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REIT/BDC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


O 7%ARCC 7%REXR 6%ARE 6%NMFC 6%HTGC 5.5%IIPR 5%BNL 5%WPC 5%ADC 4.5%BXP 4.5%VICI 4%BRSP 4%FSK 4%HIW 3.5%HR 3.5%LTC 3%NSA 3%FRT 3%BXMT 3%SAFE 2%MPW 2%BDN 2%XLRE 1.5%EquityEquity
PositionCategory/SectorWeight
ADC
Agree Realty Corporation
Real Estate
4.50%
ARCC
Ares Capital Corporation
Financial Services
7%
ARE
Alexandria Real Estate Equities, Inc.
Real Estate
6%
BDN
Brandywine Realty Trust
Real Estate
2%
BNL
Broadstone Net Lease, Inc.
Real Estate
5%
BRSP
BrightSpire Capital, Inc.
Real Estate
4%
BXMT
Blackstone Mortgage Trust, Inc.
Real Estate
3%
BXP
Boston Properties, Inc.
Real Estate
4.50%
FRT
Federal Realty Investment Trust
Real Estate
3%
FSK
FS KKR Capital Corp.
Financial Services
4%
HIW
Highwoods Properties, Inc.
Real Estate
3.50%
HR
Healthcare Realty Trust Incorporated
Real Estate
3.50%
HTGC
Hercules Capital, Inc.
Financial Services
5.50%
IIPR
Innovative Industrial Properties, Inc.
Real Estate
5%
LTC
LTC Properties, Inc.
Real Estate
3%
MPW
Medical Properties Trust, Inc.
Real Estate
2%
NMFC
New Mountain Finance Corporation
Financial Services
6%
NSA
National Storage Affiliates Trust
Real Estate
3%
O
Realty Income Corporation
Real Estate
7%
REXR
Rexford Industrial Realty, Inc.
Real Estate
6%
SAFE
2%
VICI
4%
WPC
5%
XLRE
1.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in REIT/BDC, 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


-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
3.70%
8.81%
REIT/BDC
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 17, 2020, corresponding to the inception date of BNL

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.66%0.49%8.64%26.56%13.06%11.10%
REIT/BDC1.35%-5.35%3.69%2.19%N/AN/A
REXR
Rexford Industrial Realty, Inc.
-29.98%-10.36%-12.52%-28.87%-0.96%11.84%
LTC
LTC Properties, Inc.
15.18%-8.83%5.38%13.66%1.30%3.46%
VICI
-3.85%-8.51%5.94%-2.44%N/AN/A
O
Realty Income Corporation
-5.13%-8.59%0.05%-3.94%-1.31%5.52%
ARE
Alexandria Real Estate Equities, Inc.
-20.73%-6.73%-14.67%-21.26%-6.39%4.05%
HIW
Highwoods Properties, Inc.
37.45%-7.09%16.79%38.17%-3.35%1.00%
ARCC
Ares Capital Corporation
15.62%-0.87%7.45%18.03%12.90%13.36%
NSA
National Storage Affiliates Trust
-5.34%-14.10%-9.69%-3.71%7.52%N/A
BRSP
BrightSpire Capital, Inc.
-13.00%-4.07%6.70%-14.64%-7.86%N/A
ADC
Agree Realty Corporation
15.10%-9.54%15.32%16.53%4.54%12.98%
XLRE
4.45%-6.02%8.00%5.74%N/AN/A
IIPR
Innovative Industrial Properties, Inc.
-0.66%-9.46%-8.67%2.30%12.24%N/A
FRT
Federal Realty Investment Trust
9.67%-3.18%10.33%9.33%1.20%1.32%
SAFE
-11.18%-0.78%8.70%-7.13%N/AN/A
BXMT
Blackstone Mortgage Trust, Inc.
-8.69%-4.47%4.38%-12.51%-4.94%3.96%
HR
Healthcare Realty Trust Incorporated
4.84%-4.90%7.77%6.25%-0.79%5.13%
MPW
Medical Properties Trust, Inc.
-15.80%-9.99%-18.79%-16.31%-23.05%-5.54%
BXP
Boston Properties, Inc.
9.26%-7.83%22.67%9.10%-7.19%-2.05%
BDN
Brandywine Realty Trust
11.69%-0.93%24.99%14.01%-11.45%-4.00%
FSK
FS KKR Capital Corp.
22.82%1.99%17.10%23.38%12.11%6.22%
BNL
Broadstone Net Lease, Inc.
-2.88%-6.92%4.32%-1.39%N/AN/A
WPC
-11.90%-3.59%1.98%-11.04%N/AN/A
NMFC
New Mountain Finance Corporation
-4.40%-0.23%-3.51%-5.22%6.08%7.51%
HTGC
Hercules Capital, Inc.
24.10%1.06%0.10%27.30%18.16%13.69%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.42%-1.13%4.01%-3.57%3.42%0.75%7.49%2.95%3.29%-4.27%1.46%1.35%
20239.06%-4.37%-6.31%-1.83%-2.84%5.32%5.62%-2.92%-6.73%-5.69%10.37%10.97%8.44%
2022-4.70%-1.85%4.95%-6.22%-2.46%-6.82%9.70%-6.04%-13.61%8.60%2.95%-5.22%-21.06%
2021-1.29%5.25%3.49%6.89%0.76%2.07%5.03%2.07%-4.65%7.20%-2.73%7.05%34.87%
2020-2.72%-3.24%16.86%5.00%15.50%

