Real Estate Correlations

PRRAX Fund

USD 30.24 0.16 0.53%

The current 90-days correlation between Real Estate Securities and Midcap Fund Class is -0.04 (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 nation.

Moving together with Real Mutual Fund

0.8	HR	Healthcare Realty Trust	Pair Corr
0.77	VICI	VICI Properties	Pair Corr
0.66	ELME	Elme Communities	Pair Corr

Moving against Real Mutual Fund

0.46	PW	Power REIT	Pair Corr
0.45	EMITF	Elbit Imaging	Pair Corr
0.37	ACR	Acres Commercial Realty	Pair Corr

Related Correlations Analysis

	PEMGX	PRWLX	PRIAX	PLSAX	PLLAX
PEMGX		-0.33	0.36	0.94	0.84	PEMGX
PRWLX	-0.33		0.55	-0.3	-0.22	PRWLX
PRIAX	0.36	0.55		0.45	0.32	PRIAX
PLSAX	0.94	-0.3	0.45		0.91	PLSAX
PLLAX	0.84	-0.22	0.32	0.91		PLLAX
	PEMGX	PRWLX	PRIAX	PLSAX	PLLAX

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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

PLSAX	+ 0.94	PEMGX
PLLAX	+ 0.91	PLSAX
PLLAX	+ 0.84	PEMGX
PRIAX	+ 0.55	PRWLX
PLSAX	+ 0.45	PRIAX
PRIAX	+ 0.36	PEMGX

High negative correlations

PRWLX	- 0.33	PEMGX
PLSAX	- 0.3	PRWLX
PLLAX	- 0.22	PRWLX

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
PEMGX	0.62	0.12	0.04	2.57	0.60	(0.69)	1.48	(1.24)	4.44
PRWLX	0.70	(0.07)	0.00	0.83	0.00	0.00	1.32	(1.65)	4.72
PRIAX	0.82	(0.08)	0.00	(0.05)	0.00	0.00	1.55	(1.73)	5.32
PLSAX	0.57	0.00	(0.02)	0.10	0.68	(0.61)	1.17	(1.30)	3.82
PLLAX	0.86	(0.05)	(0.01)	0.06	0.87	(1.05)	2.15	(1.52)	6.80

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