T Rowe Correlations

Mutual Funds . USA . 
Fund . T Rowe Price
TGAFX Fund  USD 15.96  0.04  0.25%   
The current 90-days correlation between T Rowe Price and T Rowe Price is 0.81 (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

Almost no diversification

The correlation between T Rowe Price and DJI is 0.9 (i.e., Almost no 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 census.

Moving together with TGAFX Mutual Fund

  0.61PEXMX T Rowe PricePairCorr
  0.64TEEFX T Rowe PricePairCorr
  0.69TECIX T Rowe PricePairCorr
  0.72TEIMX T Rowe PricePairCorr
  0.71PFFRX T Rowe PricePairCorr
  0.77TEUIX T Rowe PricePairCorr
  0.64OTCFX T Rowe PricePairCorr
  0.62TFAIX T Rowe PricePairCorr
  0.99TWRRX Target 2030 FundPairCorr
  0.71OTIIX T Rowe PricePairCorr
  0.78TFHAX T Rowe PricePairCorr
  0.7TFIFX T Rowe PricePairCorr
  0.7PGLOX T Rowe PricePairCorr
  0.72TFRRX Target 2005 FundPairCorr
  1.0RPBAX T Rowe PricePairCorr
  0.69PGTIX T Rowe PricePairCorr
  0.74RPFDX T Rowe PricePairCorr
  0.99RPGAX T Rowe PricePairCorr
  0.68RPELX T Rowe PricePairCorr
  0.98TGBLX T Rowe PricePairCorr
  0.98RPIFX T Rowe PricePairCorr
  0.72RPGIX T Rowe PricePairCorr
  0.63RPGEX T Rowe PricePairCorr
  0.99RPGRX T Rowe PricePairCorr
  0.64RPIHX T Rowe PricePairCorr
  0.67RPMGX T Rowe PricePairCorr
  0.73RPLCX T Rowe PricePairCorr
  0.98RPOIX T Rowe PricePairCorr
  0.98PHEIX T Rowe PricePairCorr
  0.74TGIPX T Rowe PricePairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between TGAFX 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
PEXMX  0.82  0.25  0.24  0.43  0.42 
(1.00)
 2.31 
(1.05)
 6.46 
TEEFX  0.73  0.31  0.42  0.53  0.00 
(0.93)
 2.34 
(0.91)
 5.35 
TECIX  0.13  0.05 (0.68) 1.04  0.00 
(0.22)
 0.54 
(0.11)
 0.78 
TEIMX  0.25  0.07 (0.17) 2.99  0.00 
(0.41)
 0.63 
(0.41)
 1.84 
PFFRX  0.10  0.05  0.00  2.12  0.00 
 0.00 
 0.44 
 0.00 
 0.86 
TEUIX  0.57  0.15  0.02 (5.44) 0.51 
(0.65)
 1.23 
(1.17)
 3.53 
OTCFX  0.77  0.12  0.11  0.27  0.70 
(0.84)
 2.06 
(1.36)
 5.55 
TFAIX  0.10  0.05 (0.63) 1.05  0.00 
(0.21)
 0.45 
(0.11)
 0.78 
TWRRX  0.28  0.13 (0.03)(2.70) 0.00 
(0.35)
 0.97 
(0.50)
 1.98 
TFBIX  0.17 (0.01)(0.50)(0.13) 0.20 
(0.23)
 0.41 
(0.31)
 1.04 

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