Real Estate Correlations

PREPX Fund

USD 29.78 0.18 0.61%

The current 90-days correlation between Real Estate Securities and Franklin Natural Resources is -0.06 (i.e., Good 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 Securities and DJI is 0.07 (i.e., Significant 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

0.61	FR	First Industrial Realty	Pair Corr
0.8	HR	Healthcare Realty Trust	Pair Corr
0.76	VICI	VICI Properties	Pair Corr
0.67	ECRO	Ecc Cap Corp	Pair Corr

Moving against Real Mutual Fund

0.44	EMITF	Elbit Imaging	Pair Corr
0.36	PW	Power REIT	Pair Corr
0.39	NREF-PA	NexPoint Real Estate	Pair Corr
0.35	CDR-PC	Cedar Realty Trust	Pair Corr

Related Correlations Analysis

	FRNRX	TEDMX	FKUTX	AQUI	LBHIX	MSTSX	ABHYX	SCAXF	VIASP	RRTLX
FRNRX		0.6	0.65	0.0	0.56	0.78	0.14	-0.38	0.33	0.71	FRNRX
TEDMX	0.6		0.32	0.0	0.44	0.85	0.28	0.3	-0.37	0.61	TEDMX
FKUTX	0.65	0.32		0.0	0.75	0.65	0.33	-0.61	0.5	0.66	FKUTX
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
LBHIX	0.56	0.44	0.75	0.0		0.68	0.56	-0.35	0.26	0.74	LBHIX
MSTSX	0.78	0.85	0.65	0.0	0.68		0.27	-0.04	-0.05	0.86	MSTSX
ABHYX	0.14	0.28	0.33	0.0	0.56	0.27		-0.1	-0.12	0.42	ABHYX
SCAXF	-0.38	0.3	-0.61	0.0	-0.35	-0.04	-0.1		-0.82	-0.16	SCAXF
VIASP	0.33	-0.37	0.5	0.0	0.26	-0.05	-0.12	-0.82		0.1	VIASP
RRTLX	0.71	0.61	0.66	0.0	0.74	0.86	0.42	-0.16	0.1		RRTLX
	FRNRX	TEDMX	FKUTX	AQUI	LBHIX	MSTSX	ABHYX	SCAXF	VIASP	RRTLX

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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

RRTLX	+ 0.86	MSTSX
MSTSX	+ 0.85	TEDMX
MSTSX	+ 0.78	FRNRX
LBHIX	+ 0.75	FKUTX
RRTLX	+ 0.74	LBHIX
RRTLX	+ 0.71	FRNRX

High negative correlations

VIASP	- 0.82	SCAXF
SCAXF	- 0.61	FKUTX
SCAXF	- 0.38	FRNRX
VIASP	- 0.37	TEDMX
SCAXF	- 0.35	LBHIX
RRTLX	- 0.16	SCAXF

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
FRNRX	0.76	(0.05)	(0.08)	0.03	1.10	(0.75)	1.58	(1.79)	4.33
TEDMX	0.84	(0.06)	(0.12)	(0.01)	0.98	(1.07)	1.84	(2.00)	6.20
FKUTX	0.69	0.14	0.06	0.83	0.64	(0.80)	1.62	(1.48)	4.08
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.22)	(0.11)	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.37)	0.00	(33.24)	0.00	0.00	0.00	0.00	23.47
VIASP	0.75	0.08	(0.03)	(1.87)	1.12	(0.82)	2.28	(1.20)	7.18
RRTLX	0.23	(0.03)	(0.31)	0.03	0.26	(0.26)	0.48	(0.56)	1.36

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