Expense Ratio

REIT/BDC 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 REIT/BDC is 4, meaning it’s performing worse than 96% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of REIT/BDC is 44
Overall Rank
The Sharpe Ratio Rank of REIT/BDC is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of REIT/BDC is 33
Sortino Ratio Rank
The Omega Ratio Rank of REIT/BDC is 44
Omega Ratio Rank
The Calmar Ratio Rank of REIT/BDC is 44
Calmar Ratio Rank
The Martin Ratio Rank of REIT/BDC is 44
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for REIT/BDC, currently valued at 0.20, compared to the broader market-6.00-4.00-2.000.002.004.000.202.12
The chart of Sortino ratio for REIT/BDC, currently valued at 0.38, compared to the broader market-6.00-4.00-2.000.002.004.006.000.382.83
The chart of Omega ratio for REIT/BDC, currently valued at 1.05, compared to the broader market0.400.600.801.001.201.401.601.801.051.39
The chart of Calmar ratio for REIT/BDC, currently valued at 0.14, compared to the broader market0.002.004.006.008.0010.0012.000.143.13
The chart of Martin ratio for REIT/BDC, currently valued at 0.66, compared to the broader market0.0010.0020.0030.0040.0050.000.6613.67
REIT/BDC
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
REXR
Rexford Industrial Realty, Inc.
-1.10-1.490.82-0.55-1.74
LTC
LTC Properties, Inc.
0.701.041.140.493.66
VICI
-0.080.021.00-0.09-0.19
O
Realty Income Corporation
-0.20-0.160.98-0.14-0.43
ARE
Alexandria Real Estate Equities, Inc.
-0.76-0.980.89-0.38-2.09
HIW
Highwoods Properties, Inc.
1.311.881.230.796.70
ARCC
Ares Capital Corporation
1.602.241.292.6510.93
NSA
National Storage Affiliates Trust
-0.110.031.00-0.07-0.28
BRSP
BrightSpire Capital, Inc.
-0.34-0.300.96-0.36-0.73
ADC
Agree Realty Corporation
0.991.471.180.663.12
XLRE
0.410.651.080.261.49
IIPR
Innovative Industrial Properties, Inc.
0.130.371.050.060.40
FRT
Federal Realty Investment Trust
0.600.931.120.453.48
SAFE
-0.150.031.00-0.07-0.35
BXMT
Blackstone Mortgage Trust, Inc.
-0.37-0.310.96-0.30-0.85
HR
Healthcare Realty Trust Incorporated
0.220.481.060.120.55
MPW
Medical Properties Trust, Inc.
-0.210.191.02-0.17-0.67
BXP
Boston Properties, Inc.
0.320.641.080.191.01
BDN
Brandywine Realty Trust
0.420.791.110.241.10
FSK
FS KKR Capital Corp.
1.642.111.312.207.11
BNL
Broadstone Net Lease, Inc.
-0.010.131.02-0.01-0.02
WPC
-0.47-0.530.94-0.31-0.81
NMFC
New Mountain Finance Corporation
-0.43-0.530.94-0.37-1.30
HTGC
Hercules Capital, Inc.
1.261.591.271.524.58

