FRT vs. EWZ
Compare and contrast key facts about Federal Realty Investment Trust (FRT) and iShares MSCI Brazil ETF (EWZ).
EWZ is a passively managed fund by iShares that tracks the performance of the MSCI Brazil 25/50 Index. It was launched on Jul 10, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FRT or EWZ.
Key characteristics
| FRT | EWZ | |
|---|---|---|
| YTD Return | 13.77% | -18.18% |
| 1Y Return | 29.97% | -8.39% |
| 3Y Return (Ann) | 0.25% | 5.99% |
| 5Y Return (Ann) | 1.24% | -1.92% |
| 10Y Return (Ann) | 2.13% | 1.07% |
| Sharpe Ratio | 1.50 | -0.42 |
| Sortino Ratio | 2.19 | -0.47 |
| Omega Ratio | 1.27 | 0.95 |
| Calmar Ratio | 0.93 | -0.18 |
| Martin Ratio | 8.19 | -0.69 |
| Ulcer Index | 3.42% | 12.41% |
| Daily Std Dev | 18.69% | 20.54% |
| Max Drawdown | -57.42% | -77.27% |
| Current Drawdown | -9.06% | -45.02% |
Correlation
The correlation between FRT and EWZ is 0.32, 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
FRT vs. EWZ - Performance Comparison
In the year-to-date period, FRT achieves a 13.77% return, which is significantly higher than EWZ's -18.18% return. Over the past 10 years, FRT has outperformed EWZ with an annualized return of 2.13%, while EWZ has yielded a comparatively lower 1.07% 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
FRT vs. EWZ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Federal Realty Investment Trust (FRT) and iShares MSCI Brazil ETF (EWZ). 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
FRT vs. EWZ - Dividend Comparison
FRT's dividend yield for the trailing twelve months is around 3.85%, less than EWZ's 7.71% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FRT Federal Realty Investment Trust | 3.85% | 4.21% | 4.26% | 3.12% | 4.96% | 3.22% | 3.42% | 2.98% | 2.70% | 2.48% | 2.47% | 2.98% |
EWZ iShares MSCI Brazil ETF | 7.71% | 5.66% | 12.59% | 9.87% | 1.71% | 2.54% | 2.89% | 1.71% | 1.81% | 4.08% | 3.78% | 3.23% |
Drawdowns
FRT vs. EWZ - Drawdown Comparison
The maximum FRT drawdown since its inception was -57.42%, smaller than the maximum EWZ drawdown of -77.27%. Use the drawdown chart below to compare losses from any high point for FRT and EWZ. For additional features, visit the drawdowns tool.
Volatility
FRT vs. EWZ - Volatility Comparison
The current volatility for Federal Realty Investment Trust (FRT) is 5.20%, while iShares MSCI Brazil ETF (EWZ) has a volatility of 5.86%. This indicates that FRT experiences smaller price fluctuations and is considered to be less risky than EWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.