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FBRT vs. VTIAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FBRTVTIAX
YTD Return4.32%7.10%
1Y Return12.28%17.44%
3Y Return (Ann)1.27%0.56%
Sharpe Ratio0.491.43
Sortino Ratio0.842.03
Omega Ratio1.111.25
Calmar Ratio0.921.23
Martin Ratio1.928.03
Ulcer Index6.49%2.19%
Daily Std Dev25.18%12.27%
Max Drawdown-31.33%-35.83%
Current Drawdown-4.91%-6.44%

Correlation

-0.50.00.51.00.5

The correlation between FBRT and VTIAX is 0.50, 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.

Performance

FBRT vs. VTIAX - Performance Comparison

In the year-to-date period, FBRT achieves a 4.32% return, which is significantly lower than VTIAX's 7.10% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.68%
0.57%
FBRT
VTIAX

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Risk-Adjusted Performance

FBRT vs. VTIAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin BSP Realty Trust, Inc. (FBRT) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX). 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.


FBRT
Sharpe ratio
The chart of Sharpe ratio for FBRT, currently valued at 0.49, compared to the broader market-4.00-2.000.002.004.000.49
Sortino ratio
The chart of Sortino ratio for FBRT, currently valued at 0.84, compared to the broader market-4.00-2.000.002.004.006.000.84
Omega ratio
The chart of Omega ratio for FBRT, currently valued at 1.11, compared to the broader market0.501.001.502.001.11
Calmar ratio
The chart of Calmar ratio for FBRT, currently valued at 0.92, compared to the broader market0.002.004.006.000.92
Martin ratio
The chart of Martin ratio for FBRT, currently valued at 1.92, compared to the broader market0.0010.0020.0030.001.92
VTIAX
Sharpe ratio
The chart of Sharpe ratio for VTIAX, currently valued at 1.43, compared to the broader market-4.00-2.000.002.004.001.43
Sortino ratio
The chart of Sortino ratio for VTIAX, currently valued at 2.03, compared to the broader market-4.00-2.000.002.004.006.002.03
Omega ratio
The chart of Omega ratio for VTIAX, currently valued at 1.25, compared to the broader market0.501.001.502.001.25
Calmar ratio
The chart of Calmar ratio for VTIAX, currently valued at 1.31, compared to the broader market0.002.004.006.001.31
Martin ratio
The chart of Martin ratio for VTIAX, currently valued at 8.03, compared to the broader market0.0010.0020.0030.008.03

FBRT vs. VTIAX - Sharpe Ratio Comparison

The current FBRT Sharpe Ratio is 0.49, which is lower than the VTIAX Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of FBRT and VTIAX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.49
1.43
FBRT
VTIAX

Dividends

FBRT vs. VTIAX - Dividend Comparison

FBRT's dividend yield for the trailing twelve months is around 10.94%, more than VTIAX's 2.96% yield.


TTM20232022202120202019201820172016201520142013
FBRT
Franklin BSP Realty Trust, Inc.
10.94%10.51%11.01%1.91%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
2.96%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

FBRT vs. VTIAX - Drawdown Comparison

The maximum FBRT drawdown since its inception was -31.33%, smaller than the maximum VTIAX drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for FBRT and VTIAX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.91%
-6.44%
FBRT
VTIAX

Volatility

FBRT vs. VTIAX - Volatility Comparison

Franklin BSP Realty Trust, Inc. (FBRT) has a higher volatility of 6.25% compared to Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) at 3.92%. This indicates that FBRT's price experiences larger fluctuations and is considered to be riskier than VTIAX 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%JuneJulyAugustSeptemberOctoberNovember
6.25%
3.92%
FBRT
VTIAX