FREL vs. O
FREL (Fidelity MSCI Real Estate Index ETF) is REIT fund tracking the MSCI USA IMI Real Estate Index, while O (Realty Income Corporation) is a stock. Over the past 10 years, FREL returned 5.45%/yr vs 4.28%/yr for O. A 0.77 correlation means they provide meaningful diversification when combined.
Performance
FREL vs. O - Performance Comparison
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Returns By Period
In the year-to-date period, FREL achieves a 12.55% return, which is significantly lower than O's 16.83% return. Over the past 10 years, FREL has outperformed O with an annualized return of 5.45%, while O has yielded a comparatively lower 4.28% annualized return.
FREL
- 1D
- 0.54%
- 1M
- 0.14%
- 6M
- 11.10%
- YTD
- 12.55%
- 1Y
- 12.83%
- 3Y*
- 8.49%
- 5Y*
- 2.39%
- 10Y*
- 5.45%
O
- 1D
- 1.36%
- 1M
- 2.75%
- 6M
- 11.83%
- YTD
- 16.83%
- 1Y
- 18.48%
- 3Y*
- 7.62%
- 5Y*
- 4.44%
- 10Y*
- 4.28%
FREL vs. O - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FREL Fidelity MSCI Real Estate Index ETF | 12.55% | 3.09% | 5.05% | 11.74% | -26.21% | 40.46% | -4.99% | 28.78% | -4.52% | 8.86% |
O Realty Income Corporation | 16.83% | 12.20% | -2.11% | -4.55% | -7.38% | 23.95% | -11.60% | 21.27% | 15.94% | 3.67% |
Correlation
The correlation between FREL and O is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.75 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Feb 5, 2015 | 0.77 |
The correlation between FREL and O has been stable across timeframes, ranging from 0.68 to 0.78 - a consistent structural relationship.
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Return for Risk
FREL vs. O — Risk / Return Rank
FREL
O
FREL vs. O - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity MSCI Real Estate Index ETF (FREL) and Realty Income Corporation (O). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FREL | O | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.18 | ||
| Sortino ratioReturn per unit of downside risk | -0.20 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.19 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.52 | 1.67 | -0.15 |
| Martin ratioReturn relative to average drawdown | 4.77 | 3.78 | +0.99 |
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Drawdowns
FREL vs. O - Drawdown Comparison
The maximum FREL drawdown since its inception was -42.61%, smaller than the maximum O drawdown of -48.45%. Use the drawdown chart below to compare losses from any high point for FREL and O.
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Drawdown Indicators
| FREL | O | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.61% | -48.45% | +5.84% |
Max Drawdown (1Y)Largest decline over 1 year | -8.45% | -11.10% | +2.65% |
Max Drawdown (3Y)Largest decline over 3 years | -17.54% | -26.49% | +8.95% |
Max Drawdown (5Y)Largest decline over 5 years | -34.40% | -34.48% | +0.08% |
Max Drawdown (10Y)Largest decline over 10 years | -42.61% | -48.28% | +5.67% |
Current DrawdownCurrent decline from peak | -0.87% | -3.35% | +2.48% |
Average DrawdownAverage peak-to-trough decline | -9.87% | -9.20% | -0.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.69% | 4.90% | -2.21% |
Volatility
FREL vs. O - Volatility Comparison
The current volatility for Fidelity MSCI Real Estate Index ETF (FREL) is 4.90%, while Realty Income Corporation (O) has a volatility of 5.94%. This indicates that FREL experiences smaller price fluctuations and is considered to be less risky than O based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FREL | O | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.90% | 5.94% | -1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 10.63% | 12.55% | -1.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.98% | 16.87% | -2.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.93% | 18.98% | -0.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.72% | 25.65% | -4.93% |
Dividends
FREL vs. O - Dividend Comparison
FREL's dividend yield for the trailing twelve months is around 3.25%, less than O's 5.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FREL Fidelity MSCI Real Estate Index ETF | 3.25% | 3.59% | 3.48% | 3.73% | 3.57% | 2.34% | 3.77% | 3.32% | 5.54% | 3.27% | 4.01% | 3.80% |
O Realty Income Corporation | 5.05% | 6.19% | 5.37% | 5.33% | 4.68% | 3.87% | 4.51% | 3.69% | 4.19% | 4.45% | 4.18% | 4.41% |
Frequently Asked Questions
FREL and O have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
O has higher volatility (5.94%) compared to FREL (4.90%). In terms of maximum drawdown, FREL dropped -42.61% vs O's -48.45%.
O currently has the higher Sharpe Ratio (1.10 vs 0.92), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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