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

Key characteristics


TREG.LQUAL
YTD Return5.47%23.30%
1Y Return24.32%42.64%
3Y Return (Ann)53.77%9.75%
5Y Return (Ann)30.91%15.37%
10Y Return (Ann)15.17%13.25%
Sharpe Ratio1.783.35
Sortino Ratio2.634.58
Omega Ratio1.331.62
Calmar Ratio0.944.01
Martin Ratio7.6121.65
Ulcer Index3.36%1.95%
Daily Std Dev14.39%12.59%
Max Drawdown-44.32%-34.06%
Current Drawdown-10.55%-1.69%

Correlation

-0.50.00.51.00.4

The correlation between TREG.L and QUAL 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.

Performance

TREG.L vs. QUAL - Performance Comparison

In the year-to-date period, TREG.L achieves a 5.47% return, which is significantly lower than QUAL's 23.30% return. Over the past 10 years, TREG.L has outperformed QUAL with an annualized return of 15.17%, while QUAL has yielded a comparatively lower 13.25% 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%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
15.89%
15.32%
TREG.L
QUAL

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TREG.L vs. QUAL - Expense Ratio Comparison

TREG.L has a 0.25% expense ratio, which is higher than QUAL's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TREG.L
VanEck Global Real Estate UCITS ETF
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%
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

TREG.L vs. QUAL - 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 Edge MSCI USA Quality Factor ETF (QUAL). 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
QUAL
Sharpe ratio
The chart of Sharpe ratio for QUAL, currently valued at 2.83, compared to the broader market-2.000.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for QUAL, currently valued at 3.92, compared to the broader market0.005.0010.003.92
Omega ratio
The chart of Omega ratio for QUAL, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for QUAL, currently valued at 4.57, compared to the broader market0.005.0010.0015.004.57
Martin ratio
The chart of Martin ratio for QUAL, currently valued at 17.93, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.93

TREG.L vs. QUAL - Sharpe Ratio Comparison

The current TREG.L Sharpe Ratio is 1.78, which is lower than the QUAL Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of TREG.L and QUAL, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.42
2.83
TREG.L
QUAL

Dividends

TREG.L vs. QUAL - Dividend Comparison

TREG.L's dividend yield for the trailing twelve months is around 233.56%, more than QUAL's 1.00% 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%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.00%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%

Drawdowns

TREG.L vs. QUAL - Drawdown Comparison

The maximum TREG.L drawdown since its inception was -44.32%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for TREG.L and QUAL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.87%
-1.69%
TREG.L
QUAL

Volatility

TREG.L vs. QUAL - Volatility Comparison

VanEck Global Real Estate UCITS ETF (TREG.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL) have volatilities of 2.89% and 2.78%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.89%
2.78%
TREG.L
QUAL