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BXMT vs. FREL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BXMT and FREL is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

BXMT vs. FREL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Blackstone Mortgage Trust, Inc. (BXMT) and Fidelity MSCI Real Estate Index ETF (FREL). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
49.06%
58.13%
BXMT
FREL

Key characteristics

Sharpe Ratio

BXMT:

-0.30

FREL:

0.41

Sortino Ratio

BXMT:

-0.21

FREL:

0.65

Omega Ratio

BXMT:

0.97

FREL:

1.08

Calmar Ratio

BXMT:

-0.11

FREL:

0.25

Martin Ratio

BXMT:

-0.68

FREL:

1.41

Ulcer Index

BXMT:

12.68%

FREL:

4.63%

Daily Std Dev

BXMT:

29.27%

FREL:

16.03%

Max Drawdown

BXMT:

-97.98%

FREL:

-42.61%

Current Drawdown

BXMT:

-75.54%

FREL:

-13.87%

Returns By Period

In the year-to-date period, BXMT achieves a -6.53% return, which is significantly lower than FREL's 4.46% return.


BXMT

YTD

-6.53%

1M

-2.21%

6M

6.85%

1Y

-10.44%

5Y*

-4.48%

10Y*

4.24%

FREL

YTD

4.46%

1M

-5.60%

6M

8.77%

1Y

5.57%

5Y*

3.08%

10Y*

N/A

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Risk-Adjusted Performance

BXMT vs. FREL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Blackstone Mortgage Trust, Inc. (BXMT) and Fidelity MSCI Real Estate Index ETF (FREL). 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 BXMT, currently valued at -0.30, compared to the broader market-4.00-2.000.002.00-0.300.41
The chart of Sortino ratio for BXMT, currently valued at -0.21, compared to the broader market-4.00-2.000.002.004.00-0.210.65
The chart of Omega ratio for BXMT, currently valued at 0.97, compared to the broader market0.501.001.502.000.971.08
The chart of Calmar ratio for BXMT, currently valued at -0.24, compared to the broader market0.002.004.006.00-0.240.25
The chart of Martin ratio for BXMT, currently valued at -0.68, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.681.41
BXMT
FREL

The current BXMT Sharpe Ratio is -0.30, which is lower than the FREL Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of BXMT and FREL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.30
0.41
BXMT
FREL

Dividends

BXMT vs. FREL - Dividend Comparison

BXMT's dividend yield for the trailing twelve months is around 12.84%, more than FREL's 3.50% yield.


TTM20232022202120202019201820172016201520142013
BXMT
Blackstone Mortgage Trust, Inc.
12.84%11.66%11.71%8.10%9.01%6.66%7.78%7.71%8.25%8.52%6.79%2.65%
FREL
Fidelity MSCI Real Estate Index ETF
3.50%3.73%3.57%2.34%3.77%3.32%5.54%3.27%4.01%3.80%0.00%0.00%

Drawdowns

BXMT vs. FREL - Drawdown Comparison

The maximum BXMT drawdown since its inception was -97.98%, which is greater than FREL's maximum drawdown of -42.61%. Use the drawdown chart below to compare losses from any high point for BXMT and FREL. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-26.84%
-13.87%
BXMT
FREL

Volatility

BXMT vs. FREL - Volatility Comparison

Blackstone Mortgage Trust, Inc. (BXMT) has a higher volatility of 6.83% compared to Fidelity MSCI Real Estate Index ETF (FREL) at 5.59%. This indicates that BXMT's price experiences larger fluctuations and is considered to be riskier than FREL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.83%
5.59%
BXMT
FREL
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Disclaimer

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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