Us Treasury Correlations

PRUUX Fund

USD 7.30 0.04 0.54%

The current 90-days correlation between Us Treasury Long and T Rowe Price is 0.04 (i.e., Significant diversification). The correlation of Us Treasury 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.

Us Treasury Correlation With Market

Significant diversification

The correlation between Us Treasury Long Term and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Us Treasury Long Term 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 Us Treasury Long Term. 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 employment.

Moving together with PRUUX Mutual Fund

0.82	TECIX	T Rowe Price	Pair Corr
0.76	TEIMX	T Rowe Price	Pair Corr
0.77	TEUIX	T Rowe Price	Pair Corr
0.87	TFBIX	Maryland Tax Free	Pair Corr
0.86	TFBVX	Virginia Tax Free	Pair Corr
0.87	TFHAX	T Rowe Price	Pair Corr
0.87	TFILX	T Rowe Price	Pair Corr
0.91	PGMSX	T Rowe Price	Pair Corr
0.88	RPIBX	T Rowe Price	Pair Corr
0.89	RPISX	T Rowe Price	Pair Corr
0.98	RPLCX	T Rowe Price	Pair Corr

Moving against PRUUX Mutual Fund

0.33	TEEFX	T Rowe Price	Pair Corr
0.37	PGTIX	T Rowe Price	Pair Corr

Related Correlations Analysis

	PEXMX	TEEFX	TECIX	TEIMX	PFFRX	TEUIX	OTCFX	TFAIX	TWRRX	TFBIX
PEXMX		0.89	-0.42	-0.28	-0.35	-0.19	0.86	-0.38	0.6	0.21	PEXMX
TEEFX	0.89		-0.52	-0.41	-0.32	-0.34	0.64	-0.33	0.5	-0.02	TEEFX
TECIX	-0.42	-0.52		0.92	0.73	0.91	-0.2	0.71	0.28	0.67	TECIX
TEIMX	-0.28	-0.41	0.92		0.61	0.95	-0.08	0.59	0.39	0.62	TEIMX
PFFRX	-0.35	-0.32	0.73	0.61		0.65	-0.34	0.99	0.0	0.33	PFFRX
TEUIX	-0.19	-0.34	0.91	0.95	0.65		0.03	0.62	0.45	0.65	TEUIX
OTCFX	0.86	0.64	-0.2	-0.08	-0.34	0.03		-0.37	0.65	0.45	OTCFX
TFAIX	-0.38	-0.33	0.71	0.59	0.99	0.62	-0.37		-0.04	0.29	TFAIX
TWRRX	0.6	0.5	0.28	0.39	0.0	0.45	0.65	-0.04		0.61	TWRRX
TFBIX	0.21	-0.02	0.67	0.62	0.33	0.65	0.45	0.29	0.61		TFBIX
	PEXMX	TEEFX	TECIX	TEIMX	PFFRX	TEUIX	OTCFX	TFAIX	TWRRX	TFBIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

TFAIX	+ 0.99	PFFRX
TEUIX	+ 0.95	TEIMX
TEIMX	+ 0.92	TECIX
TEUIX	+ 0.91	TECIX
TEEFX	+ 0.89	PEXMX
OTCFX	+ 0.86	PEXMX

High negative correlations

TECIX	- 0.52	TEEFX
TECIX	- 0.42	PEXMX
TEIMX	- 0.41	TEEFX
TFAIX	- 0.38	PEXMX
TFAIX	- 0.37	OTCFX
PFFRX	- 0.35	PEXMX

Risk-Adjusted Indicators

There is a big difference between PRUUX Mutual Fund performing well and Us Treasury 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 Us Treasury'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
PEXMX	1.08	(0.23)	0.00	(0.33)	0.00	0.00	1.67	(3.06)	6.15
TEEFX	1.08	(0.09)	0.00	(0.20)	0.00	0.00	1.77	(2.86)	6.20
TECIX	0.11	0.01	0.71	0.48	0.00	(0.21)	0.33	(0.22)	0.66
TEIMX	0.33	0.04	0.33	0.29	0.27	(0.43)	0.87	(0.44)	1.91
PFFRX	0.06	0.00	0.72	(0.01)	0.00	(0.31)	0.11	(0.11)	0.86
TEUIX	0.76	0.09	0.11	0.06	1.17	(0.74)	1.51	(1.50)	4.85
OTCFX	1.03	(0.27)	0.00	(0.42)	0.00	0.00	1.36	(2.52)	14.30
TFAIX	0.07	0.00	0.88	0.00	0.00	(0.33)	0.11	(0.11)	0.87
TWRRX	0.48	(0.01)	0.00	(0.14)	0.00	0.00	0.77	(0.92)	7.19
TFBIX	0.19	(0.03)	0.00	(0.93)	0.00	0.00	0.40	(0.50)	1.09

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