Certainly RPEIX is not the primary driver, even if we take its 1/6 naively at face value. (I had considered posting a link to an explanation of notional value somewhere else in this thread.)
RPIEX (retail class of RPEIX) serves as starting point for constructing a portfolio that emulates that of TMSRX. Replacing the remaining 5/6 of TMSRX with 4/6 RPIEX and 1/6 VTSAX produces a portfolio that performs pretty similarly (albeit with better figures) to the original TMSRX. That is, the two-fund portfolio tracks the ups and downs of TMSRX fairly well.
So regardless of how important the individual drivers in that exceedingly complex 5/6 are, in concert they seem to behave little different from a 4:1 mix of RPIEX and VTSAX.
VaR is primarily a measure of, to state the obvious, value at risk. It is concerned with the probability distribution of potential losses (and gains) over a fixed period of time. It is less concerned with how a portfolio gets to those points. Though it is concerned, at least implicitly, with variances (thus "volatility"), as you explained. But it's also concerned with covariances.
If I construct a portfolio that is 1/3 long in bitcoin, 1/3 short in bitcoin, and 1/3 in a short term bond fund, it's the bond fund with its low volatility, that is the primary driver. The other two highly volatile components cancel themselves out. That's why covariances matter as much as variances.
RPEIX has a near zero correlation with VTSAX (-0.14) and with IEF (0.01), per Portfolio Visualizer. One may not call that magical, but it's awfully impressive given its 3% annualized return. (One can get zero correlation with money under a mattress.)
Given that a combination of RPEIX and VTSAX can substantially reproduce TSMRX (at least based on the fund's performance to date), and that VTSAX is anything but magical, it seems fair to say that the "magic" of TSMRX is at least reflected by if not embodied in RPEIX.

Doximity going public news ipo..12p..my friend is buying...maybe good med long term hold...will set sell 27.5 or 28...now 26
Docs symbol
www.benzinga.com/money/how-to-buy-doximity-ipo-docs-stock

The largest single holding (1/6 of the portfolio) is T. Rowe Price Dynamic Global Bond (RPEIX / RPIEX). That's where the magic may be be coming from.
A simple 18/82 blend of VTSAX and RPIEX produces a portfolio with
- lower standard deviation (3.84% vs 5.06%),
- higher Sharpe ratio (1.18 vs. 0.81),
- double the Sortino ratio (2.51 vs 1.26),
- max drawdown 60% less (1.74% vs. 4.68%),
- virtually identical correlation with the US equity market (0.66 vs. 0.67)
and an annualized return ½% better: 6.09% vs 5.50%
See Portfolio Visualizer comparison.
So far, I haven't been able to come close to this performance when substituting a different bond fund. There are a variety of other factors to consider. Rotation to value could account for some recent underperformance by the growth leaning TMSRX. The somewhat higher volatility (compared with my custom portfolio) could account for its relative underperformance in 2018 (a down year for the fund and my portfolio) and its relative outperformance in 2019 and 2020 (up years).
Just quick observations. I haven't looked into RPIEX yet, or taken more than a cursory look at the Portfolio Visualizer data.

I figured since Giroux has touted the utilities sector as purchases for PRWCX , TRP could give him a separate utilities fund. Give him two assistant portfolio managers, put some of his utility picks from PRWCX in the new fund, and he could spend about 15 minutes a day running the fund! There probably wouldn't be many asset constraints. TRP had talked about Giroux running a 40/60 type balanced fund a few years ago, but it's never been launched.

