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

Correlation

The correlation between ^DWRTF and VNQ is 0.98, 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.


-0.50.00.51.01.0

Performance

^DWRTF vs. VNQ - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.21%
8.83%
^DWRTF
VNQ

Key characteristics

Sharpe Ratio

^DWRTF:

0.33

VNQ:

0.40

Sortino Ratio

^DWRTF:

0.56

VNQ:

0.64

Omega Ratio

^DWRTF:

1.07

VNQ:

1.08

Calmar Ratio

^DWRTF:

0.18

VNQ:

0.25

Martin Ratio

^DWRTF:

1.22

VNQ:

1.37

Ulcer Index

^DWRTF:

4.41%

VNQ:

4.71%

Daily Std Dev

^DWRTF:

16.05%

VNQ:

16.13%

Max Drawdown

^DWRTF:

-44.52%

VNQ:

-73.07%

Current Drawdown

^DWRTF:

-19.14%

VNQ:

-13.96%

Returns By Period

In the year-to-date period, ^DWRTF achieves a 3.50% return, which is significantly lower than VNQ's 4.31% return. Over the past 10 years, ^DWRTF has underperformed VNQ with an annualized return of 0.85%, while VNQ has yielded a comparatively higher 4.85% annualized return.


^DWRTF

YTD

3.50%

1M

-5.57%

6M

7.21%

1Y

4.20%

5Y*

-0.23%

10Y*

0.85%

VNQ

YTD

4.31%

1M

-5.72%

6M

9.10%

1Y

6.43%

5Y*

3.17%

10Y*

4.85%

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

^DWRTF vs. VNQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Select REIT Index (^DWRTF) and Vanguard Real Estate ETF (VNQ). 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 ^DWRTF, currently valued at 0.32, compared to the broader market0.001.002.000.320.40
The chart of Sortino ratio for ^DWRTF, currently valued at 0.54, compared to the broader market-1.000.001.002.003.000.540.64
The chart of Omega ratio for ^DWRTF, currently valued at 1.07, compared to the broader market0.901.001.101.201.301.401.071.08
The chart of Calmar ratio for ^DWRTF, currently valued at 0.17, compared to the broader market0.001.002.003.000.170.25
The chart of Martin ratio for ^DWRTF, currently valued at 1.12, compared to the broader market0.005.0010.0015.0020.001.121.37
^DWRTF
VNQ

The current ^DWRTF Sharpe Ratio is 0.33, which is comparable to the VNQ Sharpe Ratio of 0.40. The chart below compares the historical Sharpe Ratios of ^DWRTF and VNQ, 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
0.32
0.40
^DWRTF
VNQ

Drawdowns

^DWRTF vs. VNQ - Drawdown Comparison

The maximum ^DWRTF drawdown since its inception was -44.52%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for ^DWRTF and VNQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-19.14%
-13.96%
^DWRTF
VNQ

Volatility

^DWRTF vs. VNQ - Volatility Comparison

The current volatility for Dow Jones U.S. Select REIT Index (^DWRTF) is 5.31%, while Vanguard Real Estate ETF (VNQ) has a volatility of 5.72%. This indicates that ^DWRTF experiences smaller price fluctuations and is considered to be less risky than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.31%
5.72%
^DWRTF
VNQ
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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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