Real Estate Correlations

PFRSX Fund

USD 28.30 0.09 0.32%

The current 90-days correlation between Real Estate Securities and Global Diversified Income is 0.26 (i.e., Modest 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

Poor diversification

The correlation between Real Estate Securities and DJI is 0.79 (i.e., Poor 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 state.

Moving together with Real Mutual Fund

0.67	O	Realty Income	Pair Corr
0.73	DX	Dynex Capital	Pair Corr
0.74	FR	First Industrial Realty	Pair Corr
0.68	OZ	Belpointe PREP LLC	Pair Corr
0.71	PK	Park Hotels Resorts	Pair Corr
0.63	PW	Power REIT	Pair Corr
0.87	UE	Urban Edge Properties Sell-off Trend	Pair Corr
0.82	AHT-PD	Ashford Hospitality Trust	Pair Corr
0.72	AHT-PG	Ashford Hospitality Trust	Pair Corr
0.82	VNO-PL	Vornado Realty Trust	Pair Corr
0.81	VNO-PM	Vornado Realty Trust	Pair Corr
0.81	VNO-PN	Vornado Realty Trust	Pair Corr
0.75	VNO-PO	Vornado Realty Trust	Pair Corr
0.69	VICI	VICI Properties	Pair Corr
0.7	MITT-PA	AG Mortgage Investment	Pair Corr
0.82	MITT-PB	AG Mortgage Investment	Pair Corr
0.84	MITT-PC	AG Mortgage Investment	Pair Corr
0.7	ELME	Elme Communities	Pair Corr
0.9	EPRT	Essential Properties	Pair Corr
0.75	EQIX	Equinix Buyout Trend	Pair Corr
0.87	WELL	Welltower	Pair Corr
0.61	ESBA	Empire State Realty	Pair Corr
0.85	CDR-PC	Cedar Realty Trust	Pair Corr
0.66	ESRT	Empire State Realty	Pair Corr

Moving against Real Mutual Fund

0.31

Ucommune International

Pair Corr

Related Correlations Analysis

	PGBAX	LIOTX	TSCHX	JPDVX	XACVX	FZABX	OPTCX
PGBAX		0.7	0.93	0.95	0.93	0.81	0.61	PGBAX
LIOTX	0.7		0.67	0.73	0.73	0.75	0.86	LIOTX
TSCHX	0.93	0.67		0.98	0.98	0.87	0.55	TSCHX
JPDVX	0.95	0.73	0.98		0.99	0.89	0.61	JPDVX
XACVX	0.93	0.73	0.98	0.99		0.89	0.61	XACVX
FZABX	0.81	0.75	0.87	0.89	0.89		0.6	FZABX
OPTCX	0.61	0.86	0.55	0.61	0.61	0.6		OPTCX
	PGBAX	LIOTX	TSCHX	JPDVX	XACVX	FZABX	OPTCX

Click cells to compare fundamentals

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Backtest Portfolio

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
PGBAX	0.17	0.01	(0.08)	0.46	0.25	(0.19)	0.34	(0.34)	1.20
LIOTX	0.51	0.09	0.09	1.02	0.50	(0.61)	1.24	(1.02)	3.48
TSCHX	1.09	0.07	0.02	0.75	1.75	(1.14)	2.47	(2.41)	9.07
JPDVX	0.64	0.06	0.02	(1.36)	1.08	(0.58)	1.39	(1.23)	6.70
XACVX	0.90	0.10	0.04	(3.29)	1.38	(0.86)	1.77	(1.97)	9.06
FZABX	0.89	0.10	0.05	0.15	1.48	(0.84)	1.48	(1.75)	9.56
OPTCX	0.12	0.02	(0.01)	0.67	0.00	(0.26)	0.31	(0.31)	1.44

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