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SJT vs. DGRW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SJT and DGRW is 0.21, 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

SJT vs. DGRW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in San Juan Basin Royalty Trust (SJT) and WisdomTree U.S. Dividend Growth Fund (DGRW). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SJT:

1.26

DGRW:

0.41

Sortino Ratio

SJT:

1.95

DGRW:

0.60

Omega Ratio

SJT:

1.21

DGRW:

1.08

Calmar Ratio

SJT:

0.70

DGRW:

0.34

Martin Ratio

SJT:

5.14

DGRW:

1.26

Ulcer Index

SJT:

10.54%

DGRW:

4.44%

Daily Std Dev

SJT:

48.06%

DGRW:

16.50%

Max Drawdown

SJT:

-92.83%

DGRW:

-32.04%

Current Drawdown

SJT:

-52.27%

DGRW:

-6.22%

Returns By Period

In the year-to-date period, SJT achieves a 78.33% return, which is significantly higher than DGRW's -1.09% return. Over the past 10 years, SJT has underperformed DGRW with an annualized return of 3.25%, while DGRW has yielded a comparatively higher 11.93% annualized return.


SJT

YTD

78.33%

1M

12.52%

6M

68.23%

1Y

64.98%

3Y*

-12.10%

5Y*

31.20%

10Y*

3.25%

DGRW

YTD

-1.09%

1M

3.37%

6M

-5.40%

1Y

6.40%

3Y*

12.19%

5Y*

15.18%

10Y*

11.93%

*Annualized

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San Juan Basin Royalty Trust

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

SJT vs. DGRW — Risk-Adjusted Performance Rank

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

SJT
The Risk-Adjusted Performance Rank of SJT is 8383
Overall Rank
The Sharpe Ratio Rank of SJT is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of SJT is 8585
Sortino Ratio Rank
The Omega Ratio Rank of SJT is 7979
Omega Ratio Rank
The Calmar Ratio Rank of SJT is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SJT is 8787
Martin Ratio Rank

DGRW
The Risk-Adjusted Performance Rank of DGRW is 4545
Overall Rank
The Sharpe Ratio Rank of DGRW is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of DGRW is 4242
Sortino Ratio Rank
The Omega Ratio Rank of DGRW is 4343
Omega Ratio Rank
The Calmar Ratio Rank of DGRW is 4848
Calmar Ratio Rank
The Martin Ratio Rank of DGRW is 4646
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.

SJT vs. DGRW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for San Juan Basin Royalty Trust (SJT) and WisdomTree U.S. Dividend Growth Fund (DGRW). 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 current SJT Sharpe Ratio is 1.26, which is higher than the DGRW Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of SJT and DGRW, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

SJT vs. DGRW - Dividend Comparison

SJT has not paid dividends to shareholders, while DGRW's dividend yield for the trailing twelve months is around 1.53%.


TTM20242023202220212020201920182017201620152014
SJT
San Juan Basin Royalty Trust
0.00%2.89%21.81%14.58%12.67%5.96%6.83%8.04%10.19%4.51%8.81%9.01%
DGRW
WisdomTree U.S. Dividend Growth Fund
1.53%1.55%1.74%2.15%1.78%1.91%2.20%2.42%1.73%2.13%2.18%1.79%

Drawdowns

SJT vs. DGRW - Drawdown Comparison

The maximum SJT drawdown since its inception was -92.83%, which is greater than DGRW's maximum drawdown of -32.04%. Use the drawdown chart below to compare losses from any high point for SJT and DGRW.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

SJT vs. DGRW - Volatility Comparison

San Juan Basin Royalty Trust (SJT) has a higher volatility of 12.04% compared to WisdomTree U.S. Dividend Growth Fund (DGRW) at 3.96%. This indicates that SJT's price experiences larger fluctuations and is considered to be riskier than DGRW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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