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FRI vs. VNQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FRI and VNQ is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

FRI vs. VNQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust S&P REIT Index Fund (FRI) and Vanguard Real Estate ETF (VNQ). The values are adjusted to include any dividend payments, if applicable.

100.00%110.00%120.00%130.00%140.00%150.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
118.82%
138.68%
FRI
VNQ

Key characteristics

Sharpe Ratio

FRI:

0.57

VNQ:

0.39

Sortino Ratio

FRI:

0.86

VNQ:

0.62

Omega Ratio

FRI:

1.11

VNQ:

1.08

Calmar Ratio

FRI:

0.40

VNQ:

0.24

Martin Ratio

FRI:

2.32

VNQ:

1.32

Ulcer Index

FRI:

3.86%

VNQ:

4.71%

Daily Std Dev

FRI:

15.75%

VNQ:

16.11%

Max Drawdown

FRI:

-71.95%

VNQ:

-73.07%

Current Drawdown

FRI:

-8.69%

VNQ:

-14.13%

Returns By Period

In the year-to-date period, FRI achieves a 6.98% return, which is significantly higher than VNQ's 4.10% return. Both investments have delivered pretty close results over the past 10 years, with FRI having a 4.84% annualized return and VNQ not far ahead at 4.91%.


FRI

YTD

6.98%

1M

-5.47%

6M

9.01%

1Y

8.13%

5Y*

4.00%

10Y*

4.84%

VNQ

YTD

4.10%

1M

-6.48%

6M

8.61%

1Y

4.87%

5Y*

3.24%

10Y*

4.91%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FRI vs. VNQ - Expense Ratio Comparison

FRI has a 0.50% expense ratio, which is higher than VNQ's 0.12% expense ratio.


FRI
First Trust S&P REIT Index Fund
Expense ratio chart for FRI: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

FRI vs. VNQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust S&P REIT Index Fund (FRI) and Vanguard Real Estate ETF (VNQ). 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 FRI, currently valued at 0.57, compared to the broader market0.002.004.000.570.39
The chart of Sortino ratio for FRI, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.0010.000.860.62
The chart of Omega ratio for FRI, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.08
The chart of Calmar ratio for FRI, currently valued at 0.40, compared to the broader market0.005.0010.0015.000.400.24
The chart of Martin ratio for FRI, currently valued at 2.32, compared to the broader market0.0020.0040.0060.0080.00100.002.321.32
FRI
VNQ

The current FRI Sharpe Ratio is 0.57, which is higher than the VNQ Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of FRI and VNQ, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.57
0.39
FRI
VNQ

Dividends

FRI vs. VNQ - Dividend Comparison

FRI's dividend yield for the trailing twelve months is around 4.39%, more than VNQ's 2.89% yield.


TTM20232022202120202019201820172016201520142013
FRI
First Trust S&P REIT Index Fund
3.36%3.24%2.51%1.44%3.08%2.28%3.21%2.82%3.27%2.66%2.07%3.10%
VNQ
Vanguard Real Estate ETF
2.89%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

Drawdowns

FRI vs. VNQ - Drawdown Comparison

The maximum FRI drawdown since its inception was -71.95%, roughly equal to the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for FRI and VNQ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.69%
-14.13%
FRI
VNQ

Volatility

FRI vs. VNQ - Volatility Comparison

The current volatility for First Trust S&P REIT Index Fund (FRI) is 5.18%, while Vanguard Real Estate ETF (VNQ) has a volatility of 5.65%. This indicates that FRI experiences smaller price fluctuations and is considered to be less risky than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.18%
5.65%
FRI
VNQ
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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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