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^DWRTF vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWRTF and SPY is 0.63, 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

^DWRTF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Select REIT Index (^DWRTF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^DWRTF:

0.38

SPY:

0.66

Sortino Ratio

^DWRTF:

0.67

SPY:

1.08

Omega Ratio

^DWRTF:

1.09

SPY:

1.16

Calmar Ratio

^DWRTF:

0.26

SPY:

0.72

Martin Ratio

^DWRTF:

1.20

SPY:

2.78

Ulcer Index

^DWRTF:

6.22%

SPY:

4.88%

Daily Std Dev

^DWRTF:

18.43%

SPY:

20.26%

Max Drawdown

^DWRTF:

-44.52%

SPY:

-55.19%

Current Drawdown

^DWRTF:

-19.29%

SPY:

-2.99%

Returns By Period

In the year-to-date period, ^DWRTF achieves a -0.73% return, which is significantly lower than SPY's 1.46% return. Over the past 10 years, ^DWRTF has underperformed SPY with an annualized return of 1.14%, while SPY has yielded a comparatively higher 12.71% annualized return.


^DWRTF

YTD

-0.73%

1M

4.10%

6M

-6.12%

1Y

6.83%

3Y*

-0.19%

5Y*

6.36%

10Y*

1.14%

SPY

YTD

1.46%

1M

12.62%

6M

1.07%

1Y

13.27%

3Y*

16.71%

5Y*

16.68%

10Y*

12.71%

*Annualized

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Dow Jones U.S. Select REIT Index

SPDR S&P 500 ETF

Risk-Adjusted Performance

^DWRTF vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^DWRTF
The Risk-Adjusted Performance Rank of ^DWRTF is 3838
Overall Rank
The Sharpe Ratio Rank of ^DWRTF is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DWRTF is 3838
Sortino Ratio Rank
The Omega Ratio Rank of ^DWRTF is 3636
Omega Ratio Rank
The Calmar Ratio Rank of ^DWRTF is 3434
Calmar Ratio Rank
The Martin Ratio Rank of ^DWRTF is 4040
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6666
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7070
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^DWRTF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Select REIT Index (^DWRTF) and SPDR S&P 500 ETF (SPY). 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.


The current ^DWRTF Sharpe Ratio is 0.38, which is lower than the SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of ^DWRTF and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^DWRTF vs. SPY - Drawdown Comparison

The maximum ^DWRTF drawdown since its inception was -44.52%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DWRTF and SPY. For additional features, visit the drawdowns tool.


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Volatility

^DWRTF vs. SPY - Volatility Comparison

Dow Jones U.S. Select REIT Index (^DWRTF) and SPDR S&P 500 ETF (SPY) have volatilities of 4.76% and 4.66%, 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.


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