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HR vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HRSPY
YTD Return10.17%26.77%
1Y Return35.98%37.43%
3Y Return (Ann)-8.33%10.15%
5Y Return (Ann)0.62%15.86%
10Y Return (Ann)6.64%13.33%
Sharpe Ratio1.253.06
Sortino Ratio1.844.08
Omega Ratio1.231.58
Calmar Ratio0.724.44
Martin Ratio3.3820.11
Ulcer Index9.96%1.85%
Daily Std Dev26.89%12.18%
Max Drawdown-46.94%-55.19%
Current Drawdown-23.92%-0.31%

Correlation

-0.50.00.51.00.3

The correlation between HR and SPY is 0.35, 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

HR vs. SPY - Performance Comparison

In the year-to-date period, HR achieves a 10.17% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, HR has underperformed SPY with an annualized return of 6.64%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.72%
14.78%
HR
SPY

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Risk-Adjusted Performance

HR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Healthcare Realty Trust Incorporated (HR) and SPDR S&P 500 ETF (SPY). 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.


HR
Sharpe ratio
The chart of Sharpe ratio for HR, currently valued at 1.25, compared to the broader market-4.00-2.000.002.004.001.25
Sortino ratio
The chart of Sortino ratio for HR, currently valued at 1.84, compared to the broader market-4.00-2.000.002.004.006.001.84
Omega ratio
The chart of Omega ratio for HR, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for HR, currently valued at 0.72, compared to the broader market0.002.004.006.000.72
Martin ratio
The chart of Martin ratio for HR, currently valued at 3.38, compared to the broader market0.0010.0020.0030.003.38
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-4.00-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-4.00-2.000.002.004.006.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.002.004.006.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0010.0020.0030.0020.11

HR vs. SPY - Sharpe Ratio Comparison

The current HR Sharpe Ratio is 1.25, which is lower than the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of HR and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.25
3.06
HR
SPY

Dividends

HR vs. SPY - Dividend Comparison

HR's dividend yield for the trailing twelve months is around 7.07%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
HR
Healthcare Realty Trust Incorporated
7.07%7.20%36.51%7.44%4.36%8.09%9.60%8.02%8.21%8.79%1,113,586.82%2,032,520.32%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

HR vs. SPY - Drawdown Comparison

The maximum HR drawdown since its inception was -46.94%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for HR and SPY. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-23.92%
-0.31%
HR
SPY

Volatility

HR vs. SPY - Volatility Comparison

Healthcare Realty Trust Incorporated (HR) has a higher volatility of 8.40% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that HR's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
8.40%
3.88%
HR
SPY