Real Estate Correlations

PDIFX Fund

USD 15.86 0.33 2.12%

The current 90-days correlation between Real Estate Debt and Global Diversified Income is 0.37 (i.e., 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

Very weak diversification

The correlation between Real Estate Debt and DJI is 0.47 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Real Estate Debt 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 Debt. 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 census.

Moving together with Real Mutual Fund

0.99	VGTSX	Vanguard Total Inter	Pair Corr
0.99	VTIAX	Vanguard Total Inter	Pair Corr
0.99	VTSNX	Vanguard Total Inter	Pair Corr
0.99	VTPSX	Vanguard Total Inter	Pair Corr
0.99	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.98	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.98	VDIPX	Vanguard Developed	Pair Corr
0.99	FSPSX	Fidelity International	Pair Corr
0.89	CPAYX	Columbia Pacific/asia	Pair Corr
0.92	CASAX	Columbia Pacific/asia	Pair Corr
0.82	CCCZX	Center St Brookfield	Pair Corr
0.92	CASCX	Columbia Pacific/asia	Pair Corr
0.95	MGHRX	Morgan Stanley Insti	Pair Corr
0.95	MSEQX	Growth Portfolio Class	Pair Corr
0.95	MSHLX	Growth Portfolio Class	Pair Corr
0.9	JPM	JPMorgan Chase	Pair Corr
0.86	BA	Boeing Earnings Call This Week	Pair Corr

Moving against Real Mutual Fund

0.51	MCD	McDonalds	Pair Corr
0.32	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	PGBLX	ELDFX	QDARX	CAARX	HIIDX	MCKSX	PGFCX
PGBLX		0.53	0.49	0.99	0.5	0.97	0.98	PGBLX
ELDFX	0.53		0.97	0.52	0.98	0.53	0.51	ELDFX
QDARX	0.49	0.97		0.48	0.95	0.49	0.49	QDARX
CAARX	0.99	0.52	0.48		0.51	1.0	0.99	CAARX
HIIDX	0.5	0.98	0.95	0.51		0.53	0.5	HIIDX
MCKSX	0.97	0.53	0.49	1.0	0.53		0.99	MCKSX
PGFCX	0.98	0.51	0.49	0.99	0.5	0.99		PGFCX
	PGBLX	ELDFX	QDARX	CAARX	HIIDX	MCKSX	PGFCX

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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
PGBLX	0.12	0.02	(1.00)	0.55	0.00	(0.16)	0.26	(0.17)	0.69
ELDFX	0.31	0.07	(0.11)	0.37	0.00	(0.39)	1.10	(0.55)	2.22
QDARX	0.07	0.00	(1.50)	0.00	0.00	(0.11)	0.16	(0.08)	0.56
CAARX	0.22	0.03	(0.31)	0.35	0.00	(0.25)	0.56	(0.49)	1.62
HIIDX	0.49	0.14	0.04	0.49	0.14	(0.60)	1.29	(0.87)	3.13
MCKSX	0.23	0.03	(0.26)	0.34	0.00	(0.27)	0.59	(0.50)	1.71
PGFCX	0.19	0.03	(0.36)	0.39	0.00	(0.25)	0.39	(0.47)	1.54

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