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TREG.L vs. ITB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TREG.LITB
YTD Return5.47%19.27%
1Y Return24.32%69.08%
3Y Return (Ann)53.77%19.77%
5Y Return (Ann)30.91%22.80%
10Y Return (Ann)15.17%18.19%
Sharpe Ratio1.782.54
Sortino Ratio2.633.38
Omega Ratio1.331.42
Calmar Ratio0.943.52
Martin Ratio7.6111.82
Ulcer Index3.36%5.78%
Daily Std Dev14.39%26.94%
Max Drawdown-44.32%-86.53%
Current Drawdown-10.55%-6.49%

Correlation

-0.50.00.51.00.4

The correlation between TREG.L and ITB is 0.39, 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

TREG.L vs. ITB - Performance Comparison

In the year-to-date period, TREG.L achieves a 5.47% return, which is significantly lower than ITB's 19.27% return. Over the past 10 years, TREG.L has underperformed ITB with an annualized return of 15.17%, while ITB has yielded a comparatively higher 18.19% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%MayJuneJulyAugustSeptemberOctober
15.89%
16.68%
TREG.L
ITB

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TREG.L vs. ITB - Expense Ratio Comparison

TREG.L has a 0.25% expense ratio, which is lower than ITB's 0.42% expense ratio.


ITB
iShares U.S. Home Construction ETF
Expense ratio chart for ITB: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for TREG.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

TREG.L vs. ITB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Global Real Estate UCITS ETF (TREG.L) and iShares U.S. Home Construction ETF (ITB). 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.


TREG.L
Sharpe ratio
The chart of Sharpe ratio for TREG.L, currently valued at 1.42, compared to the broader market-2.000.002.004.006.001.42
Sortino ratio
The chart of Sortino ratio for TREG.L, currently valued at 2.19, compared to the broader market0.005.0010.002.19
Omega ratio
The chart of Omega ratio for TREG.L, currently valued at 1.28, compared to the broader market1.001.502.002.503.003.501.28
Calmar ratio
The chart of Calmar ratio for TREG.L, currently valued at 0.75, compared to the broader market0.005.0010.0015.000.75
Martin ratio
The chart of Martin ratio for TREG.L, currently valued at 5.89, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.89
ITB
Sharpe ratio
The chart of Sharpe ratio for ITB, currently valued at 1.88, compared to the broader market-2.000.002.004.006.001.88
Sortino ratio
The chart of Sortino ratio for ITB, currently valued at 2.65, compared to the broader market0.005.0010.002.65
Omega ratio
The chart of Omega ratio for ITB, currently valued at 1.33, compared to the broader market1.001.502.002.503.003.501.33
Calmar ratio
The chart of Calmar ratio for ITB, currently valued at 3.16, compared to the broader market0.005.0010.0015.003.16
Martin ratio
The chart of Martin ratio for ITB, currently valued at 8.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.39

TREG.L vs. ITB - Sharpe Ratio Comparison

The current TREG.L Sharpe Ratio is 1.78, which is comparable to the ITB Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of TREG.L and ITB, 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 Ratio0.000.501.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.42
1.88
TREG.L
ITB

Dividends

TREG.L vs. ITB - Dividend Comparison

TREG.L's dividend yield for the trailing twelve months is around 233.56%, more than ITB's 0.38% yield.


TTM20232022202120202019201820172016201520142013
TREG.L
VanEck Global Real Estate UCITS ETF
233.56%258.75%147.22%44.99%4.49%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ITB
iShares U.S. Home Construction ETF
0.38%0.48%0.86%0.37%0.46%0.50%0.63%0.28%0.43%0.34%0.34%0.12%

Drawdowns

TREG.L vs. ITB - Drawdown Comparison

The maximum TREG.L drawdown since its inception was -44.32%, smaller than the maximum ITB drawdown of -86.53%. Use the drawdown chart below to compare losses from any high point for TREG.L and ITB. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.87%
-6.49%
TREG.L
ITB

Volatility

TREG.L vs. ITB - Volatility Comparison

The current volatility for VanEck Global Real Estate UCITS ETF (TREG.L) is 2.89%, while iShares U.S. Home Construction ETF (ITB) has a volatility of 6.78%. This indicates that TREG.L experiences smaller price fluctuations and is considered to be less risky than ITB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%MayJuneJulyAugustSeptemberOctober
2.89%
6.78%
TREG.L
ITB