T Rowe Correlations

PRFHX Fund

USD 11.20 0.01 0.09%

The current 90-days correlation between T Rowe Price and Janus Trarian Fund is 0.08 (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

Poor diversification

The correlation between T Rowe Price and DJI is 0.72 (i.e., Poor 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 rate.

Moving together with PRFHX Mutual Fund

0.92	TECIX	T Rowe Price	Pair Corr
0.91	TEIMX	T Rowe Price	Pair Corr
0.69	TEUIX	T Rowe Price	Pair Corr
0.84	OTCFX	T Rowe Price	Pair Corr
0.82	TWRRX	Target 2030 Fund	Pair Corr
0.99	TFBIX	Maryland Tax Free	Pair Corr
0.97	TFBVX	Virginia Tax Free	Pair Corr
0.84	OTIIX	T Rowe Price	Pair Corr
0.98	TFHAX	T Rowe Price	Pair Corr
1.0	TFILX	T Rowe Price	Pair Corr
0.87	TFRRX	Target 2005 Fund	Pair Corr
0.96	PGMSX	T Rowe Price	Pair Corr
0.91	RPBAX	T Rowe Price	Pair Corr
0.88	RPFDX	T Rowe Price	Pair Corr
0.83	RPGAX	T Rowe Price	Pair Corr
0.68	RPELX	T Rowe Price	Pair Corr
0.83	TGBLX	T Rowe Price	Pair Corr
0.68	RPIDX	T Rowe Price	Pair Corr
0.79	RPIBX	T Rowe Price	Pair Corr
0.92	RPGIX	T Rowe Price	Pair Corr
0.82	TGAFX	T Rowe Price	Pair Corr
0.93	RPGRX	T Rowe Price	Pair Corr
0.66	RPIHX	T Rowe Price	Pair Corr
0.8	RPISX	T Rowe Price	Pair Corr
0.83	RPLCX	T Rowe Price	Pair Corr
0.66	RPOIX	T Rowe Price	Pair Corr
0.81	TGIPX	T Rowe Price	Pair Corr
0.93	RPSIX	Spectrum Income	Pair Corr

Moving against PRFHX Mutual Fund

0.8	TEEFX	T Rowe Price	Pair Corr
0.46	RRBGX	T Rowe Price	Pair Corr
0.41	THISX	T Rowe Price	Pair Corr

Related Correlations Analysis

	FUMBX	FNSOX	FIBUX	VMATX	MACFX	NEA	FKKSX	CCFAX	FHCIX	JCNCX
FUMBX		0.95	0.94	0.91	0.78	0.85	0.22	0.7	-0.7	-0.25	FUMBX
FNSOX	0.95		0.91	0.93	0.82	0.9	0.27	0.76	-0.65	-0.15	FNSOX
FIBUX	0.94	0.91		0.91	0.8	0.83	0.1	0.72	-0.52	-0.11	FIBUX
VMATX	0.91	0.93	0.91		0.92	0.94	0.33	0.89	-0.51	-0.09	VMATX
MACFX	0.78	0.82	0.8	0.92		0.89	0.47	0.98	-0.39	0.06	MACFX
NEA	0.85	0.9	0.83	0.94	0.89		0.46	0.86	-0.55	-0.01	NEA
FKKSX	0.22	0.27	0.1	0.33	0.47	0.46		0.5	-0.24	0.25	FKKSX
CCFAX	0.7	0.76	0.72	0.89	0.98	0.86	0.5		-0.31	0.14	CCFAX
FHCIX	-0.7	-0.65	-0.52	-0.51	-0.39	-0.55	-0.24	-0.31		0.42	FHCIX
JCNCX	-0.25	-0.15	-0.11	-0.09	0.06	-0.01	0.25	0.14	0.42		JCNCX
	FUMBX	FNSOX	FIBUX	VMATX	MACFX	NEA	FKKSX	CCFAX	FHCIX	JCNCX

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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

CCFAX	+ 0.98	MACFX
FNSOX	+ 0.95	FUMBX
FIBUX	+ 0.94	FUMBX
NEA	+ 0.94	VMATX
VMATX	+ 0.93	FNSOX
MACFX	+ 0.92	VMATX

High negative correlations

FHCIX	- 0.7	FUMBX
FHCIX	- 0.65	FNSOX
FHCIX	- 0.55	NEA
FHCIX	- 0.52	FIBUX
FHCIX	- 0.51	VMATX
FHCIX	- 0.39	MACFX

Risk-Adjusted Indicators

There is a big difference between PRFHX 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
FUMBX	0.07	0.00	(0.28)	(0.06)	0.00	(0.15)	0.19	(0.10)	0.68
FNSOX	0.08	0.00	(0.27)	0.10	0.00	(0.13)	0.20	(0.10)	0.40
FIBUX	0.14	0.01	(0.15)	(0.30)	0.11	(0.19)	0.22	(0.32)	0.97
VMATX	0.10	0.01	(0.08)	0.62	0.05	(0.14)	0.30	(0.29)	0.79
MACFX	0.22	0.01	(0.04)	0.08	0.22	(0.24)	0.48	(0.47)	1.24
NEA	0.30	0.06	0.05	0.93	0.25	(0.33)	0.62	(0.52)	1.48
FKKSX	1.33	0.36	0.27	0.63	0.89	(1.59)	1.95	(1.87)	28.42
CCFAX	0.34	0.02	(0.01)	0.07	0.41	(0.37)	0.65	(0.66)	1.94
FHCIX	0.69	(0.10)	0.00	(0.26)	0.00	0.00	1.62	(1.58)	3.69
JCNCX	0.96	(0.05)	(0.03)	0.00	1.24	(1.00)	1.81	(2.20)	5.85

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