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

Performance

VWNDX vs. TRMCX - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.30%
9.38%
VWNDX
TRMCX

Returns By Period

In the year-to-date period, VWNDX achieves a 13.89% return, which is significantly lower than TRMCX's 19.62% return. Both investments have delivered pretty close results over the past 10 years, with VWNDX having a 9.91% annualized return and TRMCX not far ahead at 10.36%.


VWNDX

YTD

13.89%

1M

1.47%

6M

7.30%

1Y

22.43%

5Y (annualized)

12.73%

10Y (annualized)

9.91%

TRMCX

YTD

19.62%

1M

1.58%

6M

9.38%

1Y

34.01%

5Y (annualized)

14.50%

10Y (annualized)

10.36%

Key characteristics


VWNDXTRMCX
Sharpe Ratio1.971.93
Sortino Ratio2.832.76
Omega Ratio1.351.40
Calmar Ratio4.094.78
Martin Ratio12.0714.10
Ulcer Index1.84%2.38%
Daily Std Dev11.29%17.42%
Max Drawdown-61.48%-55.28%
Current Drawdown-1.34%-1.92%

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VWNDX vs. TRMCX - Expense Ratio Comparison

VWNDX has a 0.30% expense ratio, which is lower than TRMCX's 0.77% 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%

Correlation

-0.50.00.51.00.9

The correlation between VWNDX and TRMCX 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

VWNDX vs. TRMCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Windsor Fund Investor Shares (VWNDX) and T. Rowe Price Mid-Cap Value Fund (TRMCX). 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 VWNDX, currently valued at 1.97, compared to the broader market-1.000.001.002.003.004.005.001.971.93
The chart of Sortino ratio for VWNDX, currently valued at 2.83, compared to the broader market0.005.0010.002.832.76
The chart of Omega ratio for VWNDX, currently valued at 1.35, compared to the broader market1.002.003.004.001.351.40
The chart of Calmar ratio for VWNDX, currently valued at 4.09, compared to the broader market0.005.0010.0015.0020.0025.004.094.78
The chart of Martin ratio for VWNDX, currently valued at 12.07, compared to the broader market0.0020.0040.0060.0080.00100.0012.0714.10
VWNDX
TRMCX

The current VWNDX Sharpe Ratio is 1.97, which is comparable to the TRMCX Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of VWNDX and TRMCX, 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
1.97
1.93
VWNDX
TRMCX

Dividends

VWNDX vs. TRMCX - Dividend Comparison

VWNDX's dividend yield for the trailing twelve months is around 1.97%, more than TRMCX's 0.96% yield.


TTM20232022202120202019201820172016201520142013
VWNDX
Vanguard Windsor Fund Investor Shares
1.97%1.90%1.71%1.55%1.87%1.93%2.41%1.58%1.99%1.88%1.35%0.96%
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%

Drawdowns

VWNDX vs. TRMCX - Drawdown Comparison

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


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.34%
-1.92%
VWNDX
TRMCX

Volatility

VWNDX vs. TRMCX - Volatility Comparison

Vanguard Windsor Fund Investor Shares (VWNDX) and T. Rowe Price Mid-Cap Value Fund (TRMCX) have volatilities of 3.91% and 3.81%, 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
3.91%
3.81%
VWNDX
TRMCX