T Rowe Correlations

TMSRX Fund

USD 9.23 0.01 0.11%

The current 90-days correlation between T Rowe Price and T Rowe Price is -0.07 (i.e., Good 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 0.21 (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 World Market Map 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 TMSRX Mutual Fund

0.91	BXMYX	Blackstone Alternative	Pair Corr
0.91	BXMIX	Blackstone Alternative	Pair Corr
0.9	BXMDX	Blackstone Alternative	Pair Corr
0.88	GARTX	Goldman Sachs Absolute	Pair Corr
0.87	GCRTX	Goldman Sachs Absolute	Pair Corr
0.7	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.71	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.71	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.71	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.87	JAAAX	Alternative Asset	Pair Corr
0.68	ALEFX	Alps/alerian Energy	Pair Corr
0.87	LBSAX	Columbia Dividend Income	Pair Corr
0.79	MRDVX	Blackrock Eq Dividend	Pair Corr

Moving against TMSRX Mutual Fund

0.68	ABQYX	Ab Intermediate Bond	Pair Corr
0.52	RYUHX	Inverse Sp 500	Pair Corr

Related Correlations Analysis

	RPGAX	PTTFX	PRFRX	PRSIX	PRIJX
RPGAX		0.5	0.6	0.9	0.67	RPGAX
PTTFX	0.5		0.68	0.53	0.66	PTTFX
PRFRX	0.6	0.68		0.64	0.56	PRFRX
PRSIX	0.9	0.53	0.64		0.73	PRSIX
PRIJX	0.67	0.66	0.56	0.73		PRIJX
	RPGAX	PTTFX	PRFRX	PRSIX	PRIJX

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Risk-Adjusted Indicators

There is a big difference between TMSRX 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
RPGAX	0.41	(0.03)	0.00	0.20	0.00	0.00	0.86	(0.80)	2.33
PTTFX	0.24	0.04	0.35	1.06	0.14	(0.31)	0.60	(0.37)	1.47
PRFRX	0.07	0.01	0.54	0.08	0.00	(0.29)	0.43	(0.11)	0.87
PRSIX	0.29	0.04	0.22	0.04	0.32	(0.32)	0.65	(0.60)	1.67
PRIJX	0.77	0.11	0.14	0.13	0.86	(0.84)	1.48	(1.65)	6.13

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