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VPN vs. XLRE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VPNXLRE
YTD Return19.07%11.29%
1Y Return34.13%31.02%
3Y Return (Ann)0.96%0.00%
Sharpe Ratio1.901.91
Sortino Ratio2.742.72
Omega Ratio1.331.34
Calmar Ratio1.251.08
Martin Ratio7.177.83
Ulcer Index4.78%4.15%
Daily Std Dev18.07%17.03%
Max Drawdown-39.01%-38.83%
Current Drawdown-2.48%-7.77%

Correlation

-0.50.00.51.00.7

The correlation between VPN and XLRE is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VPN vs. XLRE - Performance Comparison

In the year-to-date period, VPN achieves a 19.07% return, which is significantly higher than XLRE's 11.29% 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%JuneJulyAugustSeptemberOctoberNovember
18.83%
15.98%
VPN
XLRE

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VPN vs. XLRE - Expense Ratio Comparison

VPN has a 0.50% expense ratio, which is higher than XLRE's 0.13% expense ratio.


VPN
Global X Data Center REITs & Digital Infrastructure ETF
Expense ratio chart for VPN: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VPN vs. XLRE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Data Center REITs & Digital Infrastructure ETF (VPN) and Real Estate Select Sector SPDR Fund (XLRE). 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.


VPN
Sharpe ratio
The chart of Sharpe ratio for VPN, currently valued at 1.93, compared to the broader market-2.000.002.004.001.93
Sortino ratio
The chart of Sortino ratio for VPN, currently valued at 2.78, compared to the broader market0.005.0010.002.78
Omega ratio
The chart of Omega ratio for VPN, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for VPN, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.29
Martin ratio
The chart of Martin ratio for VPN, currently valued at 7.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.29
XLRE
Sharpe ratio
The chart of Sharpe ratio for XLRE, currently valued at 1.91, compared to the broader market-2.000.002.004.001.91
Sortino ratio
The chart of Sortino ratio for XLRE, currently valued at 2.72, compared to the broader market0.005.0010.002.72
Omega ratio
The chart of Omega ratio for XLRE, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for XLRE, currently valued at 1.08, compared to the broader market0.005.0010.0015.001.08
Martin ratio
The chart of Martin ratio for XLRE, currently valued at 7.83, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.83

VPN vs. XLRE - Sharpe Ratio Comparison

The current VPN Sharpe Ratio is 1.90, which is comparable to the XLRE Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of VPN and XLRE, 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
1.93
1.91
VPN
XLRE

Dividends

VPN vs. XLRE - Dividend Comparison

VPN's dividend yield for the trailing twelve months is around 1.18%, less than XLRE's 3.18% yield.


TTM202320222021202020192018201720162015
VPN
Global X Data Center REITs & Digital Infrastructure ETF
1.18%1.18%2.57%0.85%0.30%0.00%0.00%0.00%0.00%0.00%
XLRE
Real Estate Select Sector SPDR Fund
3.18%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%

Drawdowns

VPN vs. XLRE - Drawdown Comparison

The maximum VPN drawdown since its inception was -39.01%, roughly equal to the maximum XLRE drawdown of -38.83%. Use the drawdown chart below to compare losses from any high point for VPN and XLRE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.48%
-7.77%
VPN
XLRE

Volatility

VPN vs. XLRE - Volatility Comparison

Global X Data Center REITs & Digital Infrastructure ETF (VPN) and Real Estate Select Sector SPDR Fund (XLRE) have volatilities of 5.85% and 5.69%, 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.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.85%
5.69%
VPN
XLRE