FRI vs. ^TNX
Compare and contrast key facts about First Trust S&P REIT Index Fund (FRI) and Treasury Yield 10 Years (^TNX).
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 ^TNX.
Key characteristics
| FRI | ^TNX | |
|---|---|---|
| YTD Return | -7.15% | 21.73% |
| 1Y Return | 5.51% | 37.12% |
| 3Y Return (Ann) | -0.90% | 44.32% |
| 5Y Return (Ann) | 2.22% | 13.47% |
| 10Y Return (Ann) | 4.91% | 5.82% |
| Sharpe Ratio | 0.25 | 1.48 |
| Daily Std Dev | 18.61% | 26.10% |
| Max Drawdown | -71.95% | -93.78% |
| Current Drawdown | -20.73% | -41.34% |
Correlation
The correlation between FRI and ^TNX is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
FRI vs. ^TNX - Performance Comparison
In the year-to-date period, FRI achieves a -7.15% return, which is significantly lower than ^TNX's 21.73% return. Over the past 10 years, FRI has underperformed ^TNX with an annualized return of 4.91%, while ^TNX has yielded a comparatively higher 5.82% 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. ^TNX - Risk-Adjusted Performance 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.
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. For additional features, visit the drawdowns tool.
Volatility
FRI vs. ^TNX - Volatility Comparison
The current volatility for First Trust S&P REIT Index Fund (FRI) is 6.41%, while Treasury Yield 10 Years (^TNX) has a volatility of 7.19%. 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.