As if that needed an explanation but here's what Michelle Singletary who writes for the WaPo Personal Finance column has to say.
Not a Good Idea

Interesting take on the drop in value of Bitcoin / Crypto - currencies :

Not much moves cryptocurrency markets like Elon Musk tweets -- except, perhaps, the idea of another crackdown in China, the world’s second-largest economy. From a trading ban on domestic exchanges to squeezes on power-consuming digital currency miners, Chinese regulators have tried to tamp down risks related to the stratospheric rise of Bitcoin and its peers for years. Yet a recent flurry of official reminders has traders nervous about more possibly to come as President Xi Jinping seeks to reduce financial risk in the economy and meet the country’s ambitious goals for combating climate change.

how-china-rivals-elon-musk-in-rattling-crypto-markets

Some quotes from GMO's Peter Chappinelli:

Many have wondered aloud whether GMO is not giving enough credit to some of these high growth new-business-model “disruptors.” First, we have all sorts of models that take current optimistic growth forecasts into account. Many are deserving of their current high multiples --- we absolutely concede that somewhere in the Global Growth basket sits “the next Amazon.” Unfortunately, they’re ALL being priced that way, and that is a bridge too far.
We also remind ourselves that during the month of May, the S&P 500’s real earnings yield (the inverse of P/E minus inflation) dipped into negative territory, the lowest in 40 years. Even at the height of tech bubble mania this scary event did not occur.
Combine that sober statistic with the negative real yields being offered by sovereign bonds, and you may come to see why we are loathe to recommend a traditional 60/40 mix. There will come a day when global equities and government bonds are fairly valued and should deliver a “normal” real rate of return. Today, however, is not that day.

On an every-day experience level we just came back from Safeway having purchased a favorite flavor of Hagen-Daz ice cream. I thought that the cartons looked a bit smaller than before. Sure enough, down from 1 pint (16 oz) to 14 oz. We have no idea what the price was before, but even if it hasn't increased at all, we just saw a 10% price increase.
I've been occasionally commenting on this sort of thing here on MFO for at least a year now, only to be reassured that the government statistics haven't picked up any major price increases in food, other than the usual variations due to supply issues.
You can say whatever you want to, but I loudly call BS on the government figures.

Old_Joe : I think you had a price increase of 12.5 % , without paying more !
Enjoy the treat, Derf

The price increase due to shrinkage was 14.29% (1/7).
You are getting 7/8 as much for the same price. So you have to pay 8/7 as much to get the same amount. (If the size had shrunk by half, so that you were getting half a much for your dollar, I think people would agree that the price had doubled.)
Alternatively: For price $P, you were getting 16 oz, and you're now getting 14 oz.
Old price per oz = $P/16. New price per oz = $P/14.
New price/old price = ($P/14) / ($P/16) = (1/14) / (1/16) = 16/14 = 8/7 = 1 + 1/7.
This shrinkage occurred a dozen years ago. It's not government figures one might call BS. :-)
https://freakonomics.com/2009/03/12/the-pint-size-recession/

https://prospectus-express.broadridge.com/summary.asp?doctype=semi&clientid=trowepll&fundid=77958R100
The wonks here will have plenty to digest in the linked report. If you were wondering what the managers of TMSRX have been up to in recent months, your curiosity should be satisfied. As for understanding all the verbiage, that may well be beyond the grasp of the mere mortal MF investor. I speak for myself, not the rest of the board. I don’t know squat about shorting market futures, but it does seem that the TRP team has done that. For my part, I was a bit put off by their use of the 3-month T bill index as a bogey for measuring performance. That’s a low bar INMHO. I have reduced my exposure recently.

Another view, about where from or how, inflation arises. 'Course, we all may find inflation in various products or services we tend to use. Some of these areas are more meaningful than others to a budget. A best bang for the buck is truly amazing with the technology sector (personal use items); and the monetary expense for one's budget may be a very small portion. OTOH, food, transportation, housing and similar areas with inflationary trends can have a significant impact on a budget. The below link is directed at bond reactions to inflation, but contains observations about inflation in general, too.
Anyway, enough jabber from me.
ARTICLE

Is this the same calculation used to determine the new IRMAA brackets for Medicare premiums?
David

