T Rowe Correlations

TRGXX Fund

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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

Good diversification

The correlation between T Rowe Price and DJI is -0.06 (i.e., Good 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 money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with TRGXX Money Market Fund

0.78	FTCAX	Templeton Strained Bond	Pair Corr
0.71	PYAIX	Payden Absolute Return	Pair Corr
0.73	PYARX	Payden Absolute Return	Pair Corr
0.76	MUIIX	Ultra Short Income	Pair Corr
0.65	VIGAX	Vanguard Growth Index	Pair Corr
0.63	DRGTX	Allianzgi Technology	Pair Corr
0.61	FOCPX	Fidelity Otc Portfolio	Pair Corr
0.75	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.67	SIGVX	Ridgeworth Seix Gove	Pair Corr
0.65	RPIEX	T Rowe Price	Pair Corr

Moving against TRGXX Money Market Fund

0.69	PDI	Pimco Dynamic Income	Pair Corr
0.62	USPSX	Profunds Ultrashort	Pair Corr
0.61	USPIX	Profunds Ultrashort	Pair Corr
0.46	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	LSYFX	VRHYX	BXHCX	TAHFX	GHVIX	SGYAX
LSYFX		0.92	0.98	0.97	0.91	0.91	LSYFX
VRHYX	0.92		0.92	0.96	0.91	0.95	VRHYX
BXHCX	0.98	0.92		0.98	0.93	0.92	BXHCX
TAHFX	0.97	0.96	0.98		0.94	0.95	TAHFX
GHVIX	0.91	0.91	0.93	0.94		0.92	GHVIX
SGYAX	0.91	0.95	0.92	0.95	0.92		SGYAX
	LSYFX	VRHYX	BXHCX	TAHFX	GHVIX	SGYAX

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Risk-Adjusted Indicators

There is a big difference between TRGXX Money Market Fund performing well and T Rowe Money Market 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
LSYFX	0.10	(0.01)	0.01	(0.17)	0.13	(0.17)	0.20	(0.30)	1.31
VRHYX	0.11	0.00	0.05	0.10	0.07	(0.35)	0.26	(0.26)	1.30
BXHCX	0.10	(0.01)	0.01	(0.30)	0.14	(0.17)	0.12	(0.25)	1.11
TAHFX	0.12	(0.01)	0.02	(0.44)	0.14	(0.19)	0.24	(0.24)	1.21
GHVIX	0.14	0.00	0.03	(0.15)	0.18	(0.16)	0.24	(0.36)	0.96
SGYAX	0.12	0.00	0.05	(0.06)	0.09	(0.20)	0.14	(0.28)	1.13

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