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TFI vs. DLR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TFIDLR
YTD Return0.34%39.21%
1Y Return6.81%46.83%
3Y Return (Ann)-1.49%9.45%
5Y Return (Ann)0.38%13.52%
10Y Return (Ann)1.84%14.66%
Sharpe Ratio1.661.82
Sortino Ratio2.442.55
Omega Ratio1.331.34
Calmar Ratio0.632.15
Martin Ratio5.729.58
Ulcer Index1.26%5.03%
Daily Std Dev4.35%26.52%
Max Drawdown-15.49%-56.80%
Current Drawdown-5.46%-0.25%

Correlation

-0.50.00.51.00.1

The correlation between TFI and DLR is 0.06, 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

TFI vs. DLR - Performance Comparison

In the year-to-date period, TFI achieves a 0.34% return, which is significantly lower than DLR's 39.21% return. Over the past 10 years, TFI has underperformed DLR with an annualized return of 1.84%, while DLR has yielded a comparatively higher 14.66% annualized 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%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
1.58%
29.82%
TFI
DLR

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Risk-Adjusted Performance

TFI vs. DLR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) and Digital Realty Trust, Inc. (DLR). 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.


TFI
Sharpe ratio
The chart of Sharpe ratio for TFI, currently valued at 1.66, compared to the broader market-2.000.002.004.006.001.66
Sortino ratio
The chart of Sortino ratio for TFI, currently valued at 2.44, compared to the broader market0.005.0010.002.44
Omega ratio
The chart of Omega ratio for TFI, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for TFI, currently valued at 0.63, compared to the broader market0.005.0010.0015.000.63
Martin ratio
The chart of Martin ratio for TFI, currently valued at 5.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.72
DLR
Sharpe ratio
The chart of Sharpe ratio for DLR, currently valued at 1.82, compared to the broader market-2.000.002.004.006.001.82
Sortino ratio
The chart of Sortino ratio for DLR, currently valued at 2.55, compared to the broader market0.005.0010.002.55
Omega ratio
The chart of Omega ratio for DLR, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for DLR, currently valued at 2.15, compared to the broader market0.005.0010.0015.002.15
Martin ratio
The chart of Martin ratio for DLR, currently valued at 9.58, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.58

TFI vs. DLR - Sharpe Ratio Comparison

The current TFI Sharpe Ratio is 1.66, which is comparable to the DLR Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of TFI and DLR, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.66
1.82
TFI
DLR

Dividends

TFI vs. DLR - Dividend Comparison

TFI's dividend yield for the trailing twelve months is around 2.94%, more than DLR's 2.67% yield.


TTM20232022202120202019201820172016201520142013
TFI
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF
2.94%2.41%1.87%1.71%2.04%2.14%2.25%2.16%2.39%2.40%2.37%3.35%
DLR
Digital Realty Trust, Inc.
2.67%3.63%4.87%2.62%3.21%3.61%3.79%3.27%3.58%5.62%5.01%6.35%

Drawdowns

TFI vs. DLR - Drawdown Comparison

The maximum TFI drawdown since its inception was -15.49%, smaller than the maximum DLR drawdown of -56.80%. Use the drawdown chart below to compare losses from any high point for TFI and DLR. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.46%
-0.25%
TFI
DLR

Volatility

TFI vs. DLR - Volatility Comparison

The current volatility for SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) is 2.15%, while Digital Realty Trust, Inc. (DLR) has a volatility of 11.31%. This indicates that TFI experiences smaller price fluctuations and is considered to be less risky than DLR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
2.15%
11.31%
TFI
DLR