Empire State Correlations

ESRT Stock

USD 9.51 0.40 4.39%

The current 90-days correlation between Empire State Realty and Paramount Group is 0.44 (i.e., Very weak diversification). The correlation of Empire State 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.

Empire State Correlation With Market

Average diversification

The correlation between Empire State Realty and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Empire State Realty and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Empire State Realty. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Empire Stock

0.63	ARE	Alexandria Real Estate	Pair Corr
0.82	BXP	Boston Properties	Pair Corr
0.79	DEI	Douglas Emmett Earnings Call This Week	Pair Corr
0.75	HIW	Highwoods Properties Earnings Call This Week	Pair Corr
0.7	PDM	Piedmont Office Realty Earnings Call This Week	Pair Corr
0.87	SLG	SL Green Realty	Pair Corr
0.74	HR	Healthcare Realty Trust	Pair Corr
0.95	KW	Kennedy Wilson Holdings	Pair Corr
0.88	UE	Urban Edge Properties	Pair Corr
0.79	ADC-PA	Agree Realty	Pair Corr
0.71	DOUG	Douglas Elliman	Pair Corr

Moving against Empire Stock

0.52	DX	Dynex Capital	Pair Corr
0.35	INN	Summit Hotel Properties	Pair Corr
0.32	SHO	Sunstone Hotel Investors	Pair Corr
0.7	CDR-PC	Cedar Realty Trust	Pair Corr
0.61	MITT-PC	AG Mortgage Investment	Pair Corr
0.42	AHT-PD	Ashford Hospitality Trust	Pair Corr

Related Correlations Analysis

	PGRE	HPP	EQC	DEI	UE
PGRE		0.57	0.37	0.49	0.62	PGRE
HPP	0.57		0.8	0.24	0.57	HPP
EQC	0.37	0.8		0.22	0.72	EQC
DEI	0.49	0.24	0.22		0.7	DEI
UE	0.62	0.57	0.72	0.7		UE
	PGRE	HPP	EQC	DEI	UE

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Risk-Adjusted Indicators

There is a big difference between Empire Stock performing well and Empire State Company 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 Empire State'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
PGRE	1.42	(0.01)	(0.03)	0.08	2.09	(1.42)	3.63	(2.49)	9.60
HPP	3.87	(0.65)	0.00	(0.27)	0.00	0.00	8.13	(7.62)	25.79
EQC	3.09	(1.26)	0.00	(1.13)	0.00	0.00	2.38	(2.23)	94.26
DEI	1.73	(0.06)	(0.03)	0.00	2.76	(1.52)	3.09	(4.39)	11.24
UE	1.04	(0.10)	0.00	5.72	0.00	0.00	1.70	(2.36)	6.09

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