PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
TFIF.L vs. PRXAX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

TFIF.L vs. PRXAX

Last updated Jun 4, 2026

TFIF.L (TwentyFour Income Fund Limited) and PRXAX (T. Rowe Price GNMA Fund Class I) are both Mortgage Backed Securities funds. Over the past 5 years, TFIF.L returned 0.39%/yr vs 1.19%/yr for PRXAX. At a 0.00 correlation, their price movements are largely independent.

Performance

TFIF.L vs. PRXAX - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in TwentyFour Income Fund Limited (TFIF.L) and T. Rowe Price GNMA Fund Class I (PRXAX). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

TFIF.L is traded in GBP, while PRXAX is traded in USD. To make them comparable, the PRXAX values have been converted to GBP using the latest available exchange rates.

Returns By Period

In the year-to-date period, TFIF.L achieves a -3.47% return, which is significantly lower than PRXAX's 1.13% return.

TFIF.L

1D
-0.18%
1M
2.63%
YTD
-3.47%
6M
-3.47%
1Y
-0.81%
3Y*
2.66%
5Y*
0.39%
10Y*
0.11%

PRXAX

1D
0.06%
1M
1.13%
YTD
1.13%
6M
0.44%
1Y
7.35%
3Y*
1.53%
5Y*
1.19%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

TFIF.L vs. PRXAX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
TFIF.L
TwentyFour Income Fund Limited		-3.47%5.10%2.76%6.58%-13.84%8.32%-4.87%-0.61%-6.60%2.37%
PRXAX
T. Rowe Price GNMA Fund Class I		1.13%0.05%2.92%-0.45%-0.88%-1.15%1.28%1.28%6.55%-3.61%

Correlation

The correlation between TFIF.L and PRXAX is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.01

Correlation (3Y)
Calculated over the trailing 3-year period

0.02

Correlation (5Y)
Calculated over the trailing 5-year period

0.01

Correlation (All Time)
Calculated using the full available price history since May 5, 2017

0.00

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

TwentyFour Income Fund Limited

T. Rowe Price GNMA Fund Class I

Often compared with TFIF.L:
TFIF.L vs. VWTAXTFIF.L vs. AEFTFIF.L vs. JLSTFIF.L vs. FMYTFIF.L vs. HFEL.LTFIF.L vs. VUSSXTFIF.L vs. PDI
Often compared with PRXAX:
PRXAX vs. JLSPRXAX vs. FMYPRXAX vs. PRDGXPRXAX vs. PCMPRXAX vs. PRSCXPRXAX vs. TBCIXPRXAX vs. PRWCX

Return for Risk

TFIF.L vs. PRXAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
TFIF.L
TFIF.L Risk / Return Rank: 22
Overall Rank
TFIF.L Sharpe Ratio Rank: 22
Sharpe Ratio Rank
TFIF.L Sortino Ratio Rank: 22
Sortino Ratio Rank
TFIF.L Omega Ratio Rank: 22
Omega Ratio Rank
TFIF.L Calmar Ratio Rank: 22
Calmar Ratio Rank
TFIF.L Martin Ratio Rank: 22
Martin Ratio Rank
PRXAX
PRXAX Risk / Return Rank: 3333
Overall Rank
PRXAX Sharpe Ratio Rank: 2929
Sharpe Ratio Rank
PRXAX Sortino Ratio Rank: 3232
Sortino Ratio Rank
PRXAX Omega Ratio Rank: 3131
Omega Ratio Rank
PRXAX Calmar Ratio Rank: 3636
Calmar Ratio Rank
PRXAX Martin Ratio Rank: 3535
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TFIF.L vs. PRXAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for TwentyFour Income Fund Limited (TFIF.L) and T. Rowe Price GNMA Fund Class I (PRXAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

TFIF.LPRXAXDifference
Sharpe ratioReturn per unit of total volatility
-0.07
1.12

-1.19

Sortino ratioReturn per unit of downside risk
-0.02
1.73

-1.76

Omega ratioGain probability vs. loss probability

1.00

1.21

-0.21

Calmar ratioReturn relative to maximum drawdown

-0.09

1.45

-1.54

Martin ratioReturn relative to average drawdown

-0.27

4.13

-4.40

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TFIF.L vs. PRXAX - Sharpe Ratio Comparison

The current TFIF.L Sharpe Ratio is -0.07, which is lower than the PRXAX Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of TFIF.L and PRXAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

TFIF.LPRXAXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.07

1.12

-1.19

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.03

0.14

-0.11

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.01

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.04

0.09

-0.04

Drawdowns

TFIF.L vs. PRXAX - Drawdown Comparison

The maximum TFIF.L drawdown since its inception was -37.49%, which is greater than PRXAX's maximum drawdown of -20.10%. Use the drawdown chart below to compare losses from any high point for TFIF.L and PRXAX.

Loading charts...

Drawdown Indicators

TFIF.LPRXAXDifference

Max Drawdown

Largest peak-to-trough decline

-37.49%

-20.10%

-17.39%

Max Drawdown (1Y)

Largest decline over 1 year

-8.87%

-5.15%

-3.72%

Max Drawdown (3Y)

Largest decline over 3 years

-8.87%

-9.05%

+0.18%

Max Drawdown (5Y)

Largest decline over 5 years

-19.27%

-14.60%

-4.67%

Max Drawdown (10Y)

Largest decline over 10 years

-35.12%

—

—

Current Drawdown

Current decline from peak

-15.13%

-11.98%

-3.15%

Average Drawdown

Average peak-to-trough decline

-12.76%

-10.80%

-1.96%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.05%

1.80%

+1.25%

Volatility

TFIF.L vs. PRXAX - Volatility Comparison

TwentyFour Income Fund Limited (TFIF.L) has a higher volatility of 2.13% compared to T. Rowe Price GNMA Fund Class I (PRXAX) at 1.76%. This indicates that TFIF.L's price experiences larger fluctuations and is considered to be riskier than PRXAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

TFIF.LPRXAXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.13%

1.76%

+0.37%

Volatility (6M)

Calculated over the trailing 6-month period

10.11%

5.16%

+4.95%

Volatility (1Y)

Calculated over the trailing 1-year period

10.95%

6.69%

+4.26%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.94%

8.58%

+3.36%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.22%

8.68%

+4.54%

Dividends

TFIF.L vs. PRXAX - Dividend Comparison

TFIF.L's dividend yield for the trailing twelve months is around 0.10%, less than PRXAX's 3.94% yield.

PositionTTM20252024202320222021202020192018201720162015
PRXAX
T. Rowe Price GNMA Fund Class I		3.94%3.92%3.78%2.77%1.56%0.70%1.56%2.48%2.89%2.13%0.00%0.00%
TFIF.L
TwentyFour Income Fund Limited		0.10%0.10%0.09%0.10%0.07%0.06%0.06%0.06%0.06%0.06%0.06%0.06%

Frequently Asked Questions

TFIF.L and PRXAX have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Portfolio Optimizer

Find the right allocation for TFIF.L and PRXAX

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer