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REIT vs. SPYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


REITSPYG
YTD Return13.16%35.25%
1Y Return35.19%46.54%
3Y Return (Ann)2.53%8.21%
Sharpe Ratio1.942.66
Sortino Ratio2.783.40
Omega Ratio1.351.48
Calmar Ratio1.252.75
Martin Ratio8.6214.14
Ulcer Index3.80%3.20%
Daily Std Dev16.87%17.04%
Max Drawdown-29.30%-67.79%
Current Drawdown-1.16%0.00%

Correlation

-0.50.00.51.00.5

The correlation between REIT and SPYG is 0.50, 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.

Performance

REIT vs. SPYG - Performance Comparison

In the year-to-date period, REIT achieves a 13.16% return, which is significantly lower than SPYG's 35.25% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.29%
19.69%
REIT
SPYG

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REIT vs. SPYG - Expense Ratio Comparison

REIT has a 0.68% expense ratio, which is higher than SPYG's 0.04% expense ratio.


REIT
ALPS Active REIT ETF
Expense ratio chart for REIT: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

REIT vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ALPS Active REIT ETF (REIT) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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.


REIT
Sharpe ratio
The chart of Sharpe ratio for REIT, currently valued at 1.94, compared to the broader market-2.000.002.004.001.94
Sortino ratio
The chart of Sortino ratio for REIT, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.0012.002.78
Omega ratio
The chart of Omega ratio for REIT, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for REIT, currently valued at 1.25, compared to the broader market0.005.0010.0015.001.25
Martin ratio
The chart of Martin ratio for REIT, currently valued at 8.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.62
SPYG
Sharpe ratio
The chart of Sharpe ratio for SPYG, currently valued at 2.66, compared to the broader market-2.000.002.004.002.66
Sortino ratio
The chart of Sortino ratio for SPYG, currently valued at 3.40, compared to the broader market-2.000.002.004.006.008.0010.0012.003.40
Omega ratio
The chart of Omega ratio for SPYG, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SPYG, currently valued at 2.75, compared to the broader market0.005.0010.0015.002.75
Martin ratio
The chart of Martin ratio for SPYG, currently valued at 14.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.14

REIT vs. SPYG - Sharpe Ratio Comparison

The current REIT Sharpe Ratio is 1.94, which is comparable to the SPYG Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of REIT and SPYG, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.94
2.66
REIT
SPYG

Dividends

REIT vs. SPYG - Dividend Comparison

REIT's dividend yield for the trailing twelve months is around 3.09%, more than SPYG's 0.65% yield.


TTM20232022202120202019201820172016201520142013
REIT
ALPS Active REIT ETF
3.09%3.13%2.81%4.70%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.65%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

REIT vs. SPYG - Drawdown Comparison

The maximum REIT drawdown since its inception was -29.30%, smaller than the maximum SPYG drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for REIT and SPYG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.16%
0
REIT
SPYG

Volatility

REIT vs. SPYG - Volatility Comparison

The current volatility for ALPS Active REIT ETF (REIT) is 4.93%, while SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 5.22%. This indicates that REIT experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
5.22%
REIT
SPYG