Real Estate Correlations

PREPX Fund

USD 28.24 0.07 0.25%

The current 90-days correlation between Real Estate Securities and T Rowe Price is -0.05 (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

Average diversification

The correlation between Real Estate Securities and DJI is 0.18 (i.e., Average 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 american community survey.

Moving together with Real Mutual Fund

0.7	FR	First Industrial Realty	Pair Corr
0.66	HR	Healthcare Realty Trust	Pair Corr
0.7	UK	Ucommune International	Pair Corr
0.65	WY	Weyerhaeuser Fiscal Year End 23rd of January 2025	Pair Corr
0.65	AHT-PG	Ashford Hospitality Trust	Pair Corr
0.86	VICI	VICI Properties	Pair Corr
0.69	ELME	Elme Communities	Pair Corr

Moving against Real Mutual Fund

0.44	UE	Urban Edge Properties	Pair Corr
0.39	MITT-PC	AG Mortgage Investment	Pair Corr
0.67	NREF-PA	NexPoint Real Estate	Pair Corr
0.49	CDR-PB	Cedar Realty Trust	Pair Corr
0.45	CDR-PC	Cedar Realty Trust	Pair Corr
0.44	AKR	Acadia Realty Trust	Pair Corr

Related Correlations Analysis

	TRSAX	CSMVX	TWBIX	REVAX	CNGLX	VOLMX	NQQQX
TRSAX		0.84	0.68	-0.46	0.57	0.9	0.31	TRSAX
CSMVX	0.84		0.72	-0.54	0.58	0.92	0.34	CSMVX
TWBIX	0.68	0.72		-0.24	0.86	0.62	0.08	TWBIX
REVAX	-0.46	-0.54	-0.24		-0.02	-0.48	-0.17	REVAX
CNGLX	0.57	0.58	0.86	-0.02		0.47	-0.04	CNGLX
VOLMX	0.9	0.92	0.62	-0.48	0.47		0.52	VOLMX
NQQQX	0.31	0.34	0.08	-0.17	-0.04	0.52		NQQQX
	TRSAX	CSMVX	TWBIX	REVAX	CNGLX	VOLMX	NQQQX

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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

VOLMX	+ 0.92	CSMVX
VOLMX	+ 0.9	TRSAX
CNGLX	+ 0.86	TWBIX
CSMVX	+ 0.84	TRSAX
TWBIX	+ 0.72	CSMVX
TWBIX	+ 0.68	TRSAX

High negative correlations

REVAX	- 0.54	CSMVX
VOLMX	- 0.48	REVAX
REVAX	- 0.46	TRSAX
REVAX	- 0.24	TWBIX
NQQQX	- 0.17	REVAX
NQQQX	- 0.04	CNGLX

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
TRSAX	0.74	0.03	0.01	0.09	1.42	(0.65)	1.60	(1.49)	9.13
CSMVX	0.86	0.03	0.04	0.08	0.84	(0.87)	1.86	(1.33)	6.44
TWBIX	0.32	0.03	(0.06)	0.63	0.36	(0.36)	0.75	(0.65)	2.38
REVAX	0.87	0.04	(0.02)	(0.65)	1.03	(1.00)	1.86	(1.93)	6.97
CNGLX	0.54	(0.02)	0.00	(0.14)	0.00	0.00	1.04	(1.02)	3.68
VOLMX	0.56	0.03	0.03	0.09	0.49	(0.71)	1.14	(0.98)	4.49
NQQQX	0.80	0.07	0.01	2.62	1.53	(0.76)	1.55	(1.56)	9.55

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