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FRI vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FRI and ^TNX 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. ^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.

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Key characteristics

Sharpe Ratio

FRI:

0.60

^TNX:

0.03

Sortino Ratio

FRI:

0.68

^TNX:

0.30

Omega Ratio

FRI:

1.09

^TNX:

1.03

Calmar Ratio

FRI:

0.38

^TNX:

0.04

Martin Ratio

FRI:

1.30

^TNX:

0.20

Ulcer Index

FRI:

5.88%

^TNX:

10.66%

Daily Std Dev

FRI:

18.52%

^TNX:

22.18%

Max Drawdown

FRI:

-71.96%

^TNX:

-93.78%

Current Drawdown

FRI:

-10.16%

^TNX:

-43.80%

Returns By Period

In the year-to-date period, FRI achieves a -2.40% return, which is significantly lower than ^TNX's -1.40% return. Over the past 10 years, FRI has underperformed ^TNX with an annualized return of 4.95%, while ^TNX has yielded a comparatively higher 7.75% annualized return.


FRI

YTD

-2.40%

1M

0.38%

6M

-8.21%

1Y

10.89%

3Y*

2.47%

5Y*

9.30%

10Y*

4.95%

^TNX

YTD

-1.40%

1M

4.74%

6M

2.24%

1Y

0.94%

3Y*

17.78%

5Y*

47.00%

10Y*

7.75%

*Annualized

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First Trust S&P REIT Index Fund

Treasury Yield 10 Years

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

FRI vs. ^TNX — Risk-Adjusted Performance Rank

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

FRI
The Risk-Adjusted Performance Rank of FRI is 5050
Overall Rank
The Sharpe Ratio Rank of FRI is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of FRI is 4747
Sortino Ratio Rank
The Omega Ratio Rank of FRI is 4545
Omega Ratio Rank
The Calmar Ratio Rank of FRI is 5050
Calmar Ratio Rank
The Martin Ratio Rank of FRI is 4747
Martin Ratio Rank

^TNX
The Risk-Adjusted Performance Rank of ^TNX is 2828
Overall Rank
The Sharpe Ratio Rank of ^TNX is 2727
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TNX is 2929
Sortino Ratio Rank
The Omega Ratio Rank of ^TNX is 2828
Omega Ratio Rank
The Calmar Ratio Rank of ^TNX is 2828
Calmar Ratio Rank
The Martin Ratio Rank of ^TNX is 2929
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current FRI Sharpe Ratio is 0.60, which is higher than the ^TNX Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of FRI and ^TNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

FRI vs. ^TNX - Drawdown Comparison

The maximum FRI drawdown since its inception was -71.96%, 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.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

FRI vs. ^TNX - Volatility Comparison

The current volatility for First Trust S&P REIT Index Fund (FRI) is 4.57%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.74%. 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.


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