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VSEQX vs. PRNHX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VSEQXPRNHX
YTD Return23.28%12.79%
1Y Return45.14%34.77%
3Y Return (Ann)8.63%-8.23%
5Y Return (Ann)14.35%9.76%
10Y Return (Ann)10.99%12.44%
Sharpe Ratio2.611.87
Sortino Ratio3.622.62
Omega Ratio1.461.32
Calmar Ratio3.620.75
Martin Ratio15.686.09
Ulcer Index2.77%5.25%
Daily Std Dev16.63%17.12%
Max Drawdown-63.55%-55.79%
Current Drawdown0.00%-22.66%

Correlation

-0.50.00.51.00.9

The correlation between VSEQX and PRNHX is 0.89, 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

VSEQX vs. PRNHX - Performance Comparison

In the year-to-date period, VSEQX achieves a 23.28% return, which is significantly higher than PRNHX's 12.79% return. Over the past 10 years, VSEQX has underperformed PRNHX with an annualized return of 10.99%, while PRNHX has yielded a comparatively higher 12.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.52%
13.72%
VSEQX
PRNHX

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VSEQX vs. PRNHX - Expense Ratio Comparison

VSEQX has a 0.17% expense ratio, which is lower than PRNHX's 0.75% expense ratio.


PRNHX
T. Rowe Price New Horizons Fund
Expense ratio chart for PRNHX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for VSEQX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

VSEQX vs. PRNHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Strategic Equity Fund (VSEQX) and T. Rowe Price New Horizons Fund (PRNHX). 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.


VSEQX
Sharpe ratio
The chart of Sharpe ratio for VSEQX, currently valued at 2.61, compared to the broader market0.002.004.002.61
Sortino ratio
The chart of Sortino ratio for VSEQX, currently valued at 3.62, compared to the broader market0.005.0010.003.62
Omega ratio
The chart of Omega ratio for VSEQX, currently valued at 1.46, compared to the broader market1.002.003.004.001.46
Calmar ratio
The chart of Calmar ratio for VSEQX, currently valued at 3.62, compared to the broader market0.005.0010.0015.0020.0025.003.62
Martin ratio
The chart of Martin ratio for VSEQX, currently valued at 15.68, compared to the broader market0.0020.0040.0060.0080.00100.0015.68
PRNHX
Sharpe ratio
The chart of Sharpe ratio for PRNHX, currently valued at 1.87, compared to the broader market0.002.004.001.87
Sortino ratio
The chart of Sortino ratio for PRNHX, currently valued at 2.62, compared to the broader market0.005.0010.002.62
Omega ratio
The chart of Omega ratio for PRNHX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for PRNHX, currently valued at 0.75, compared to the broader market0.005.0010.0015.0020.0025.000.75
Martin ratio
The chart of Martin ratio for PRNHX, currently valued at 6.09, compared to the broader market0.0020.0040.0060.0080.00100.006.09

VSEQX vs. PRNHX - Sharpe Ratio Comparison

The current VSEQX Sharpe Ratio is 2.61, which is higher than the PRNHX Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of VSEQX and PRNHX, 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
2.61
1.87
VSEQX
PRNHX

Dividends

VSEQX vs. PRNHX - Dividend Comparison

VSEQX's dividend yield for the trailing twelve months is around 1.22%, while PRNHX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VSEQX
Vanguard Strategic Equity Fund
1.22%1.51%1.49%1.36%1.32%1.33%1.45%1.35%1.57%1.79%1.10%1.20%
PRNHX
T. Rowe Price New Horizons Fund
0.00%0.00%4.72%17.09%13.58%11.73%13.94%8.27%5.77%7.72%11.65%6.61%

Drawdowns

VSEQX vs. PRNHX - Drawdown Comparison

The maximum VSEQX drawdown since its inception was -63.55%, which is greater than PRNHX's maximum drawdown of -55.79%. Use the drawdown chart below to compare losses from any high point for VSEQX and PRNHX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-22.66%
VSEQX
PRNHX

Volatility

VSEQX vs. PRNHX - Volatility Comparison

Vanguard Strategic Equity Fund (VSEQX) has a higher volatility of 5.37% compared to T. Rowe Price New Horizons Fund (PRNHX) at 4.79%. This indicates that VSEQX's price experiences larger fluctuations and is considered to be riskier than PRNHX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.37%
4.79%
VSEQX
PRNHX