Essex Property Correlations

ESS Stock

USD 304.34 3.75 1.25%

The current 90-days correlation between Essex Property Trust and Equity Residential is 0.89 (i.e., Very poor diversification). The correlation of Essex Property 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.

Essex Property Correlation With Market

Weak diversification

The correlation between Essex Property Trust and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Essex Property Trust 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 Essex Property Trust. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Essex Stock

0.83	EQR	Equity Residential	Pair Corr
0.73	REG	Regency Centers	Pair Corr
0.63	DX	Dynex Capital	Pair Corr
0.76	HR	Healthcare Realty Trust	Pair Corr

Moving against Essex Stock

0.36

SITC

Site Centers Corp

Pair Corr

Related Correlations Analysis

	EQR	MAA	CPT	UDR	AVB	NXRT
EQR		0.7	0.68	0.9	0.68	0.54	EQR
MAA	0.7		0.82	0.74	0.64	0.8	MAA
CPT	0.68	0.82		0.7	0.38	0.71	CPT
UDR	0.9	0.74	0.7		0.74	0.53	UDR
AVB	0.68	0.64	0.38	0.74		0.55	AVB
NXRT	0.54	0.8	0.71	0.53	0.55		NXRT
	EQR	MAA	CPT	UDR	AVB	NXRT

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Risk-Adjusted Indicators

There is a big difference between Essex Stock performing well and Essex Property 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 Essex Property'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
EQR	0.94	0.04	(0.03)	0.22	1.21	(1.08)	2.31	(1.94)	7.21
MAA	0.85	0.05	(0.03)	0.37	0.96	(0.89)	1.87	(1.76)	5.34
CPT	0.93	0.00	(0.06)	0.10	1.07	(0.94)	1.92	(1.71)	5.03
UDR	0.93	0.06	0.00	0.24	1.01	(1.04)	2.08	(1.44)	5.53
AVB	0.89	0.07	0.00	0.30	0.99	(0.90)	1.72	(1.49)	5.83
NXRT	1.21	(0.01)	(0.02)	0.08	1.29	(1.42)	3.22	(2.22)	6.37

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