T Rowe Correlations

PRFRX Fund

USD 9.22 0.02 0.22%

The current 90-days correlation between T Rowe Price and T Rowe Price is 0.89 (i.e., Very poor diversification). The correlation of T Rowe is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

T Rowe Correlation With Market

Modest diversification

The correlation between T Rowe Price and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding T Rowe Price and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in T Rowe Price. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with PRFRX Mutual Fund

0.7	OOSYX	Oppenheimer Senior	Pair Corr
0.8	OOSIX	Oppenheimer Senior	Pair Corr
0.97	LFRIX	Floating Rate	Pair Corr
0.95	LARCX	Floating Rate	Pair Corr
0.83	LFRRX	Lord Abbett Inv	Pair Corr
0.98	LFRFX	Floating Rate	Pair Corr
0.96	LRRRX	Floating Rate	Pair Corr
0.97	LRRTX	Floating Rate	Pair Corr
0.86	LRRVX	Floating Rate	Pair Corr
0.8	LRRKX	Floating Rate	Pair Corr
0.61	LSHAX	Horizon Spin Off	Pair Corr
0.62	MMM	3M Company	Pair Corr
0.68	JNJ	Johnson Johnson	Pair Corr
0.68	CSCO	Cisco Systems	Pair Corr

Moving against PRFRX Mutual Fund

0.62	MRK	Merck Company	Pair Corr
0.54	AA	Alcoa Corp	Pair Corr
0.42	CAT	Caterpillar	Pair Corr

Related Correlations Analysis

	TRBUX	PRSNX	PRWBX	FFRHX	PRIPX
TRBUX		0.93	0.65	0.65	0.79	TRBUX
PRSNX	0.93		0.65	0.6	0.86	PRSNX
PRWBX	0.65	0.65		0.65	0.9	PRWBX
FFRHX	0.65	0.6	0.65		0.56	FFRHX
PRIPX	0.79	0.86	0.9	0.56		PRIPX
	TRBUX	PRSNX	PRWBX	FFRHX	PRIPX

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Risk-Adjusted Indicators

There is a big difference between PRFRX Mutual Fund performing well and T Rowe Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze T Rowe's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TRBUX	0.04	0.01	0.00	(1.09)	0.00	0.00	0.40	0.00	0.40
PRSNX	0.17	0.03	0.62	0.72	0.00	(0.27)	0.50	(0.20)	0.81
PRWBX	0.09	0.01	0.37	(0.33)	0.00	(0.25)	0.22	(0.22)	0.66
FFRHX	0.07	0.00	0.54	(0.05)	0.00	(0.36)	0.54	(0.11)	0.88
PRIPX	0.22	0.00	0.25	(0.09)	0.24	(0.24)	0.48	(0.50)	1.45

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