Simon Property Correlations

SPG Stock

USD 183.80 0.85 0.46%

The current 90-days correlation between Simon Property Group and Realty Income is 0.65 (i.e., Poor diversification). The correlation of Simon Property 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.

Simon Property Correlation With Market

Modest diversification

The correlation between Simon Property Group and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Simon Property Group and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Simon Property Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Simon Stock

0.62	FSP	Franklin Street Prop	Pair Corr
0.73	O	Realty Income	Pair Corr
0.77	FR	First Industrial Realty	Pair Corr

Moving against Simon Stock

0.35

KRC

Kilroy Realty Corp

Pair Corr

Related Correlations Analysis

	FRT	ADC	NNN	KIM	O	SKT	REG	NTST	GTY	SITC
FRT		0.67	0.71	0.87	0.42	0.68	0.79	0.75	0.73	0.69	FRT
ADC	0.67		0.8	0.71	0.87	0.72	0.48	0.92	0.94	0.7	ADC
NNN	0.71	0.8		0.81	0.79	0.94	0.68	0.85	0.78	0.66	NNN
KIM	0.87	0.71	0.81		0.46	0.75	0.57	0.87	0.76	0.83	KIM
O	0.42	0.87	0.79	0.46		0.73	0.46	0.76	0.78	0.42	O
SKT	0.68	0.72	0.94	0.75	0.73		0.68	0.78	0.7	0.54	SKT
REG	0.79	0.48	0.68	0.57	0.46	0.68		0.48	0.55	0.36	REG
NTST	0.75	0.92	0.85	0.87	0.76	0.78	0.48		0.94	0.79	NTST
GTY	0.73	0.94	0.78	0.76	0.78	0.7	0.55	0.94		0.73	GTY
SITC	0.69	0.7	0.66	0.83	0.42	0.54	0.36	0.79	0.73		SITC
	FRT	ADC	NNN	KIM	O	SKT	REG	NTST	GTY	SITC

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Risk-Adjusted Indicators

There is a big difference between Simon Stock performing well and Simon Property 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 Simon Property'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
FRT	0.97	(0.09)	0.00	(0.16)	0.00	0.00	1.54	(2.78)	9.26
ADC	0.90	(0.05)	0.00	(0.19)	0.00	0.00	1.73	(1.88)	5.44
NNN	1.03	0.01	0.01	0.03	1.34	(1.00)	1.64	(2.32)	7.12
KIM	0.97	(0.19)	0.00	(0.34)	0.00	0.00	1.78	(2.22)	5.47
O	0.87	0.04	0.03	0.16	1.16	(0.85)	1.57	(1.83)	5.01
SKT	0.90	0.02	0.02	0.06	1.03	(1.01)	2.58	(1.48)	4.23
REG	0.86	0.03	0.02	0.07	1.20	(0.92)	1.76	(2.33)	6.35
NTST	1.13	(0.10)	0.00	(0.27)	0.00	0.00	2.60	(3.01)	7.44
GTY	1.01	(0.02)	0.00	(0.05)	0.00	0.00	2.40	(2.10)	5.80
SITC	1.04	(0.10)	0.00	(0.26)	0.00	0.00	2.91	(2.15)	6.86

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