T Rowe Correlations

RPIDX Fund

USD 8.86 0.01 0.11%

The current 90-days correlation between T Rowe Price and Goldman Sachs Financial is 0.04 (i.e., Significant 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

Average diversification

The correlation between T Rowe Price and DJI is 0.18 (i.e., Average 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 unemployment.

Moving together with RPIDX Mutual Fund

0.94	PEXMX	T Rowe Price	Pair Corr
0.83	TEEFX	T Rowe Price	Pair Corr
0.96	TECIX	T Rowe Price	Pair Corr
0.92	TEIMX	T Rowe Price	Pair Corr
0.95	PFFRX	T Rowe Price	Pair Corr
0.88	TEUIX	T Rowe Price	Pair Corr
0.91	OTCFX	T Rowe Price	Pair Corr
0.96	TFAIX	T Rowe Price	Pair Corr
0.95	TWRRX	Target 2030 Fund	Pair Corr
0.81	OTIIX	T Rowe Price	Pair Corr
0.9	TFHAX	T Rowe Price	Pair Corr
0.94	TFIFX	T Rowe Price	Pair Corr
0.71	PGLOX	T Rowe Price	Pair Corr
0.75	TFRRX	Target 2005 Fund	Pair Corr
0.81	PGMSX	T Rowe Price	Pair Corr
0.94	RPBAX	T Rowe Price	Pair Corr
0.92	PGTIX	T Rowe Price	Pair Corr
0.9	RPFDX	T Rowe Price	Pair Corr
0.94	RPGAX	T Rowe Price	Pair Corr
0.75	RPELX	T Rowe Price	Pair Corr
0.85	RPEIX	T Rowe Price	Pair Corr
0.8	TGBLX	T Rowe Price	Pair Corr
0.84	RPIEX	T Rowe Price	Pair Corr
0.95	RPIFX	T Rowe Price	Pair Corr
0.7	RPIBX	T Rowe Price	Pair Corr
0.93	RPGIX	T Rowe Price	Pair Corr
0.75	RPGEX	T Rowe Price	Pair Corr
0.94	TGAFX	T Rowe Price	Pair Corr
0.76	RPGRX	T Rowe Price	Pair Corr
0.97	RPIHX	T Rowe Price	Pair Corr
0.72	RPISX	T Rowe Price	Pair Corr
0.91	RPMGX	T Rowe Price	Pair Corr
0.64	RPLCX	T Rowe Price	Pair Corr
0.84	RPOIX	T Rowe Price	Pair Corr
0.82	PHEIX	T Rowe Price	Pair Corr
0.94	TGIPX	T Rowe Price	Pair Corr

Related Correlations Analysis

	FTIXX	VFAIX	PGFMX	RMBLX	XFINX	GCFSX	FNPIX	SBFAX
FTIXX		0.82	0.81	0.75	-0.13	0.82	0.81	0.74	FTIXX
VFAIX	0.82		0.91	0.87	-0.28	0.95	1.0	0.99	VFAIX
PGFMX	0.81	0.91		0.85	-0.4	0.98	0.89	0.88	PGFMX
RMBLX	0.75	0.87	0.85		0.0	0.9	0.88	0.88	RMBLX
XFINX	-0.13	-0.28	-0.4	0.0		-0.34	-0.22	-0.23	XFINX
GCFSX	0.82	0.95	0.98	0.9	-0.34		0.92	0.92	GCFSX
FNPIX	0.81	1.0	0.89	0.88	-0.22	0.92		0.99	FNPIX
SBFAX	0.74	0.99	0.88	0.88	-0.23	0.92	0.99		SBFAX
	FTIXX	VFAIX	PGFMX	RMBLX	XFINX	GCFSX	FNPIX	SBFAX

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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

FNPIX	+ 1.0	VFAIX
SBFAX	+ 0.99	VFAIX
SBFAX	+ 0.99	FNPIX
GCFSX	+ 0.98	PGFMX
GCFSX	+ 0.95	VFAIX
FNPIX	+ 0.92	GCFSX

High negative correlations

XFINX	- 0.4	PGFMX
GCFSX	- 0.34	XFINX
XFINX	- 0.28	VFAIX
SBFAX	- 0.23	XFINX
FNPIX	- 0.22	XFINX
XFINX	- 0.13	FTIXX

Risk-Adjusted Indicators

There is a big difference between RPIDX 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
FTIXX	0.03	0.01	0.00	4.42	0.00	0.00	0.00	0.00	1.01
VFAIX	1.08	0.02	0.01	0.09	1.85	(1.04)	2.14	(2.24)	11.20
PGFMX	0.50	0.06	(0.02)	(1.14)	0.86	(0.51)	1.05	(1.51)	5.62
RMBLX	1.38	0.11	0.02	3.07	2.10	(1.38)	2.63	(2.96)	11.46
XFINX	0.42	(0.05)	0.00	(2.13)	0.00	0.00	0.77	(1.41)	4.64
GCFSX	0.87	0.17	0.06	1.64	1.47	(0.90)	1.94	(1.47)	6.13
FNPIX	1.56	(0.02)	0.01	0.06	2.66	(1.57)	3.00	(3.27)	15.73
SBFAX	0.96	(0.03)	(0.02)	0.04	1.64	(1.01)	1.87	(1.93)	9.57

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