T Rowe Price Fund Volatility

TEIMX Fund

USD 5.10 0.01 0.20%

T Rowe price risk is quantified relative to broad market benchmarks. The fund shows minimal price volatility over the last 3 months.

Sharpe Ratio = -0.049

Expected Return ↓

Minimal

Low

Moderate

Elevated

High

Leading

Strong

Moderate

Modest

Flat

Below

Ideal

TEIMX

Worst

← Lower RiskHigher Risk →

T Rowe Price's financial profile includes a Market Risk Adjusted Performance of 0.5%, a Risk of 0.65, and a Risk Adjusted Performance of -0.05%. Monthly moving average data shows the fund is underperforming relative to its full potential.

Key indicators related to T Rowe's volatility include:

90 Days Market Risk

Low

Chance Of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

Key risk metrics for T Rowe (3 Months):

Beta

-0.07

Alpha

-0.04

Risk

0.65

Sharpe Ratio

-0.05

Expected Return

-0.03

Assets With Similar Volatility

0.85	PLMPX	PIMCO Emerging Markets	Pair Corr
0.9	PLMIX	PIMCO Emerging Markets	Pair Corr
0.99	PELPX	PIMCO Emerging Local	Pair Corr
1.0	PELBX	PIMCO Emerging Local	Pair Corr
0.95	PELAX	PIMCO Emerging Local	Pair Corr
0.95	PELCX	PIMCO Emerging Local	Pair Corr
0.99	PELNX	PIMCO Emerging Local	Pair Corr
0.96	EEIIX	Eaton Vance Emerging	Pair Corr
0.9	EEIAX	Eaton Vance Emerging	Pair Corr
0.91	EEICX	Eaton Vance Emerging	Pair Corr
0.67	TCTGX	Transamerica Cleartrack 2015	Pair Corr
0.68	TDKTX	Cleartrack 2015 Class	Pair Corr
0.67	TCTJX	Transamerica Cleartrack 2020	Pair Corr
0.67	TCSUX	Cleartrack 2020 Class	Pair Corr
0.84	PDI	PIMCO Dynamic Income	Pair Corr
0.7	PDAQX	PGIM Target Date	Pair Corr
0.86	DIS	Walt Disney	Pair Corr
0.7	BAC	Bank of America	Pair Corr

Lower Correlation Assets

0.69	UIPIX	Ultrashort Mid Cap Profund	Pair Corr
0.33	USPIX	Profunds Ultrashort Nasdaq 100	Pair Corr
0.32	USPSX	Profunds Ultrashort Nasdaq 100	Pair Corr

Sensitivity To Market

T Rowe Price beta of -0.0716 quantifies how much of its total volatility (0.65%) is attributable to market-wide factors versus idiosyncratic drivers. T Rowe Price return dispersion over the lookback window shows standard deviation near 0.64% and semi-deviation near 0.0%, providing a baseline for comparison across peer instruments. For T Rowe, the volatility profile is a portfolio effect rather than a single-company effect. Global funds add currency-related movement on top of underlying asset volatility.

Current 90-day T Rowe correlation with market (Dow Jones Industrial)

-0.0376

-0.0716

Competition

3 Months Beta |T Rowe Price Demand Trend

Current 90-day T Rowe correlation with market (Dow Jones Industrial)

Downside Risk

TEIMX daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.

Standard Deviation

0.65

The difference between upside risk and downside risk is meaningful for T Rowe analysis. Semi-deviation and downside deviation isolate negative return dispersion, providing additional context on loss-specific risk relative to total volatility for T Rowe. T Rowe Price's financial profile includes a Maximum Drawdown of 3.00.

Mutual Fund Volatility Analysis

When measuring the risk of T Rowe mutual fund, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with T Rowe's price changes.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of T Rowe Price's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.

Projected Return Density Against Market

Based on a 90-day horizon, T Rowe Price has a beta of -0.0716. This usually implies that as returns on the benchmark increase, returns on T Rowe tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, T Rowe Price tends to outperform the market.

Risk assessment for T Rowe separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. T Rowe Price's financial profile includes a Mean Deviation of 0.47 and a Standard Deviation of 0.64.

T Rowe Price has a negative alpha, implying that risk has not been adequately compensated by returns. TEIMX is significantly underperforming the Dow Jones Industrial.

Predicted Return Distribution

Density

Mutual Fund Risk Measures

Based on a 90-day horizon, the coefficient of variation of T Rowe is -2038.82. The daily returns are distributed with a variance of 0.42 and standard deviation of 0.65. The mean deviation of T Rowe Price is currently at 0.47. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96

α	Alpha over Dow Jones	-0.0376	Details
β	Beta against Dow Jones	-0.0716	Details
σ	Overall volatility	0.65	Details
Ir	Information ratio	-0.0551	Details

Mutual Fund Return Volatility

T Rowe daily volatility tracks how widely fund returns have moved around the mean across the selected time frame. The fund reflects 0.6483% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9237% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	USAWX	FLDGX	RPNCX	BIIGX	TMIFX	VEXPX
USAWX		1.0	0.94	0.91	0.88	0.95	USAWX
FLDGX	1.0		0.95	0.93	0.9	0.96	FLDGX
RPNCX	0.94	0.95		0.93	0.94	0.98	RPNCX
BIIGX	0.91	0.93	0.93		0.89	0.92	BIIGX
TMIFX	0.88	0.9	0.94	0.89		0.92	TMIFX
VEXPX	0.95	0.96	0.98	0.92	0.92		VEXPX
	USAWX	FLDGX	RPNCX	BIIGX	TMIFX	VEXPX

Risk-Adjusted Indicators

Return momentum in TEIMX Mutual Fund is more useful when tested against peer-relative fundamentals and risk. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
USAWX	0.81	0.06	0.07	-0.73	0.87	-0.93	1.94	-1.68	4.18
FLDGX	0.76	0.08	0.09	-1.09	0.82	-0.85	1.58	-1.54	4.13
RPNCX	1.67	0.21	0.09	-3.30	2.12	-1.66	4.70	-3.50	9.56
BIIGX	0.96	0.07	0.06	-1.01	1.14	-1.01	1.87	-1.86	5.12
TMIFX	1.09	0.14	0.11	-0.87	1.19	-1.18	2.46	-2.13	5.83
VEXPX	1.01	0.10	0.08	-0.93	1.25	-1.01	2.12	-2.17	5.64

Risk Metrics, Assumptions & Methodology

Beta exposure for T Rowe estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting.

T Rowe Price metrics draw on fund disclosures and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that T Rowe Price is less volatile than Dow Jones Industrial by approximately 1.42x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 5% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

T Rowe Price with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View T Rowe probability analysis.

Very poor diversification

The correlation between T Rowe and Dow Jones is 0.81, which Macroaxis classifies as Very poor diversification for the selected horizon. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.

View Details

Additional Risk Indicators

Secondary risk indicators for T Rowe Price evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.

	Risk Adjusted Performance	-0.05
	Market Risk Adjusted Performance	0.5331
	Mean Deviation	0.4653
	Coefficient Of Variation	-2,335
	Standard Deviation	0.641
	Variance	0.4108
	Information Ratio	-0.06

T Rowe Suggested Diversification Pairs

A pair-trading setup around T Rowe shifts the return benchmark from the broad market to a second position, altering the risk profile. This structure emphasizes relative performance differences between paired assets rather than broad market direction.

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Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for T Rowe persists even in a well-constructed pair. The benefit is in offsetting T Rowe's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of T Rowe Price.