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Портфель недвижимости REIT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


O 25%SPG 25%KIM 25%REG 25%EquityEquity
PositionCategory/SectorWeight
KIM
Kimco Realty Corporation
Real Estate

25%

O
Realty Income Corporation
Real Estate

25%

REG
Regency Centers Corporation
Real Estate

25%

SPG
Simon Property Group, Inc.
Real Estate

25%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Портфель недвижимости REIT, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%FebruaryMarchAprilMayJuneJuly
2,884.60%
1,060.49%
Портфель недвижимости REIT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 18, 1994, corresponding to the inception date of O

Returns By Period

As of Jul 25, 2024, the Портфель недвижимости REIT returned 2.83% Year-To-Date and 6.03% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
Портфель недвижимости REIT2.83%5.06%7.49%8.97%5.68%6.03%
O
Realty Income Corporation
2.66%7.28%7.20%-3.85%1.41%7.62%
SPG
Simon Property Group, Inc.
7.85%-0.37%8.72%28.30%4.82%3.71%
KIM
Kimco Realty Corporation
0.54%9.20%6.01%7.02%6.84%3.72%
REG
Regency Centers Corporation
-1.15%4.06%6.46%3.49%3.89%5.43%

Monthly Returns

The table below presents the monthly returns of Портфель недвижимости REIT, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.83%0.01%2.77%-4.50%3.49%1.49%2.83%
20237.33%-6.03%-3.31%-0.12%-6.22%8.05%4.79%-7.05%-5.65%0.10%9.95%10.77%10.58%
2022-4.23%-5.51%4.35%-2.69%-2.96%-10.63%10.91%-5.93%-11.78%14.34%7.18%-2.78%-12.60%
20214.45%13.04%3.43%10.43%1.92%-0.46%2.01%4.07%-4.30%9.09%0.23%7.87%63.95%
2020-3.38%-7.25%-40.16%15.73%-3.14%12.29%-7.37%4.54%-3.92%-5.17%25.96%3.88%-22.06%
201911.15%1.60%4.00%-3.56%-1.50%1.20%1.93%-1.71%7.48%1.30%-1.69%-2.76%17.74%
2018-8.15%-6.16%1.03%0.48%3.99%6.11%2.50%4.44%-2.54%1.46%3.05%-6.68%-1.73%
20171.90%0.91%-5.86%-4.35%-6.82%3.23%4.75%-0.93%-0.42%-3.98%5.52%2.83%-4.12%
20163.31%1.17%7.52%-2.77%1.42%11.51%3.14%-5.77%-2.34%-8.91%-4.80%1.38%3.12%
201510.19%-4.91%3.02%-8.26%-0.26%-4.85%9.17%-5.95%4.90%8.61%-2.22%3.05%10.78%
20145.34%6.88%-1.92%5.23%1.45%1.85%-1.40%4.27%-6.05%12.52%1.76%1.81%35.18%
20135.91%3.73%1.11%9.64%-7.71%-4.33%3.85%-9.29%1.32%5.98%-5.70%-1.08%1.46%

Expense Ratio

Портфель недвижимости REIT has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Портфель недвижимости REIT is 7, indicating that it is in the bottom 7% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Портфель недвижимости REIT is 77
Портфель недвижимости REIT
The Sharpe Ratio Rank of Портфель недвижимости REIT is 77Sharpe Ratio Rank
The Sortino Ratio Rank of Портфель недвижимости REIT is 77Sortino Ratio Rank
The Omega Ratio Rank of Портфель недвижимости REIT is 77Omega Ratio Rank
The Calmar Ratio Rank of Портфель недвижимости REIT is 99Calmar Ratio Rank
The Martin Ratio Rank of Портфель недвижимости REIT is 66Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Портфель недвижимости REIT
Sharpe ratio
The chart of Sharpe ratio for Портфель недвижимости REIT, currently valued at 0.42, compared to the broader market-1.000.001.002.003.004.000.42
Sortino ratio
The chart of Sortino ratio for Портфель недвижимости REIT, currently valued at 0.77, compared to the broader market-2.000.002.004.006.000.77
Omega ratio
The chart of Omega ratio for Портфель недвижимости REIT, currently valued at 1.09, compared to the broader market0.801.001.201.401.601.09
Calmar ratio
The chart of Calmar ratio for Портфель недвижимости REIT, currently valued at 0.32, compared to the broader market0.002.004.006.008.000.32
Martin ratio
The chart of Martin ratio for Портфель недвижимости REIT, currently valued at 1.00, compared to the broader market0.0010.0020.0030.0040.001.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
O
Realty Income Corporation
-0.21-0.170.98-0.12-0.32
SPG
Simon Property Group, Inc.
1.221.841.230.824.22
KIM
Kimco Realty Corporation
0.200.511.060.150.42
REG
Regency Centers Corporation
0.140.351.040.130.33

Sharpe Ratio

The current Портфель недвижимости REIT Sharpe ratio is 0.42. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Портфель недвижимости REIT with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.42
1.66
Портфель недвижимости REIT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Портфель недвижимости REIT granted a 4.91% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Портфель недвижимости REIT4.91%4.81%4.64%3.37%5.09%4.59%5.07%4.41%3.71%3.51%3.48%4.30%
O
Realty Income Corporation
5.39%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
SPG
Simon Property Group, Inc.
5.17%5.22%5.87%3.66%7.04%5.57%4.70%4.16%3.66%3.11%2.74%3.06%
KIM
Kimco Realty Corporation
4.97%4.77%3.95%2.75%3.58%5.38%7.61%5.98%4.10%3.67%3.62%4.31%
REG
Regency Centers Corporation
4.11%3.91%4.04%3.20%5.22%3.71%3.78%3.04%2.90%2.85%2.95%4.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.77%
-4.24%
Портфель недвижимости REIT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Портфель недвижимости REIT. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Портфель недвижимости REIT was 71.50%, occurring on Mar 6, 2009. Recovery took 762 trading sessions.

The current Портфель недвижимости REIT drawdown is 2.77%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-71.5%Feb 8, 2007523Mar 6, 2009762Mar 14, 20121285
-59.36%Aug 2, 2016925Apr 3, 2020296Jun 8, 20211221
-29.02%Jan 5, 2022185Sep 29, 2022453Jul 22, 2024638
-21.39%May 16, 201378Sep 5, 2013252Sep 5, 2014330
-21.34%Apr 2, 200426May 10, 200481Sep 3, 2004107

Volatility

Volatility Chart

The current Портфель недвижимости REIT volatility is 5.14%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%FebruaryMarchAprilMayJuneJuly
5.14%
3.80%
Портфель недвижимости REIT
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

OSPGREGKIM
O1.000.560.590.59
SPG0.561.000.640.70
REG0.590.641.000.69
KIM0.590.700.691.00
The correlation results are calculated based on daily price changes starting from Oct 19, 1994