FRI vs. ^TNX

Last updated Jun 3, 2026

FRI (First Trust S&P REIT Index Fund) is REIT fund tracking the S&P United States REIT, while ^TNX (Treasury Yield 10 Years) is an index. Over the past 10 years, FRI returned 5.60%/yr vs 10.14%/yr for ^TNX. At a 0.06 correlation, their price movements are largely independent.

Performance

FRI vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust S&P REIT Index Fund (FRI) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FRI achieves a 11.66% return, which is significantly higher than ^TNX's 7.49% return. Over the past 10 years, FRI has underperformed ^TNX with an annualized return of 5.60%, while ^TNX has yielded a comparatively higher 10.14% annualized return.

FRI

• 1D: 0.38%
• 1M: -1.40%
• YTD: 11.66%
• 6M: 10.48%
• 1Y: 14.05%
• 3Y*: 11.01%
• 5Y*: 4.35%
• 10Y*: 5.60%

^TNX

• 1D: 0.49%
• 1M: 2.22%
• YTD: 7.49%
• 6M: 9.52%
• 1Y: 0.29%
• 3Y*: 6.63%
• 5Y*: 22.98%
• 10Y*: 10.14%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FRI vs. ^TNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FRI First Trust S&P REIT Index Fund	11.66%	2.80%	7.84%	13.33%	-24.66%	42.55%	-7.90%	23.67%	-4.28%	3.86%
^TNX Treasury Yield 10 Years	7.49%	-8.97%	18.29%	-0.34%	156.55%	64.89%	-52.21%	-28.56%	11.68%	-1.68%

Correlation

The correlation between FRI and ^TNX is -0.33, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.33
Correlation (3Y) Calculated over the trailing 3-year period	-0.31
Correlation (5Y) Calculated over the trailing 5-year period	-0.21
Correlation (10Y) Calculated over the trailing 10-year period	-0.12
Correlation (All Time) Calculated using the full available price history since May 11, 2007	0.06

The correlation between FRI and ^TNX shifts across timeframes, from -0.33 (1 year) to 0.06 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FRI vs. ^TNX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FRI

FRI Risk / Return Rank: 32
FRI Sharpe Ratio Rank: 30
FRI Sortino Ratio Rank: 28
FRI Omega Ratio Rank: 28
FRI Calmar Ratio Rank: 38
FRI Martin Ratio Rank: 38

^TNX

^TNX Risk / Return Rank: 12
^TNX Sharpe Ratio Rank: 12
^TNX Sortino Ratio Rank: 12
^TNX Omega Ratio Rank: 12
^TNX Calmar Ratio Rank: 13
^TNX Martin Ratio Rank: 12

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FRI vs. ^TNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust S&P REIT Index Fund (FRI) and Treasury Yield 10 Years (^TNX). 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.

	FRI	^TNX	Difference
Sharpe ratio Return per unit of total volatility	1.08	0.09	+0.99
Sortino ratio Return per unit of downside risk	1.52	0.23	+1.29
Omega ratio Gain probability vs. loss probability	1.19	1.03	+0.16
Calmar ratio Return relative to maximum drawdown	1.88	0.09	+1.78
Martin ratio Return relative to average drawdown	6.00	0.17	+5.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FRI vs. ^TNX - Sharpe Ratio Comparison

The current FRI Sharpe Ratio is 1.08, which is higher than the ^TNX Sharpe Ratio of 0.09. The chart below compares the historical Sharpe Ratios of FRI and ^TNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FRI	^TNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.08	0.09	+0.99
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.23	0.71	-0.48
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.27	0.21	+0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.18	-0.02	+0.20

Drawdowns

FRI vs. ^TNX - Drawdown Comparison

The maximum FRI drawdown since its inception was -71.95%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for FRI and ^TNX.

Drawdown Indicators

	FRI	^TNX	Difference
Max Drawdown Largest peak-to-trough decline	-71.95%	-93.78%	+21.83%
Max Drawdown (1Y) Largest decline over 1 year	-7.57%	-12.35%	+4.78%
Max Drawdown (3Y) Largest decline over 3 years	-18.90%	-27.41%	+8.51%
Max Drawdown (5Y) Largest decline over 5 years	-31.21%	-27.41%	-3.80%
Max Drawdown (10Y) Largest decline over 10 years	-44.16%	-84.57%	+40.41%
Current Drawdown Current decline from peak	-3.44%	-44.22%	+40.78%
Average Drawdown Average peak-to-trough decline	-13.70%	-51.35%	+37.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	6.96%	-4.59%

Volatility

FRI vs. ^TNX - Volatility Comparison

The current volatility for First Trust S&P REIT Index Fund (FRI) is 3.99%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.23%. This indicates that FRI experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FRI	^TNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.99%	5.23%	-1.24%
Volatility (6M) Calculated over the trailing 6-month period	9.21%	10.75%	-1.54%
Volatility (1Y) Calculated over the trailing 1-year period	13.05%	15.54%	-2.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.65%	32.50%	-13.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.06%	48.04%	-26.98%

Frequently Asked Questions

Can I hold both FRI and ^TNX in my portfolio?

FRI and ^TNX have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FRI or ^TNX?

^TNX has higher volatility (5.23%) compared to FRI (3.99%). In terms of maximum drawdown, FRI dropped -71.95% vs ^TNX's -93.78%.

Which has better risk-adjusted returns?

FRI currently has the higher Sharpe Ratio (1.08 vs 0.09), 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.