Real Estate Correlations

ARYCX Fund

USD 26.67 0.16 0.60%

The current 90-days correlation between Real Estate Fund and Nuveen Real Estate is 0.98 (i.e., Almost no diversification). The correlation of Real Estate 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.

Real Estate Correlation With Market

Significant diversification

The correlation between Real Estate Fund and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Real Estate Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Real Estate Fund. 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 main economic indicators.

Moving together with Real Mutual Fund

0.68	OZ	Belpointe PREP LLC	Pair Corr
0.73	VNO-PL	Vornado Realty Trust	Pair Corr
0.67	VNO-PM	Vornado Realty Trust Potential Growth	Pair Corr
0.66	VNO-PN	Vornado Realty Trust	Pair Corr
0.61	VNO-PO	Vornado Realty Trust	Pair Corr
0.68	EPRT	Essential Properties	Pair Corr

Moving against Real Mutual Fund

0.62	PW	Power REIT	Pair Corr
0.34	RC	Ready Capital Corp	Pair Corr
0.31	AHT	Ashford Hospitality Trust	Pair Corr

Related Correlations Analysis

	FREAX	PAREX	GURAX	GURIX	ACSLX
FREAX		0.82	0.77	0.77	-0.17	FREAX
PAREX	0.82		0.82	0.81	-0.35	PAREX
GURAX	0.77	0.82		1.0	0.18	GURAX
GURIX	0.77	0.81	1.0		0.19	GURIX
ACSLX	-0.17	-0.35	0.18	0.19		ACSLX
	FREAX	PAREX	GURAX	GURIX	ACSLX

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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

GURIX	+ 1.0	GURAX
PAREX	+ 0.82	FREAX
GURAX	+ 0.82	PAREX
GURIX	+ 0.81	PAREX
GURAX	+ 0.77	FREAX
GURIX	+ 0.77	FREAX

High negative correlations

ACSLX	- 0.35	PAREX
ACSLX	- 0.17	FREAX

Risk-Adjusted Indicators

There is a big difference between Real Mutual Fund performing well and Real Estate 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 Real Estate'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
FREAX	0.64	0.03	(0.08)	0.54	0.74	(0.71)	1.24	(1.16)	3.55
PAREX	0.71	0.01	(0.08)	0.20	0.84	(0.75)	1.36	(1.34)	4.21
GURAX	0.59	0.03	(0.07)	0.27	0.63	(0.69)	1.26	(1.11)	3.38
GURIX	0.59	0.03	(0.07)	0.28	0.63	(0.69)	1.30	(1.09)	3.39
ACSLX	0.74	(0.04)	(0.04)	0.06	1.14	(0.67)	1.69	(2.21)	5.37

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