Several differences. Whether the numeric difference is significant I leave for you to decide.
SS: based on CPU-W
IRMAA: based on CPI-U
SS: Y/Y comparison period through end of September
IRMAA: Y/Y comparison period through end of August
SS: compares average of Q3 vs Q3 of previous year (3 month averages)
IRMAA: compares average of 12 months (ending Aug) with average of previous 12 months
SS: rounded to nearest 0.1%
IRMAA: rounded to nearest $1,000
SS: never a negative adjustment
IRMAA: threshold can adjust downward, but not below the 2018/2019 amount of $85K/$170K
(this is my read on how the IRMAA calculation is done - as an increase relative to the 2018 baseline; many others believe the threshold cannot be reduced, say from $88K currently to $87K)
https://www.ssa.gov/oact/cola/latestCOLA.html
https://www.law.cornell.edu/uscode/text/42/1395r#i_4_C_ii_II

https://www.portfoliovisualizer.com/backtest-portfolio
Can produce similar charts at PortfolioVisualizer, but not quite as detailed for shorter time periods. Example below.
https://tinyurl.com/fmag-vs-v500

This fund is investing in 15% private equity per the Citywire article above. Don’t know if the two Matthews funds she managed in the past allow that.

They did not. Part of the reason she left.

At the request of a Reader, I expanded upon an article looking at the "Best Moderate Mixed-Asset Funds" to look at all Mixed Asset Funds by Lipper Category.
Risk, Annualized Return, Risk Adjusted Return, Consistent Return, Capital Preservation, and Tax Efficiency Ratings over the past seven years are used to select the "Best" Funds. I limited the initial search to no-load funds open to new investors with fees below 1.5%, minimum life of seven years, fund family ratings of average or better, and with at least $100M in assets. To refine the list, I limited the funds to those available at Charles Schwab. The "Best Funds" is a list of 35 funds in 10 different Lipper Categories.
https://seekingalpha.com/article/4435746-the-best-mixed-asset-funds
I learn a lot from comments and often find new "Best Funds" from Readers. Please feel free to offer your suggestions.

In theory, bank loans are not subject to interest rate risk because they are floating rate loans. Their theoretic effective duration should be zero. Their actual duration is not zero, but it is close.
Still, as you point out, they are junk bonds and thus correlate with equities. In 2013 Christine Benz (M*) wrote:

During the past decade, bank-loan funds have exhibited a slightly negative correlation with the Barclays Aggregate Index and an even lower correlation (-0.35) with long-term Treasuries. The 10-year correlation with short-term bonds is higher (0.57) and higher still for equities (0.61) and high-yield bonds (0.87).

https://thereformedbroker.com/2013/11/08/the-thing-about-bank-loan-funds/
This is why your bank loan funds are rising. We can also look at it from the interest rate perspective. As the economy improves (and equities rise in value), the interest rate spread between junk and IG bonds declines. There is less risk in the loans defaulting so they don't need to pay as much extra in interest over IG rates.
This is likely not the best chart to show for the trend in junk/IG spreads, but it will do:
https://fred.stlouisfed.org/graph/fredgraph.png?g=ESFb

This fund is investing in 15% private equity per the Citywire article above. Don’t know if the two Matthews funds she managed in the past allow that.

Surprise! Surprise! I am now informed by this brilliant piece of writing that a person’s public persona is often more admirable than their not-so-public side. I had no idea!
@MJG - I don’t get it. On one hand you submit a post trivializing the ebb and flow of financial information and opinion (noise) - something most of us visit mfo to partake of. You call this “nothing.” Than you turn around and submit in the “Other Investing” category this trivial solicitous piece about Bill & Melinda’s marriage ending after 27 years, (longer than my own lasted) and Warren Buffet having experienced family problems.
So … this completely off-topic deviation into the personal lives of well known financial heavy-weights is supposed to be somehow of importance to us as an investing community? But the trends in interest rates, inflation, equity valuations or central bank policies are of no consequence?
Have a nice day. (and I agree with @Derf.)

Bad week, yes. This past week is the reason I'm overweight bonds: 54% of portfolio. I'm down -1% just on Th and Fri combined. And yet, in percentage terms, that feels like nothing at all. I still don't like it. But hey! It's a MARKET, dummy! That's what I tell myself.

