Correlation Between BRT Realty and UMH Properties

Can any of the company-specific risk be diversified away by investing in both BRT Realty and UMH Properties at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining BRT Realty and UMH Properties into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between BRT Realty Trust and UMH Properties, you can compare the effects of market volatilities on BRT Realty and UMH Properties and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in BRT Realty with a short position of UMH Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of BRT Realty and UMH Properties.

Diversification Opportunities for BRT Realty and UMH Properties

0.07

Correlation Coefficient

BRT Realty  UMH Properties

Significant diversification

The 3 months correlation between BRT and UMH is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding BRT Realty Trust and UMH Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on UMH Properties and BRT Realty is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on BRT Realty Trust are associated (or correlated) with UMH Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of UMH Properties has no effect on the direction of BRT Realty i.e., BRT Realty and UMH Properties go up and down completely randomly.

Pair Corralation between BRT Realty and UMH Properties

Considering the 90-day investment horizon BRT Realty Trust is expected to generate 2.81 times more return on investment than UMH Properties. However, BRT Realty is 2.81 times more volatile than UMH Properties. It trades about 0.02 of its potential returns per unit of risk. UMH Properties is currently generating about -0.03 per unit of risk. If you would invest  1,785  in BRT Realty Trust on December 26, 2024 and sell it today you would earn a total of  15.00  from holding BRT Realty Trust or generate 0.84% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

BRT Realty Trust  vs.  UMH Properties

BRT Realty Trust

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in BRT Realty Trust are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, BRT Realty is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

UMH Properties

Risk-Adjusted Performance

Very Weak

Over the last 90 days UMH Properties has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound technical indicators, UMH Properties is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with BRT Realty and UMH Properties

The main advantage of trading using opposite BRT Realty and UMH Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BRT Realty position performs unexpectedly, UMH Properties can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in UMH Properties will offset losses from the drop in UMH Properties' long position.

The idea behind BRT Realty Trust and UMH Properties pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.