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

Correlation

The correlation between RWT and SPY is 0.42, 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: 0.4

Performance

RWT vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Redwood Trust, Inc. (RWT) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%NovemberDecember2025FebruaryMarchApril
350.05%
1,560.38%
RWT
SPY

Key characteristics

Sharpe Ratio

RWT:

0.42

SPY:

0.51

Sortino Ratio

RWT:

0.88

SPY:

0.86

Omega Ratio

RWT:

1.11

SPY:

1.13

Calmar Ratio

RWT:

0.21

SPY:

0.55

Martin Ratio

RWT:

1.14

SPY:

2.26

Ulcer Index

RWT:

12.00%

SPY:

4.55%

Daily Std Dev

RWT:

32.25%

SPY:

20.08%

Max Drawdown

RWT:

-88.91%

SPY:

-55.19%

Current Drawdown

RWT:

-58.44%

SPY:

-9.89%

Returns By Period

In the year-to-date period, RWT achieves a -5.26% return, which is significantly higher than SPY's -5.76% return. Over the past 10 years, RWT has underperformed SPY with an annualized return of -2.01%, while SPY has yielded a comparatively higher 12.16% annualized return.


RWT

YTD

-5.26%

1M

-0.00%

6M

-15.48%

1Y

16.42%

5Y*

20.05%

10Y*

-2.01%

SPY

YTD

-5.76%

1M

-0.90%

6M

-4.30%

1Y

9.72%

5Y*

15.76%

10Y*

12.16%

*Annualized

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Risk-Adjusted Performance

RWT vs. SPY — Risk-Adjusted Performance Rank

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

RWT
The Risk-Adjusted Performance Rank of RWT is 6464
Overall Rank
The Sharpe Ratio Rank of RWT is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of RWT is 6363
Sortino Ratio Rank
The Omega Ratio Rank of RWT is 6161
Omega Ratio Rank
The Calmar Ratio Rank of RWT is 6363
Calmar Ratio Rank
The Martin Ratio Rank of RWT is 6666
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6565
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.

RWT vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Redwood Trust, Inc. (RWT) 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.


The chart of Sharpe ratio for RWT, currently valued at 0.42, compared to the broader market-2.00-1.000.001.002.003.00
RWT: 0.42
SPY: 0.51
The chart of Sortino ratio for RWT, currently valued at 0.88, compared to the broader market-6.00-4.00-2.000.002.004.00
RWT: 0.88
SPY: 0.86
The chart of Omega ratio for RWT, currently valued at 1.11, compared to the broader market0.501.001.502.00
RWT: 1.11
SPY: 1.13
The chart of Calmar ratio for RWT, currently valued at 0.21, compared to the broader market0.001.002.003.004.005.00
RWT: 0.21
SPY: 0.55
The chart of Martin ratio for RWT, currently valued at 1.14, compared to the broader market-5.000.005.0010.0015.0020.00
RWT: 1.14
SPY: 2.26

The current RWT Sharpe Ratio is 0.42, which is comparable to the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of RWT 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.42
0.51
RWT
SPY

Dividends

RWT vs. SPY - Dividend Comparison

RWT's dividend yield for the trailing twelve months is around 11.48%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
RWT
Redwood Trust, Inc.
11.48%10.26%9.58%13.61%5.91%8.26%7.26%7.83%7.56%7.36%8.48%5.69%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

RWT vs. SPY - Drawdown Comparison

The maximum RWT drawdown since its inception was -88.91%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RWT and SPY. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-58.44%
-9.89%
RWT
SPY

Volatility

RWT vs. SPY - Volatility Comparison

Redwood Trust, Inc. (RWT) has a higher volatility of 18.73% compared to SPDR S&P 500 ETF (SPY) at 15.12%. This indicates that RWT'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.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
18.73%
15.12%
RWT
SPY