Federal Realty Correlations

FRT Stock

USD 97.73 0.53 0.54%

The current 90-days correlation between Federal Realty Investment and Agree Realty is 0.57 (i.e., Very weak diversification). The correlation of Federal Realty 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.

Federal Realty Correlation With Market

Very weak diversification

The correlation between Federal Realty Investment and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Federal Realty Investment and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Federal Realty Investment. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Federal Stock

0.86	EQIX	Equinix	Pair Corr
0.7	CUZ	Cousins Properties	Pair Corr
0.79	DEI	Douglas Emmett	Pair Corr
0.62	DLR	Digital Realty Trust	Pair Corr
0.75	EQC	Equity Commonwealth	Pair Corr
0.71	IRM	Iron Mountain	Pair Corr
0.61	IVT	Inventrust Properties	Pair Corr
0.68	KRC	Kilroy Realty Corp	Pair Corr
0.66	PDM	Piedmont Office Realty	Pair Corr
0.88	PGRE	Paramount Group	Pair Corr
0.63	SITC	Site Centers Corp	Pair Corr
0.76	PK	Park Hotels Resorts	Pair Corr
0.79	RC	Ready Capital Corp	Pair Corr

Moving against Federal Stock

0.72	CCI	Crown Castle	Pair Corr
0.71	AMT	American Tower Corp	Pair Corr
0.61	HASI	Hannon Armstrong Sus	Pair Corr
0.6	SBAC	SBA Communications Corp	Pair Corr
0.55	GLPI	Gaming Leisure Properties	Pair Corr
0.55	O	Realty Income	Pair Corr
0.5	NTST	Netstreit Corp	Pair Corr
0.41	CSGP	CoStar Group	Pair Corr
0.62	VICI	VICI Properties	Pair Corr
0.61	ELME	Elme Communities	Pair Corr
0.58	DX	Dynex Capital	Pair Corr
0.58	AHT-PD	Ashford Hospitality Trust	Pair Corr
0.57	AHT-PI	Ashford Hospitality Trust	Pair Corr
0.55	AHT-PH	Ashford Hospitality Trust	Pair Corr
0.53	MITT-PA	AG Mortgage Investment	Pair Corr
0.5	AHT-PF	Ashford Hospitality Trust	Pair Corr
0.48	AHT-PG	Ashford Hospitality Trust	Pair Corr
0.41	VNO-PO	Vornado Realty Trust	Pair Corr
0.4	MITT-PC	AG Mortgage Investment	Pair Corr

Related Correlations Analysis

	ADC	REG	NTST	KIM	NNN	AKR	O	WSR	SPG	MAC
ADC		0.34	0.83	-0.64	0.76	-0.43	0.87	0.62	-0.31	-0.77	ADC
REG	0.34		0.28	0.02	0.65	0.29	0.56	0.14	0.55	-0.14	REG
NTST	0.83	0.28		-0.47	0.64	-0.6	0.73	0.51	-0.3	-0.62	NTST
KIM	-0.64	0.02	-0.47		-0.55	0.59	-0.63	-0.37	0.24	0.74	KIM
NNN	0.76	0.65	0.64	-0.55		-0.23	0.9	0.56	0.01	-0.71	NNN
AKR	-0.43	0.29	-0.6	0.59	-0.23		-0.32	-0.23	0.47	0.54	AKR
O	0.87	0.56	0.73	-0.63	0.9	-0.32		0.41	0.06	-0.67	O
WSR	0.62	0.14	0.51	-0.37	0.56	-0.23	0.41		-0.59	-0.72	WSR
SPG	-0.31	0.55	-0.3	0.24	0.01	0.47	0.06	-0.59		0.55	SPG
MAC	-0.77	-0.14	-0.62	0.74	-0.71	0.54	-0.67	-0.72	0.55		MAC
	ADC	REG	NTST	KIM	NNN	AKR	O	WSR	SPG	MAC

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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

O	+ 0.9	NNN
O	+ 0.87	ADC
NTST	+ 0.83	ADC
NNN	+ 0.76	ADC
MAC	+ 0.74	KIM
O	+ 0.73	NTST

High negative correlations

MAC	- 0.77	ADC
MAC	- 0.72	WSR
MAC	- 0.71	NNN
MAC	- 0.67	O
KIM	- 0.64	ADC
O	- 0.63	KIM

Risk-Adjusted Indicators

There is a big difference between Federal Stock performing well and Federal Realty Company 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 Federal Realty'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
ADC	0.88	0.11	0.10	0.40	0.98	(0.90)	1.86	(1.66)	5.44
REG	0.98	(0.04)	0.00	(0.07)	0.00	0.00	1.51	(2.32)	6.34
NTST	1.20	0.06	0.03	0.13	1.66	(1.24)	2.92	(2.98)	7.48
KIM	1.15	(0.16)	0.00	(0.17)	0.00	0.00	2.24	(2.84)	5.80
NNN	1.06	0.05	0.03	0.11	1.25	(1.05)	1.98	(2.04)	7.72
AKR	1.33	(0.24)	0.00	(0.24)	0.00	0.00	2.14	(2.97)	7.30
O	0.94	0.10	0.08	0.32	1.10	(0.93)	1.56	(1.82)	6.11
WSR	0.98	0.03	0.02	0.17	1.06	(1.22)	1.80	(1.85)	5.60
SPG	1.10	(0.06)	0.00	(0.06)	0.00	0.00	2.12	(2.20)	8.14
MAC	1.77	(0.25)	0.00	(0.21)	0.00	0.00	2.77	(4.04)	11.21

Federal Realty Corporate Management

Deirdre Johnson	Senior Vice President - Asset Management	Profile
Barry Carty	Senior Vice President - East Coast Acquisitions	Profile
Michael Papillon	Vice President - Asset Management, Maryland Region	Profile
Kari Glinski	Vice President - Asset Management, Metropolitan Philadelphia Region	Profile
Deirdre CRX	Senior Management	Profile

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