The current REIT/BDC Sharpe ratio is 0.22. 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 1.26 to 2.06, 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 REIT/BDC 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.20
2.12
REIT/BDC
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

REIT/BDC provided a 7.39% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio7.39%7.64%8.53%5.18%6.01%5.51%6.17%4.79%4.61%5.03%38,979.87%71,142.01%
REXR
Rexford Industrial Realty, Inc.
4.27%2.71%2.31%1.18%1.75%1.62%2.17%1.99%2.33%3.12%3.06%1.59%
LTC
LTC Properties, Inc.
6.00%7.10%6.42%6.68%5.86%5.09%5.47%5.24%4.66%4.80%4.73%5.38%
VICI
5.85%5.05%4.63%4.58%4.93%4.59%5.32%0.00%0.00%0.00%0.00%0.00%
O
Realty Income Corporation
6.04%5.33%4.69%3.88%4.51%3.69%4.19%4.45%4.19%4.42%4.59%5.84%
ARE
Alexandria Real Estate Equities, Inc.
5.28%3.91%3.24%2.01%2.38%2.48%3.24%2.64%2.91%3.38%3.25%4.10%
HIW
Highwoods Properties, Inc.
6.81%8.71%7.15%4.40%4.84%3.88%4.79%3.46%4.90%3.90%3.84%4.70%
ARCC
Ares Capital Corporation
9.09%9.59%10.12%7.65%9.47%9.01%9.88%9.67%9.22%11.02%10.06%8.84%
NSA
National Storage Affiliates Trust
6.05%5.38%5.95%2.30%3.75%3.78%4.38%3.82%3.99%3.15%0.00%0.00%
BRSP
BrightSpire Capital, Inc.
12.88%10.75%12.68%5.65%4.00%12.54%10.10%0.00%0.00%0.00%0.00%0.00%
ADC
Agree Realty Corporation
4.31%4.64%3.95%3.65%3.61%3.25%3.65%3.94%4.17%5.43%5.60%5.65%
XLRE
2.35%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
IIPR
Innovative Industrial Properties, Inc.
7.80%7.16%7.01%2.18%2.44%3.73%2.64%1.70%0.00%0.00%0.00%0.00%
FRT
Federal Realty Investment Trust
3.99%4.21%4.26%3.12%4.96%3.22%3.42%2.98%2.70%2.48%2.47%2.98%
SAFE
3.49%5.03%8.43%5.05%8.27%7.04%6.63%0.96%0.00%0.00%0.00%0.00%
BXMT
Blackstone Mortgage Trust, Inc.
13.14%11.66%11.71%8.10%9.01%6.66%7.78%7.71%8.25%8.52%6.79%2.65%
HR
Healthcare Realty Trust Incorporated
7.43%7.20%36.51%7.44%4.36%8.09%9.60%8.02%8.21%8.79%1,113,586.82%2,032,520.32%
MPW
Medical Properties Trust, Inc.
12.23%17.92%10.41%4.74%4.96%4.83%6.22%6.97%7.40%7.65%6.10%6.63%
BXP
Boston Properties, Inc.
5.35%5.59%5.80%3.40%4.15%2.78%3.11%2.35%2.15%3.02%5.52%4.83%
BDN
Brandywine Realty Trust
11.24%13.33%12.36%5.66%6.38%4.83%5.59%3.52%3.76%4.39%3.75%4.26%
FSK
FS KKR Capital Corp.
13.67%15.02%15.20%11.80%15.46%12.40%16.41%11.69%8.66%9.92%8.91%0.00%
BNL
Broadstone Net Lease, Inc.
7.25%6.50%6.66%4.13%7.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WPC
6.36%6.17%5.43%5.13%5.91%5.17%6.26%5.82%6.65%6.49%5.26%5.71%
NMFC
New Mountain Finance Corporation
9.12%11.71%9.86%8.76%10.92%9.90%10.81%10.04%9.65%10.45%9.91%9.84%
HTGC
Hercules Capital, Inc.
8.41%11.40%14.90%9.34%9.57%9.49%11.40%9.45%8.79%10.17%8.33%6.77%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.52%
-2.37%
REIT/BDC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the REIT/BDC. 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 REIT/BDC was 31.56%, occurring on Oct 27, 2023. The portfolio has not yet recovered.

