ulcer Index2.38%4.09%
Daily Std Dev17.42%11.97%
Max Drawdown-55.28%-45.86%
Current Drawdown-2.26%-15.47%

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TRMCX vs. VGHCX - Expense Ratio Comparison

TRMCX has a 0.77% expense ratio, which is higher than VGHCX's 0.30% 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 VGHCX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Correlation

-0.50.00.51.00.7

The correlation between TRMCX and VGHCX is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

TRMCX vs. VGHCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Mid-Cap Value Fund (TRMCX) and Vanguard Health Care Fund Investor Shares (VGHCX). 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-1.000.001.002.003.004.005.001.930.14
The chart of Sortino ratio for TRMCX, currently valued at 2.76, compared to the broader market0.005.0010.002.760.27
The chart of Omega ratio for TRMCX, currently valued at 1.40, compared to the broader market1.002.003.004.001.401.03
The chart of Calmar ratio for TRMCX, currently valued at 4.78, compared to the broader market0.005.0010.0015.0020.0025.004.780.10
The chart of Martin ratio for TRMCX, currently valued at 14.10, compared to the broader market0.0020.0040.0060.0080.00100.0014.100.42
TRMCX
VGHCX

The current TRMCX Sharpe Ratio is 1.93, which is higher than the VGHCX Sharpe Ratio of 0.14. The chart below compares the historical Sharpe Ratios of TRMCX and VGHCX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.93
0.14
TRMCX
VGHCX

Dividends

TRMCX vs. VGHCX - Dividend Comparison

TRMCX's dividend yield for the trailing twelve months is around 0.96%, more than VGHCX's 0.88% 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%
VGHCX
Vanguard Health Care Fund Investor Shares
0.88%0.84%0.78%0.86%0.87%1.17%1.22%1.00%1.00%1.18%1.00%1.26%

Drawdowns

TRMCX vs. VGHCX - Drawdown Comparison

The maximum TRMCX drawdown since its inception was -55.28%, which is greater than VGHCX's maximum drawdown of -45.86%. Use the drawdown chart below to compare losses from any high point for TRMCX and VGHCX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.26%
-15.47%
TRMCX
VGHCX

Volatility

TRMCX vs. VGHCX - Volatility Comparison

T. Rowe Price Mid-Cap Value Fund (TRMCX) and Vanguard Health Care Fund Investor Shares (VGHCX) have volatilities of 3.80% and 3.85%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
3.85%
TRMCX
VGHCX