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

Performance

O vs. VPN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Realty Income Corporation (O) and Global X Data Center REITs & Digital Infrastructure ETF (VPN). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
12.72%
17.39%
O
VPN

Returns By Period

In the year-to-date period, O achieves a 4.70% return, which is significantly lower than VPN's 17.35% return.


O

YTD

4.70%

1M

-9.50%

6M

12.72%

1Y

13.83%

5Y (annualized)

-0.38%

10Y (annualized)

7.08%

VPN

YTD

17.35%

1M

-3.17%

6M

17.39%

1Y

24.14%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


OVPN
Sharpe Ratio0.751.31
Sortino Ratio1.151.94
Omega Ratio1.141.23
Calmar Ratio0.521.02
Martin Ratio1.874.80
Ulcer Index7.12%4.84%
Daily Std Dev17.66%17.76%
Max Drawdown-48.57%-39.01%
Current Drawdown-13.44%-3.88%

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Correlation

-0.50.00.51.00.5

The correlation between O and VPN is 0.46, 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.

Risk-Adjusted Performance

O vs. VPN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Realty Income Corporation (O) and Global X Data Center REITs & Digital Infrastructure ETF (VPN). 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.


Sharpe ratio
The chart of Sharpe ratio for O, currently valued at 0.75, compared to the broader market-4.00-2.000.002.004.000.751.39
The chart of Sortino ratio for O, currently valued at 1.15, compared to the broader market-4.00-2.000.002.004.001.152.04
The chart of Omega ratio for O, currently valued at 1.14, compared to the broader market0.501.001.502.001.141.24
The chart of Calmar ratio for O, currently valued at 0.52, compared to the broader market0.002.004.006.000.521.08
The chart of Martin ratio for O, currently valued at 1.87, compared to the broader market0.0010.0020.0030.001.875.07
O
VPN

The current O Sharpe Ratio is 0.75, which is lower than the VPN Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of O and VPN, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.75
1.39
O
VPN

Dividends

O vs. VPN - Dividend Comparison

O's dividend yield for the trailing twelve months is around 5.44%, more than VPN's 1.20% yield.


TTM20232022202120202019201820172016201520142013
O
Realty Income Corporation
5.44%5.40%4.69%3.59%4.10%3.36%3.81%4.05%3.81%4.02%4.18%5.31%
VPN
Global X Data Center REITs & Digital Infrastructure ETF
1.20%1.18%2.57%0.85%0.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

O vs. VPN - Drawdown Comparison

The maximum O drawdown since its inception was -48.57%, which is greater than VPN's maximum drawdown of -39.01%. Use the drawdown chart below to compare losses from any high point for O and VPN. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.44%
-3.88%
O
VPN

Volatility

O vs. VPN - Volatility Comparison

Realty Income Corporation (O) and Global X Data Center REITs & Digital Infrastructure ETF (VPN) have volatilities of 6.03% and 6.25%, 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
6.03%
6.25%
O
VPN