Real Estate Correlations

PRAEX Fund

USD 29.95 0.15 0.50%

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

Average diversification

The correlation between Real Estate Securities and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Real Estate Securities and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Real Estate Securities. 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 income.

Moving together with Real Mutual Fund

0.67	AHT-PD	Ashford Hospitality Trust	Pair Corr
0.68	ECRO	Ecc Cap Corp	Pair Corr

Moving against Real Mutual Fund

0.5	EMITF	Elbit Imaging	Pair Corr
0.4	UE	Urban Edge Properties	Pair Corr
0.37	PW	Power REIT	Pair Corr
0.41	AKR	Acadia Realty Trust	Pair Corr
0.36	ACR	Acres Commercial Realty	Pair Corr
0.35	CDR-PC	Cedar Realty Trust	Pair Corr
0.31	NREF-PA	NexPoint Real Estate	Pair Corr

Related Correlations Analysis

	JHMXX	PRVBX	NEITX	TOHIX	JFIFX	PACEX	MSVIX	BXDYX
JHMXX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	JHMXX
PRVBX	0.0		0.02	0.22	0.26	0.7	0.43	0.85	PRVBX
NEITX	0.0	0.02		0.96	-0.42	0.15	-0.26	0.02	NEITX
TOHIX	0.0	0.22	0.96		-0.35	0.33	-0.21	0.25	TOHIX
JFIFX	0.0	0.26	-0.42	-0.35		0.08	0.79	0.46	JFIFX
PACEX	0.0	0.7	0.15	0.33	0.08		0.27	0.78	PACEX
MSVIX	0.0	0.43	-0.26	-0.21	0.79	0.27		0.49	MSVIX
BXDYX	0.0	0.85	0.02	0.25	0.46	0.78	0.49		BXDYX
	JHMXX	PRVBX	NEITX	TOHIX	JFIFX	PACEX	MSVIX	BXDYX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

TOHIX	+ 0.96	NEITX
BXDYX	+ 0.85	PRVBX
MSVIX	+ 0.79	JFIFX
BXDYX	+ 0.78	PACEX
PACEX	+ 0.7	PRVBX
BXDYX	+ 0.49	MSVIX

High negative correlations

JFIFX	- 0.42	NEITX
JFIFX	- 0.35	TOHIX
MSVIX	- 0.26	NEITX
MSVIX	- 0.21	TOHIX
BXDYX	- 0.0	JHMXX
MSVIX	- 0.0	JHMXX

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
JHMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PRVBX	0.09	0.00	(0.87)	0.49	0.00	(0.10)	0.20	(0.20)	0.53
NEITX	0.17	0.01	(0.22)	(0.02)	0.26	(0.28)	0.43	(0.32)	1.62
TOHIX	0.13	0.01	(0.33)	(0.03)	0.16	(0.20)	0.28	(0.36)	1.20
JFIFX	0.85	0.27	0.16	(3.18)	0.54	(0.98)	1.87	(1.35)	9.78
PACEX	0.12	0.00	(0.69)	0.31	0.00	(0.22)	0.32	(0.22)	0.97
MSVIX	0.79	(0.06)	(0.03)	0.07	0.84	(0.88)	1.78	(1.41)	5.71
BXDYX	0.10	0.01	(0.73)	5.82	0.00	(0.16)	0.33	(0.11)	0.66

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC