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FRT vs. VNQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FRT and VNQ is 0.54, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

FRT vs. VNQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federal Realty Investment Trust (FRT) and Vanguard Real Estate ETF (VNQ). The values are adjusted to include any dividend payments, if applicable.

300.00%350.00%400.00%NovemberDecember2025FebruaryMarchApril
338.77%
325.43%
FRT
VNQ

Key characteristics

Sharpe Ratio

FRT:

-0.19

VNQ:

0.70

Sortino Ratio

FRT:

-0.12

VNQ:

1.05

Omega Ratio

FRT:

0.98

VNQ:

1.14

Calmar Ratio

FRT:

-0.14

VNQ:

0.51

Martin Ratio

FRT:

-0.53

VNQ:

2.38

Ulcer Index

FRT:

8.15%

VNQ:

5.31%

Daily Std Dev

FRT:

22.58%

VNQ:

18.16%

Max Drawdown

FRT:

-57.42%

VNQ:

-73.07%

Current Drawdown

FRT:

-22.86%

VNQ:

-14.68%

Returns By Period

In the year-to-date period, FRT achieves a -13.89% return, which is significantly lower than VNQ's -1.32% return. Over the past 10 years, FRT has underperformed VNQ with an annualized return of -0.07%, while VNQ has yielded a comparatively higher 4.91% annualized return.


FRT

YTD

-13.89%

1M

-1.37%

6M

-14.20%

1Y

-3.71%

5Y*

9.73%

10Y*

-0.07%

VNQ

YTD

-1.32%

1M

-3.14%

6M

-7.30%

1Y

13.04%

5Y*

6.98%

10Y*

4.91%

*Annualized

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Risk-Adjusted Performance

FRT vs. VNQ — Risk-Adjusted Performance Rank

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

FRT
The Risk-Adjusted Performance Rank of FRT is 3939
Overall Rank
The Sharpe Ratio Rank of FRT is 4242
Sharpe Ratio Rank
The Sortino Ratio Rank of FRT is 3434
Sortino Ratio Rank
The Omega Ratio Rank of FRT is 3434
Omega Ratio Rank
The Calmar Ratio Rank of FRT is 4343
Calmar Ratio Rank
The Martin Ratio Rank of FRT is 4141
Martin Ratio Rank

VNQ
The Risk-Adjusted Performance Rank of VNQ is 6767
Overall Rank
The Sharpe Ratio Rank of VNQ is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of VNQ is 6969
Sortino Ratio Rank
The Omega Ratio Rank of VNQ is 6767
Omega Ratio Rank
The Calmar Ratio Rank of VNQ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of VNQ is 6767
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.

FRT vs. VNQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Federal Realty Investment Trust (FRT) and Vanguard Real Estate ETF (VNQ). 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 chart of Sharpe ratio for FRT, currently valued at -0.19, compared to the broader market-2.00-1.000.001.002.003.00
FRT: -0.19
VNQ: 0.70
The chart of Sortino ratio for FRT, currently valued at -0.12, compared to the broader market-6.00-4.00-2.000.002.004.00
FRT: -0.12
VNQ: 1.05
The chart of Omega ratio for FRT, currently valued at 0.98, compared to the broader market0.501.001.502.00
FRT: 0.98
VNQ: 1.14
The chart of Calmar ratio for FRT, currently valued at -0.14, compared to the broader market0.001.002.003.004.005.00
FRT: -0.14
VNQ: 0.51
The chart of Martin ratio for FRT, currently valued at -0.53, compared to the broader market-5.000.005.0010.0015.0020.00
FRT: -0.53
VNQ: 2.38

The current FRT Sharpe Ratio is -0.19, which is lower than the VNQ Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of FRT and VNQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
-0.19
0.70
FRT
VNQ

Dividends

FRT vs. VNQ - Dividend Comparison

FRT's dividend yield for the trailing twelve months is around 4.65%, more than VNQ's 4.18% yield.


TTM20242023202220212020201920182017201620152014
FRT
Federal Realty Investment Trust
4.65%2.93%4.21%4.26%3.12%4.96%3.22%3.42%2.98%2.70%2.48%2.47%
VNQ
Vanguard Real Estate ETF
4.18%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%

Drawdowns

FRT vs. VNQ - Drawdown Comparison

The maximum FRT drawdown since its inception was -57.42%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for FRT and VNQ. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%NovemberDecember2025FebruaryMarchApril
-22.86%
-14.68%
FRT
VNQ

Volatility

FRT vs. VNQ - Volatility Comparison

Federal Realty Investment Trust (FRT) has a higher volatility of 13.32% compared to Vanguard Real Estate ETF (VNQ) at 10.36%. This indicates that FRT's price experiences larger fluctuations and is considered to be riskier than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.32%
10.36%
FRT
VNQ