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

Key characteristics


TRMCXVWNDX
YTD Return21.15%14.46%
1Y Return41.86%28.41%
3Y Return (Ann)11.27%8.55%
5Y Return (Ann)14.58%12.83%
10Y Return (Ann)10.62%10.16%
Sharpe Ratio2.302.40
Sortino Ratio3.253.44
Omega Ratio1.471.44
Calmar Ratio3.733.33
Martin Ratio17.2815.09
Ulcer Index2.36%1.83%
Daily Std Dev17.75%11.53%
Max Drawdown-55.28%-61.48%
Current Drawdown-0.21%-0.45%

Correlation

-0.50.00.51.00.9

The correlation between TRMCX and VWNDX 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.

Performance

TRMCX vs. VWNDX - Performance Comparison

In the year-to-date period, TRMCX achieves a 21.15% return, which is significantly higher than VWNDX's 14.46% return. Both investments have delivered pretty close results over the past 10 years, with TRMCX having a 10.62% annualized return and VWNDX not far behind at 10.16%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.62%
8.50%
TRMCX
VWNDX

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TRMCX vs. VWNDX - Expense Ratio Comparison

TRMCX has a 0.77% expense ratio, which is higher than VWNDX'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 VWNDX: 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%

Risk-Adjusted Performance

TRMCX vs. VWNDX - 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 Windsor Fund Investor Shares (VWNDX). 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.


TRMCX
Sharpe ratio
The chart of Sharpe ratio for TRMCX, currently valued at 2.30, compared to the broader market0.002.004.002.30
Sortino ratio
The chart of Sortino ratio for TRMCX, currently valued at 3.25, compared to the broader market0.005.0010.003.25
Omega ratio
The chart of Omega ratio for TRMCX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for TRMCX, currently valued at 3.73, compared to the broader market0.005.0010.0015.0020.0025.003.73
Martin ratio
The chart of Martin ratio for TRMCX, currently valued at 17.28, compared to the broader market0.0020.0040.0060.0080.00100.0017.28
VWNDX
Sharpe ratio
The chart of Sharpe ratio for VWNDX, currently valued at 2.40, compared to the broader market0.002.004.002.40
Sortino ratio
The chart of Sortino ratio for VWNDX, currently valued at 3.44, compared to the broader market0.005.0010.003.44
Omega ratio
The chart of Omega ratio for VWNDX, currently valued at 1.44, compared to the broader market1.002.003.004.001.44
Calmar ratio
The chart of Calmar ratio for VWNDX, currently valued at 3.33, compared to the broader market0.005.0010.0015.0020.0025.003.33
Martin ratio
The chart of Martin ratio for VWNDX, currently valued at 15.09, compared to the broader market0.0020.0040.0060.0080.00100.0015.09

TRMCX vs. VWNDX - Sharpe Ratio Comparison

The current TRMCX Sharpe Ratio is 2.30, which is comparable to the VWNDX Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of TRMCX and VWNDX, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.30
2.40
TRMCX
VWNDX

Dividends

TRMCX vs. VWNDX - Dividend Comparison

TRMCX's dividend yield for the trailing twelve months is around 0.94%, less than VWNDX's 1.96% yield.


TTM20232022202120202019201820172016201520142013
TRMCX
T. Rowe Price Mid-Cap Value Fund
0.94%1.14%0.89%1.01%1.01%1.47%1.23%1.09%0.93%1.36%1.08%0.73%
VWNDX
Vanguard Windsor Fund Investor Shares
1.96%1.90%1.71%1.55%1.87%1.93%2.41%1.58%1.99%1.88%1.35%0.96%

Drawdowns

TRMCX vs. VWNDX - Drawdown Comparison

The maximum TRMCX drawdown since its inception was -55.28%, smaller than the maximum VWNDX drawdown of -61.48%. Use the drawdown chart below to compare losses from any high point for TRMCX and VWNDX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.21%
-0.45%
TRMCX
VWNDX

Volatility

TRMCX vs. VWNDX - Volatility Comparison

The current volatility for T. Rowe Price Mid-Cap Value Fund (TRMCX) is 3.87%, while Vanguard Windsor Fund Investor Shares (VWNDX) has a volatility of 4.09%. This indicates that TRMCX experiences smaller price fluctuations and is considered to be less risky than VWNDX 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
3.87%
4.09%
TRMCX
VWNDX