PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
KBWY vs. VNQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between KBWY and VNQ is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

KBWY vs. VNQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco KBW Premium Yield Equity REIT ETF (KBWY) and Vanguard Real Estate ETF (VNQ). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
86.90%
183.92%
KBWY
VNQ

Key characteristics

Sharpe Ratio

KBWY:

-0.02

VNQ:

0.39

Sortino Ratio

KBWY:

0.11

VNQ:

0.62

Omega Ratio

KBWY:

1.01

VNQ:

1.08

Calmar Ratio

KBWY:

-0.01

VNQ:

0.24

Martin Ratio

KBWY:

-0.03

VNQ:

1.32

Ulcer Index

KBWY:

9.10%

VNQ:

4.71%

Daily Std Dev

KBWY:

19.54%

VNQ:

16.11%

Max Drawdown

KBWY:

-57.68%

VNQ:

-73.07%

Current Drawdown

KBWY:

-18.56%

VNQ:

-14.13%

Returns By Period

In the year-to-date period, KBWY achieves a -2.34% return, which is significantly lower than VNQ's 4.10% return. Over the past 10 years, KBWY has underperformed VNQ with an annualized return of 0.71%, while VNQ has yielded a comparatively higher 4.91% annualized return.


KBWY

YTD

-2.34%

1M

-6.02%

6M

8.27%

1Y

-1.01%

5Y*

-2.65%

10Y*

0.71%

VNQ

YTD

4.10%

1M

-6.48%

6M

8.61%

1Y

4.87%

5Y*

3.24%

10Y*

4.91%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


KBWY vs. VNQ - Expense Ratio Comparison

KBWY has a 0.35% expense ratio, which is higher than VNQ's 0.12% expense ratio.


KBWY
Invesco KBW Premium Yield Equity REIT ETF
Expense ratio chart for KBWY: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

KBWY vs. VNQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco KBW Premium Yield Equity REIT ETF (KBWY) 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.


Sharpe ratio
The chart of Sharpe ratio for KBWY, currently valued at -0.02, compared to the broader market0.002.004.00-0.020.39
The chart of Sortino ratio for KBWY, currently valued at 0.11, compared to the broader market-2.000.002.004.006.008.0010.000.110.62
The chart of Omega ratio for KBWY, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.08
The chart of Calmar ratio for KBWY, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.010.24
The chart of Martin ratio for KBWY, currently valued at -0.03, compared to the broader market0.0020.0040.0060.0080.00100.00-0.031.32
KBWY
VNQ

The current KBWY Sharpe Ratio is -0.02, which is lower than the VNQ Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of KBWY 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.02
0.39
KBWY
VNQ

Dividends

KBWY vs. VNQ - Dividend Comparison

KBWY's dividend yield for the trailing twelve months is around 7.88%, more than VNQ's 2.89% yield.


TTM20232022202120202019201820172016201520142013
KBWY
Invesco KBW Premium Yield Equity REIT ETF
7.88%7.90%7.41%5.06%10.35%6.19%8.64%7.25%6.55%5.72%4.57%4.85%
VNQ
Vanguard Real Estate ETF
2.89%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

Drawdowns

KBWY vs. VNQ - Drawdown Comparison

The maximum KBWY drawdown since its inception was -57.68%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for KBWY and VNQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-18.56%
-14.13%
KBWY
VNQ

Volatility

KBWY vs. VNQ - Volatility Comparison

Invesco KBW Premium Yield Equity REIT ETF (KBWY) and Vanguard Real Estate ETF (VNQ) have volatilities of 5.58% and 5.65%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.58%
5.65%
KBWY
VNQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab