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^DWRSF vs. SPRE
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWRSF and SPRE is 0.91, 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.


-0.50.00.51.00.9

Performance

^DWRSF vs. SPRE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Select Real Estate Securities Index (^DWRSF) and SP Funds S&P Global REIT Sharia ETF (SPRE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.65%
3.35%
^DWRSF
SPRE

Key characteristics

Sharpe Ratio

^DWRSF:

0.28

SPRE:

0.21

Sortino Ratio

^DWRSF:

0.49

SPRE:

0.39

Omega Ratio

^DWRSF:

1.06

SPRE:

1.05

Calmar Ratio

^DWRSF:

0.15

SPRE:

0.11

Martin Ratio

^DWRSF:

1.00

SPRE:

0.74

Ulcer Index

^DWRSF:

4.48%

SPRE:

4.50%

Daily Std Dev

^DWRSF:

15.90%

SPRE:

16.14%

Max Drawdown

^DWRSF:

-44.52%

SPRE:

-38.34%

Current Drawdown

^DWRSF:

-18.95%

SPRE:

-21.31%

Returns By Period

In the year-to-date period, ^DWRSF achieves a 3.76% return, which is significantly higher than SPRE's 2.01% return.


^DWRSF

YTD

3.76%

1M

-6.45%

6M

6.65%

1Y

4.14%

5Y*

-0.12%

10Y*

N/A

SPRE

YTD

2.01%

1M

-6.04%

6M

3.35%

1Y

3.12%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DWRSF vs. SPRE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Select Real Estate Securities Index (^DWRSF) and SP Funds S&P Global REIT Sharia ETF (SPRE). 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 ^DWRSF, currently valued at 0.28, compared to the broader market-0.500.000.501.001.502.002.500.280.21
The chart of Sortino ratio for ^DWRSF, currently valued at 0.49, compared to the broader market-1.000.001.002.003.000.490.39
The chart of Omega ratio for ^DWRSF, currently valued at 1.06, compared to the broader market0.901.001.101.201.301.401.061.05
The chart of Calmar ratio for ^DWRSF, currently valued at 0.15, compared to the broader market0.001.002.003.000.150.11
The chart of Martin ratio for ^DWRSF, currently valued at 1.00, compared to the broader market0.005.0010.0015.001.000.74
^DWRSF
SPRE

The current ^DWRSF Sharpe Ratio is 0.28, which is higher than the SPRE Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of ^DWRSF and SPRE, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.28
0.21
^DWRSF
SPRE

Drawdowns

^DWRSF vs. SPRE - Drawdown Comparison

The maximum ^DWRSF drawdown since its inception was -44.52%, which is greater than SPRE's maximum drawdown of -38.34%. Use the drawdown chart below to compare losses from any high point for ^DWRSF and SPRE. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-18.95%
-21.31%
^DWRSF
SPRE

Volatility

^DWRSF vs. SPRE - Volatility Comparison

The current volatility for Dow Jones U.S. Select Real Estate Securities Index (^DWRSF) is 5.26%, while SP Funds S&P Global REIT Sharia ETF (SPRE) has a volatility of 5.70%. This indicates that ^DWRSF experiences smaller price fluctuations and is considered to be less risky than SPRE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.26%
5.70%
^DWRSF
SPRE
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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