FRI vs. WPC
Compare and contrast key facts about First Trust S&P REIT Index Fund (FRI) and W. P. Carey Inc. (WPC).
FRI is a passively managed fund by First Trust that tracks the performance of the S&P United States REIT. It was launched on May 8, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FRI or WPC.
Key characteristics
| FRI | WPC | |
|---|---|---|
| YTD Return | 14.37% | -8.39% |
| 1Y Return | 35.58% | 10.83% |
| 3Y Return (Ann) | 1.20% | -3.51% |
| 5Y Return (Ann) | 5.33% | -1.64% |
| 10Y Return (Ann) | 6.04% | 4.60% |
| Sharpe Ratio | 1.97 | 0.44 |
| Sortino Ratio | 2.84 | 0.77 |
| Omega Ratio | 1.35 | 1.09 |
| Calmar Ratio | 1.19 | 0.29 |
| Martin Ratio | 9.24 | 0.84 |
| Ulcer Index | 3.61% | 11.54% |
| Daily Std Dev | 16.92% | 21.81% |
| Max Drawdown | -71.95% | -52.45% |
| Current Drawdown | -2.36% | -25.63% |
Correlation
The correlation between FRI and WPC is 0.63, 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
FRI vs. WPC - Performance Comparison
In the year-to-date period, FRI achieves a 14.37% return, which is significantly higher than WPC's -8.39% return. Over the past 10 years, FRI has outperformed WPC with an annualized return of 6.04%, while WPC has yielded a comparatively lower 4.60% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
FRI vs. WPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust S&P REIT Index Fund (FRI) and W. P. Carey Inc. (WPC). 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.
Dividends
FRI vs. WPC - Dividend Comparison
FRI's dividend yield for the trailing twelve months is around 2.57%, less than WPC's 6.12% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FRI First Trust S&P REIT Index Fund | 2.57% | 3.24% | 2.51% | 1.44% | 3.08% | 2.28% | 3.21% | 2.82% | 3.27% | 2.66% | 2.07% | 3.10% |
WPC W. P. Carey Inc. | 6.12% | 6.17% | 5.43% | 5.13% | 5.91% | 5.17% | 6.26% | 5.82% | 6.65% | 6.49% | 5.26% | 5.71% |
Drawdowns
FRI vs. WPC - Drawdown Comparison
The maximum FRI drawdown since its inception was -71.95%, which is greater than WPC's maximum drawdown of -52.45%. Use the drawdown chart below to compare losses from any high point for FRI and WPC. For additional features, visit the drawdowns tool.
Volatility
FRI vs. WPC - Volatility Comparison
First Trust S&P REIT Index Fund (FRI) has a higher volatility of 5.02% compared to W. P. Carey Inc. (WPC) at 4.76%. This indicates that FRI's price experiences larger fluctuations and is considered to be riskier than WPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.