The current REIT/BDC drawdown is 13.05%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.56%Jan 5, 2022456Oct 27, 2023
-8.88%Oct 9, 202014Oct 28, 20208Nov 9, 202022
-6.43%Sep 18, 20204Sep 23, 20207Oct 2, 202011
-6.07%Sep 3, 202119Sep 30, 202114Oct 20, 202133
-5.9%Nov 16, 202111Dec 1, 202117Dec 27, 202128

Volatility

Volatility Chart

The current REIT/BDC volatility is 4.55%, 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%JulyAugustSeptemberOctoberNovemberDecember
4.55%
3.87%
REIT/BDC
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.

NMFCHTGCARCCIIPRFSKMPWADCLTCBRSPNSAHRSAFEBNLBXMTREXRVICIOWPCBDNBXPAREHIWFRTXLRE
NMFC1.000.620.650.360.620.310.270.330.510.320.280.380.330.490.350.400.330.340.430.430.380.420.430.39
HTGC0.621.000.660.370.630.310.270.350.490.310.310.420.320.500.400.420.320.340.440.440.390.440.440.41
ARCC0.650.661.000.350.680.340.300.350.500.330.310.400.380.530.400.470.360.370.450.440.390.440.460.45
IIPR0.360.370.351.000.360.400.370.340.460.430.430.510.440.490.520.490.400.400.460.460.520.480.450.54
FSK0.620.630.680.361.000.350.280.380.540.350.340.440.380.530.340.450.360.360.500.470.380.480.490.44
MPW0.310.310.340.400.351.000.460.520.430.420.530.450.460.470.470.470.520.500.530.520.530.550.530.57
ADC0.270.270.300.370.280.461.000.550.380.540.570.440.570.420.550.590.730.680.440.460.560.490.590.67
LTC0.330.350.350.340.380.520.551.000.450.440.600.460.480.500.470.510.580.560.550.520.500.580.600.59
BRSP0.510.490.500.460.540.430.380.451.000.400.390.520.470.720.420.480.430.440.590.560.450.570.550.51
NSA0.320.310.330.430.350.420.540.440.401.000.520.500.550.430.650.550.600.590.450.490.620.500.540.74
HR0.280.310.310.430.340.530.570.600.390.521.000.500.530.450.550.540.610.590.510.510.590.550.580.66
SAFE0.380.420.400.510.440.450.440.460.520.500.501.000.540.520.510.540.480.520.540.540.570.550.580.62
BNL0.330.320.380.440.380.460.570.480.470.550.530.541.000.480.560.570.640.630.530.540.620.560.590.67
BXMT0.490.500.530.490.530.470.420.500.720.430.450.520.481.000.470.510.470.470.650.650.500.640.600.56
REXR0.350.400.400.520.340.470.550.470.420.650.550.510.560.471.000.590.600.630.490.520.720.530.590.79
VICI0.400.420.470.490.450.470.590.510.480.550.540.540.570.510.591.000.640.630.530.530.580.560.660.70
O0.330.320.360.400.360.520.730.580.430.600.610.480.640.470.600.641.000.750.510.520.640.560.670.76
WPC0.340.340.370.400.360.500.680.560.440.590.590.520.630.470.630.630.751.000.560.570.620.590.650.74
BDN0.430.440.450.460.500.530.440.550.590.450.510.540.530.650.490.530.510.561.000.810.610.830.660.60
BXP0.430.440.440.460.470.520.460.520.560.490.510.540.540.650.520.530.520.570.811.000.650.830.690.65
ARE0.380.390.390.520.380.530.560.500.450.620.590.570.620.500.720.580.640.620.610.651.000.650.630.79
HIW0.420.440.440.480.480.550.490.580.570.500.550.550.560.640.530.560.560.590.830.830.651.000.690.66
FRT0.430.440.460.450.490.530.590.600.550.540.580.580.590.600.590.660.670.650.660.690.630.691.000.73
XLRE0.390.410.450.540.440.570.670.590.510.740.660.620.670.560.790.700.760.740.600.650.790.660.731.00
The correlation results are calculated based on daily price changes starting from Sep 18, 2020
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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