Prudential Real Correlations

PJEQX Fund

USD 15.53 0.14 0.91%

The current 90-days correlation between Prudential Real Estate and Realty Income is 0.76 (i.e., Poor diversification). The correlation of Prudential Real 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.

Prudential Real Correlation With Market

Weak diversification

The correlation between Prudential Real Estate and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Prudential Real Estate 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 Prudential Real Estate. 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 producer price index.

Moving together with Prudential Mutual Fund

0.82	HR	Healthcare Realty Trust	Pair Corr
0.82	KW	Kennedy Wilson Holdings	Pair Corr
0.7	VICI	VICI Properties	Pair Corr
0.79	EPRT	Essential Properties	Pair Corr
0.62	WELL	Welltower	Pair Corr
0.65	ESRT	Empire State Realty	Pair Corr

Moving against Prudential Mutual Fund

0.32

VTMX

Corporacin Inmobiliaria

Pair Corr

Related Correlations Analysis

	O	DX	FR	HR	KW	OZ	PK	PW	RC	UE
O		-0.57	0.91	0.16	0.17	-0.77	-0.63	-0.24	-0.05	-0.5	O
DX	-0.57		-0.42	0.41	0.24	0.79	0.68	0.24	0.45	0.46	DX
FR	0.91	-0.42		0.32	0.33	-0.62	-0.38	-0.33	0.24	-0.35	FR
HR	0.16	0.41	0.32		0.67	0.12	0.4	0.19	0.45	0.33	HR
KW	0.17	0.24	0.33	0.67		-0.1	0.35	0.21	0.17	0.56	KW
OZ	-0.77	0.79	-0.62	0.12	-0.1		0.72	0.27	0.49	0.22	OZ
PK	-0.63	0.68	-0.38	0.4	0.35	0.72		0.44	0.51	0.47	PK
PW	-0.24	0.24	-0.33	0.19	0.21	0.27	0.44		-0.05	0.17	PW
RC	-0.05	0.45	0.24	0.45	0.17	0.49	0.51	-0.05		-0.11	RC
UE	-0.5	0.46	-0.35	0.33	0.56	0.22	0.47	0.17	-0.11		UE
	O	DX	FR	HR	KW	OZ	PK	PW	RC	UE

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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

FR	+ 0.91	O
OZ	+ 0.79	DX
PK	+ 0.72	OZ
PK	+ 0.68	DX
KW	+ 0.67	HR
UE	+ 0.56	KW

High negative correlations

OZ	- 0.77	O
PK	- 0.63	O
OZ	- 0.62	FR
DX	- 0.57	O
UE	- 0.5	O
FR	- 0.42	DX

Risk-Adjusted Indicators

There is a big difference between Prudential Mutual Fund performing well and Prudential Real 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 Prudential Real'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
O	0.84	(0.23)	0.00	(1.05)	0.00	0.00	1.37	(1.99)	5.17
DX	0.71	0.04	0.02	0.13	0.93	(0.70)	1.13	(1.47)	3.83
FR	0.90	(0.16)	0.00	(0.23)	0.00	0.00	1.52	(1.72)	6.12
HR	1.24	(0.08)	0.00	(0.22)	0.00	0.00	2.01	(2.71)	9.00
KW	1.48	(0.12)	0.00	(0.05)	0.00	0.00	2.49	(3.10)	9.72
OZ	1.28	0.11	0.06	0.19	1.64	(1.51)	2.91	(2.65)	10.61
PK	1.22	(0.04)	(0.01)	0.01	1.87	(1.21)	2.85	(2.71)	12.02
PW	8.28	1.36	0.15	(3.19)	7.81	(11.46)	15.00	(13.84)	119.44
RC	1.28	(0.09)	0.00	(0.05)	0.00	0.00	2.42	(3.17)	8.92
UE	0.89	0.01	0.00	0.05	1.21	(0.88)	1.73	(1.72)	6.40

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