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

Key characteristics


TRRKXSPY
YTD Return17.82%27.04%
1Y Return30.31%39.75%
3Y Return (Ann)3.74%10.21%
5Y Return (Ann)10.53%15.93%
10Y Return (Ann)9.19%13.36%
Sharpe Ratio2.653.15
Sortino Ratio3.634.19
Omega Ratio1.481.59
Calmar Ratio1.944.60
Martin Ratio17.5820.85
Ulcer Index1.67%1.85%
Daily Std Dev11.11%12.29%
Max Drawdown-53.54%-55.19%
Current Drawdown-0.13%0.00%

Correlation

-0.50.00.51.01.0

The correlation between TRRKX and SPY is 0.95, 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

TRRKX vs. SPY - Performance Comparison

In the year-to-date period, TRRKX achieves a 17.82% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, TRRKX has underperformed SPY with an annualized return of 9.19%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.01%
15.57%
TRRKX
SPY

Compare stocks, funds, or ETFs

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


TRRKX vs. SPY - Expense Ratio Comparison

TRRKX has a 0.63% expense ratio, which is higher than SPY's 0.09% expense ratio.


TRRKX
T. Rowe Price Retirement 2045 Fund
Expense ratio chart for TRRKX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
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

TRRKX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Retirement 2045 Fund (TRRKX) 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.


TRRKX
Sharpe ratio
The chart of Sharpe ratio for TRRKX, currently valued at 2.65, compared to the broader market0.002.004.002.65
Sortino ratio
The chart of Sortino ratio for TRRKX, currently valued at 3.63, compared to the broader market0.005.0010.003.63
Omega ratio
The chart of Omega ratio for TRRKX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for TRRKX, currently valued at 1.94, compared to the broader market0.005.0010.0015.0020.0025.001.94
Martin ratio
The chart of Martin ratio for TRRKX, currently valued at 17.58, compared to the broader market0.0020.0040.0060.0080.00100.0017.58
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

TRRKX vs. SPY - Sharpe Ratio Comparison

The current TRRKX Sharpe Ratio is 2.65, which is comparable to the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of TRRKX 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.65
3.15
TRRKX
SPY

Dividends

TRRKX vs. SPY - Dividend Comparison

TRRKX's dividend yield for the trailing twelve months is around 1.15%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
TRRKX
T. Rowe Price Retirement 2045 Fund
1.15%1.36%1.27%0.66%0.76%1.57%1.60%1.25%1.34%1.39%1.38%1.02%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

TRRKX vs. SPY - Drawdown Comparison

The maximum TRRKX drawdown since its inception was -53.54%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TRRKX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.13%
0
TRRKX
SPY

Volatility

TRRKX vs. SPY - Volatility Comparison

The current volatility for T. Rowe Price Retirement 2045 Fund (TRRKX) is 3.01%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that TRRKX experiences smaller price fluctuations and is considered to be less risky 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%JuneJulyAugustSeptemberOctoberNovember
3.01%
3.95%
TRRKX
SPY