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

Correlation

The correlation between NFRA and GII is 0.86, 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.


-0.50.00.51.00.9

Performance

NFRA vs. GII - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX Global Broad Infrastructure Index Fund (NFRA) and SPDR S&P Global Infrastructure ETF (GII). The values are adjusted to include any dividend payments, if applicable.

70.00%80.00%90.00%100.00%110.00%JulyAugustSeptemberOctoberNovemberDecember
80.67%
96.40%
NFRA
GII

Key characteristics

Sharpe Ratio

NFRA:

0.53

GII:

1.05

Sortino Ratio

NFRA:

0.78

GII:

1.46

Omega Ratio

NFRA:

1.10

GII:

1.18

Calmar Ratio

NFRA:

0.65

GII:

1.57

Martin Ratio

NFRA:

2.59

GII:

5.41

Ulcer Index

NFRA:

2.14%

GII:

2.31%

Daily Std Dev

NFRA:

10.59%

GII:

11.93%

Max Drawdown

NFRA:

-32.49%

GII:

-50.98%

Current Drawdown

NFRA:

-8.50%

GII:

-7.31%

Returns By Period

In the year-to-date period, NFRA achieves a 3.85% return, which is significantly lower than GII's 11.34% return. Over the past 10 years, NFRA has underperformed GII with an annualized return of 4.51%, while GII has yielded a comparatively higher 5.47% annualized return.


NFRA

YTD

3.85%

1M

-5.33%

6M

3.84%

1Y

4.89%

5Y*

2.71%

10Y*

4.51%

GII

YTD

11.34%

1M

-5.16%

6M

6.95%

1Y

11.70%

5Y*

4.89%

10Y*

5.47%

Compare stocks, funds, or ETFs

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


NFRA vs. GII - Expense Ratio Comparison

NFRA has a 0.47% expense ratio, which is higher than GII's 0.40% expense ratio.


NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund
Expense ratio chart for NFRA: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
Expense ratio chart for GII: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

NFRA vs. GII - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX Global Broad Infrastructure Index Fund (NFRA) and SPDR S&P Global Infrastructure ETF (GII). 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 NFRA, currently valued at 0.53, compared to the broader market0.002.004.000.531.05
The chart of Sortino ratio for NFRA, currently valued at 0.78, compared to the broader market-2.000.002.004.006.008.0010.000.781.46
The chart of Omega ratio for NFRA, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.18
The chart of Calmar ratio for NFRA, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.651.57
The chart of Martin ratio for NFRA, currently valued at 2.59, compared to the broader market0.0020.0040.0060.0080.00100.002.595.41
NFRA
GII

The current NFRA Sharpe Ratio is 0.53, which is lower than the GII Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of NFRA and GII, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.53
1.05
NFRA
GII

Dividends

NFRA vs. GII - Dividend Comparison

NFRA's dividend yield for the trailing twelve months is around 1.89%, less than GII's 3.31% yield.


TTM20232022202120202019201820172016201520142013
NFRA
FlexShares STOXX Global Broad Infrastructure Index Fund
1.89%2.57%2.28%2.71%2.22%2.27%3.06%2.81%2.98%2.47%3.01%0.14%
GII
SPDR S&P Global Infrastructure ETF
3.31%5.94%3.07%3.88%2.66%3.39%3.31%3.38%3.11%3.54%3.12%4.12%

Drawdowns

NFRA vs. GII - Drawdown Comparison

The maximum NFRA drawdown since its inception was -32.49%, smaller than the maximum GII drawdown of -50.98%. Use the drawdown chart below to compare losses from any high point for NFRA and GII. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.50%
-7.31%
NFRA
GII

Volatility

NFRA vs. GII - Volatility Comparison

The current volatility for FlexShares STOXX Global Broad Infrastructure Index Fund (NFRA) is 3.41%, while SPDR S&P Global Infrastructure ETF (GII) has a volatility of 4.09%. This indicates that NFRA experiences smaller price fluctuations and is considered to be less risky than GII based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
3.41%
4.09%
NFRA
GII
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