FRI vs. WPC
FRI (First Trust S&P REIT Index Fund) is REIT fund tracking the S&P United States REIT, while WPC (W. P. Carey Inc.) is a stock. Over the past 10 years, FRI returned 5.93%/yr vs 7.19%/yr for WPC. A 0.63 correlation means they provide meaningful diversification when combined.
Performance
FRI vs. WPC - Performance Comparison
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Returns By Period
In the year-to-date period, FRI achieves a 16.71% return, which is significantly higher than WPC's 13.90% return. Over the past 10 years, FRI has underperformed WPC with an annualized return of 5.93%, while WPC has yielded a comparatively higher 7.19% annualized return.
FRI
- 1D
- 1.36%
- 1M
- 1.57%
- YTD
- 16.71%
- 6M
- 17.19%
- 1Y
- 17.99%
- 3Y*
- 13.61%
- 5Y*
- 5.21%
- 10Y*
- 5.93%
WPC
- 1D
- 1.22%
- 1M
- -2.93%
- YTD
- 13.90%
- 6M
- 15.87%
- 1Y
- 18.48%
- 3Y*
- 10.87%
- 5Y*
- 5.43%
- 10Y*
- 7.19%
FRI vs. WPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FRI First Trust S&P REIT Index Fund | 16.71% | 2.80% | 7.84% | 13.33% | -24.66% | 42.55% | -7.90% | 23.67% | -4.28% | 3.86% |
WPC W. P. Carey Inc. | 13.90% | 24.99% | -10.59% | -7.93% | 0.47% | 22.88% | -5.99% | 28.84% | 1.08% | 25.68% |
Correlation
The correlation between FRI and WPC is 0.67, 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 | 0.67 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since May 10, 2007 | 0.63 |
The correlation between FRI and WPC shifts across timeframes, from 0.63 (all time) to 0.77 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
FRI vs. WPC — Risk / Return Rank
FRI
WPC
FRI vs. WPC - Risk-Adjusted Trends 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.
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.
| FRI | WPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.24 | ||
| Sortino ratioReturn per unit of downside risk | +0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.20 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.39 | 1.91 | +0.48 |
| Martin ratioReturn relative to average drawdown | 7.53 | 5.66 | +1.87 |
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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.
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Drawdown Indicators
| FRI | WPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -71.95% | -52.45% | -19.50% |
Max Drawdown (1Y)Largest decline over 1 year | -7.57% | -9.71% | +2.14% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -27.07% | +8.17% |
Max Drawdown (5Y)Largest decline over 5 years | -31.21% | -36.81% | +5.60% |
Max Drawdown (10Y)Largest decline over 10 years | -44.16% | -52.45% | +8.29% |
Current DrawdownCurrent decline from peak | -0.25% | -5.75% | +5.50% |
Average DrawdownAverage peak-to-trough decline | -13.67% | -10.26% | -3.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.40% | 3.28% | -0.88% |
Volatility
FRI vs. WPC - Volatility Comparison
The current volatility for First Trust S&P REIT Index Fund (FRI) is 5.30%, while W. P. Carey Inc. (WPC) has a volatility of 7.24%. This indicates that FRI experiences smaller price fluctuations and is considered to be less risky than WPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FRI | WPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.30% | 7.24% | -1.94% |
Volatility (6M)Calculated over the trailing 6-month period | 9.99% | 13.25% | -3.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.70% | 17.22% | -3.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.69% | 20.78% | -2.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.10% | 25.86% | -4.76% |
Dividends
FRI vs. WPC - Dividend Comparison
FRI's dividend yield for the trailing twelve months is around 2.49%, less than WPC's 5.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FRI First Trust S&P REIT Index Fund | 2.49% | 2.99% | 3.33% | 3.24% | 2.52% | 1.44% | 3.08% | 2.28% | 3.21% | 2.82% | 3.27% | 2.66% |
WPC W. P. Carey Inc. | 5.06% | 5.62% | 6.41% | 7.93% | 5.43% | 5.12% | 5.91% | 5.17% | 6.26% | 7.26% | 6.65% | 6.48% |
Frequently Asked Questions
FRI and WPC have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WPC has higher volatility (7.24%) compared to FRI (5.30%). In terms of maximum drawdown, FRI dropped -71.95% vs WPC's -52.45%.
FRI currently has the higher Sharpe Ratio (1.32 vs 1.08), 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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