T Rowe Correlations

PRXIX Fund

USD 9.21 0.01 0.11%

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

Significant diversification

The correlation between T Rowe Price and DJI is 0.04 (i.e., Significant 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 gross domestic product.

Moving together with PRXIX Mutual Fund

0.82	TFBIX	Maryland Tax Free	Pair Corr
0.82	TFHAX	T Rowe Price	Pair Corr
0.78	RPSIX	Spectrum Income	Pair Corr
0.73	TIDDX	T Rowe Price	Pair Corr
0.64	PRCIX	T Rowe Price	Pair Corr

Related Correlations Analysis

	PEXMX	TEEFX	TEUIX	OTCFX	TFAIX	TWRRX	TFBIX	OTIIX	TFILX
PEXMX		0.92	-0.76	0.95	0.83	0.71	-0.2	0.95	-0.27	PEXMX
TEEFX	0.92		-0.69	0.92	0.8	0.71	-0.22	0.92	-0.28	TEEFX
TEUIX	-0.76	-0.69		-0.73	-0.85	-0.16	0.25	-0.73	0.31	TEUIX
OTCFX	0.95	0.92	-0.73		0.78	0.67	-0.17	1.0	-0.18	OTCFX
TFAIX	0.83	0.8	-0.85	0.78		0.48	-0.09	0.78	-0.17	TFAIX
TWRRX	0.71	0.71	-0.16	0.67	0.48		0.19	0.67	0.14	TWRRX
TFBIX	-0.2	-0.22	0.25	-0.17	-0.09	0.19		-0.17	0.88	TFBIX
OTIIX	0.95	0.92	-0.73	1.0	0.78	0.67	-0.17		-0.18	OTIIX
TFILX	-0.27	-0.28	0.31	-0.18	-0.17	0.14	0.88	-0.18		TFILX
	PEXMX	TEEFX	TEUIX	OTCFX	TFAIX	TWRRX	TFBIX	OTIIX	TFILX

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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

OTIIX	+ 1.0	OTCFX
OTCFX	+ 0.95	PEXMX
OTIIX	+ 0.95	PEXMX
TEEFX	+ 0.92	PEXMX
OTCFX	+ 0.92	TEEFX
OTIIX	+ 0.92	TEEFX

High negative correlations

TFAIX	- 0.85	TEUIX
TEUIX	- 0.76	PEXMX
OTIIX	- 0.73	TEUIX
OTCFX	- 0.73	TEUIX
TEUIX	- 0.69	TEEFX
TFILX	- 0.28	TEEFX

Risk-Adjusted Indicators

There is a big difference between PRXIX 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
PEXMX	0.82	0.06	0.10	0.17	0.70	(0.93)	1.87	(1.30)	6.04
TEEFX	0.75	0.10	(0.02)	(3.38)	1.09	(0.74)	1.71	(2.17)	4.99
TEUIX	0.65	(0.17)	0.00	(0.31)	0.00	0.00	1.37	(1.84)	3.93
OTCFX	0.76	0.13	0.02	2.26	0.79	(0.82)	1.66	(1.43)	5.90
TFAIX	0.08	0.03	0.00	(2.18)	0.00	0.00	0.11	(0.11)	0.88
TWRRX	0.30	(0.02)	(0.21)	0.06	0.34	(0.32)	0.61	(0.67)	1.83
TFBIX	0.15	0.00	(0.31)	0.02	0.21	(0.22)	0.40	(0.39)	1.58
OTIIX	0.76	0.13	0.02	2.23	0.79	(0.82)	1.65	(1.43)	5.89
TFILX	0.15	0.01	(0.32)	0.00	0.21	(0.26)	0.43	(0.42)	1.59

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