One recommendation that troubled me was to own long dated zero coupon bonds. He may, of course, be proven correct. But these are dangerous in the hands of unsophisticated investors. The way they’re issued has the effect of creating enormous leverage. They’re extremely volatile on both the upside and downside. I’m surprised he didn’t sound some note of caution. Personally, I wouldn’t touch a 10-30 year zero with a 10-30 foot pole.
ZROZ is down over 9% YTD. I think that in addition to saving and investing, he needs to add speculating to his vocabulary. I usually see 30 year bonds described as speculative because their incremental return over 10 year bonds is not worth the additional risk, unless one is placing a bet that rates will fall.
In a sense, zeros are pure, unleveraged bonds, and coupon bonds can be thought of as a hedge, like building a CD ladder:

Zeroes
• Conceptually, the most basic debt instrument is a zero-coupon bond--a security with a single cash flow equal to face value at maturity.
• Cash flow of $1 par of t-year zero: [no cash over time until maturity t-years, then $1]
• It is easy to see that any security with fixed cash flows can be constructed, and thus priced, as a portfolio of these zeroes.
A Coupon Bond as a Portfolio of Zeroes
Consider: $10,000 par of a one and a half year, 8.5% Treasury bond makes the following payments:
[$425 coupon at 0.5 years; $425 coupon at 1.0 year, $10,425 coupon & principal at 1.5 years]
Note that this is the same as a portfolio of three different zeroes:
– $425 par of a 6-month zero
– $425 par of a 1-year zero
– $10425 par of a 1 1/2-year zero

http://people.stern.nyu.edu/jcarpen0/courses/b403333/01zero.pdf

A fascinating analysis of the Fed’s announcement Wednesday along with the recent reversal of 10-year treasury bond rates (falling from 1.75% to below 1.5%). After the Fed’s (seemingly more hawkish) statement on interest rates, yields on longer dated bonds actually fell late in the week while shorter term rates spiked higher.
Can’t do justice to Forsyth’s excellent article, but here’s a few snippets:
“The calls for the Fed to slow or even end its monthly purchases of $40 billion of mortgage securities have become more widespread. On that score, Bullard (James Bullard, president of the Federal Reserve Bank of St. Louis) appeared to be in agreement. “I’m leaning a little bit toward the idea that maybe we don’t need to be in mortgage-backed securities with a booming housing market,” he said. “I would be a little bit concerned about feeding into the housing froth that seems to be developing.”
Even without the Fed reining in its bond buying—which pushed its balance sheet past $8 trillion as of Wednesday, nearly double its prepandemic size—Lori Calvasina, RBC’s head of U.S. equity strategy, thinks the decline in the 10-year Treasury yield during the second quarter may be signaling a slowing economy. That thesis was proposed in this space a week ago.
The slippage in long Treasury yields could portend a slump in the widely watched ISM gauges, which she says may be associated with either a pause in the leadership in cyclical stocks or a pullback in the overall market. In that case, she suggests adding to classic defensive groups such as consumer staples, utilities, and healthcare to ride out a short-term pullback. Financials, energy, and materials, which had been leading the market, still make sense longer term, while industrials lack appeal because of valuation, she adds.
Emanuel (Julian Emanuel, chief equity and derivatives strategist at BTIG) also prefers exposure to defensive groups such as healthcare, because he looks for bond yields to resume their ascent, with the 10-year Treasury heading toward 2%, posing a headwind for equities. At the same time, he’d avoid transports and high-multiple secular growth stocks, which are sensitive to higher yields.
And he’d play a rise in volatilities with options. In a client note, he recommended a straddle, simultaneously buying July 30 calls and puts on the S&P 500 index, a position that would pay off from big moves higher or lower but would lose the cost of premiums paid on the options if the market stays range-bound. If July brings fireworks beyond the Fourth, however, the bet would be a winner.“
Barron’s June 21, 2021