Real Estate Correlations

PRCEX Fund

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The current 90-days correlation between Real Estate Securities and Vy Columbia Small is 0.56 (i.e., Very weak 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

Weak diversification

The correlation between Real Estate Securities and DJI is 0.35 (i.e., Weak 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 american community survey.

Moving together with Real Mutual Fund

0.99	PFRSX	Real Estate Securities	Pair Corr
0.61	PGBLX	Global Diversified Income	Pair Corr
0.61	PGDIX	Global Diversified Income	Pair Corr
0.9	PGRUX	Global Real Estate	Pair Corr
0.77	PGSLX	Principal Global Sus	Pair Corr
0.92	PGRKX	Global Real Estate	Pair Corr

Moving against Real Mutual Fund

0.51	PGBGX	Blue Chip Fund	Pair Corr
0.49	PGBEX	Blue Chip Fund	Pair Corr
0.41	SACAX	Strategic Asset Mana	Pair Corr
0.4	SABPX	Strategic Asset Mana	Pair Corr
0.38	SAIPX	Strategic Asset Mana	Pair Corr
0.37	SAGPX	Strategic Asset Mana	Pair Corr
0.36	PFUMX	Finisterre Unconstrained	Pair Corr
0.35	PFLJX	Principal Lifetime 2050	Pair Corr
0.5	PGBHX	Blue Chip Fund	Pair Corr
0.41	PGLSX	Global Multi Strategy	Pair Corr
0.41	PGRTX	Smallcap Growth	Pair Corr
0.41	SCGPX	Strategic Asset Mana	Pair Corr
0.4	SCBPX	Strategic Asset Mana	Pair Corr
0.38	SCIPX	Strategic Asset Mana	Pair Corr
0.35	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.32	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.36	PHTUX	Principal Lifetime Hybrid	Pair Corr
0.35	PHJYX	Principal Lifetime Hybrid	Pair Corr
0.35	PHSPX	Pimco High Yield	Pair Corr
0.32	PHJUX	Principal Lifetime Hybrid	Pair Corr

Related Correlations Analysis

	VYRDX	DRSVX	MMSCX	TISVX	NSMAX	SECAX	GLVIX
VYRDX		0.97	0.74	0.73	0.77	0.81	0.53	VYRDX
DRSVX	0.97		0.76	0.78	0.74	0.82	0.53	DRSVX
MMSCX	0.74	0.76		0.73	0.95	0.92	0.82	MMSCX
TISVX	0.73	0.78	0.73		0.62	0.72	0.69	TISVX
NSMAX	0.77	0.74	0.95	0.62		0.9	0.79	NSMAX
SECAX	0.81	0.82	0.92	0.72	0.9		0.84	SECAX
GLVIX	0.53	0.53	0.82	0.69	0.79	0.84		GLVIX
	VYRDX	DRSVX	MMSCX	TISVX	NSMAX	SECAX	GLVIX

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
VYRDX	0.78	(0.04)	(0.03)	0.04	1.00	(0.81)	1.62	(1.45)	4.13
DRSVX	0.76	(0.05)	(0.04)	0.03	0.97	(0.84)	1.80	(1.43)	4.19
MMSCX	0.98	0.17	0.08	2.51	0.94	(1.09)	1.95	(1.77)	10.10
TISVX	0.58	(0.01)	(0.04)	0.06	0.70	(0.67)	1.25	(1.18)	3.41
NSMAX	0.95	0.16	0.07	1.28	1.06	(1.01)	2.21	(1.98)	7.22
SECAX	1.08	0.12	0.11	0.16	0.99	(1.20)	2.40	(1.72)	10.96
GLVIX	0.99	0.22	0.15	0.77	0.84	(1.16)	1.78	(1.72)	16.26

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