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^DWRTFT vs. NASDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWRTFT and NASDX is 0.49, 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.


-0.50.00.51.00.5

Performance

^DWRTFT vs. NASDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Select REIT Total Return Index (^DWRTFT) and Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.07%
0.92%
^DWRTFT
NASDX

Key characteristics

Sharpe Ratio

^DWRTFT:

0.55

NASDX:

0.98

Sortino Ratio

^DWRTFT:

0.84

NASDX:

1.34

Omega Ratio

^DWRTFT:

1.10

NASDX:

1.19

Calmar Ratio

^DWRTFT:

0.38

NASDX:

1.39

Martin Ratio

^DWRTFT:

2.25

NASDX:

4.60

Ulcer Index

^DWRTFT:

3.87%

NASDX:

4.10%

Daily Std Dev

^DWRTFT:

15.93%

NASDX:

19.38%

Max Drawdown

^DWRTFT:

-75.15%

NASDX:

-81.69%

Current Drawdown

^DWRTFT:

-9.23%

NASDX:

-5.94%

Returns By Period

In the year-to-date period, ^DWRTFT achieves a 7.58% return, which is significantly lower than NASDX's 18.40% return. Over the past 10 years, ^DWRTFT has underperformed NASDX with an annualized return of 4.72%, while NASDX has yielded a comparatively higher 14.43% annualized return.


^DWRTFT

YTD

7.58%

1M

-6.10%

6M

8.67%

1Y

8.35%

5Y*

3.67%

10Y*

4.72%

NASDX

YTD

18.40%

1M

-4.43%

6M

2.08%

1Y

18.73%

5Y*

15.44%

10Y*

14.43%

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

^DWRTFT vs. NASDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Select REIT Total Return Index (^DWRTFT) and Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX). 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 ^DWRTFT, currently valued at 0.55, compared to the broader market-0.500.000.501.001.502.002.500.550.98
The chart of Sortino ratio for ^DWRTFT, currently valued at 0.84, compared to the broader market-1.000.001.002.003.000.841.34
The chart of Omega ratio for ^DWRTFT, currently valued at 1.10, compared to the broader market0.901.001.101.201.301.401.101.19
The chart of Calmar ratio for ^DWRTFT, currently valued at 0.38, compared to the broader market0.001.002.003.000.381.39
The chart of Martin ratio for ^DWRTFT, currently valued at 2.25, compared to the broader market0.005.0010.0015.002.254.60
^DWRTFT
NASDX

The current ^DWRTFT Sharpe Ratio is 0.55, which is lower than the NASDX Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of ^DWRTFT and NASDX, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.55
0.98
^DWRTFT
NASDX

Drawdowns

^DWRTFT vs. NASDX - Drawdown Comparison

The maximum ^DWRTFT drawdown since its inception was -75.15%, smaller than the maximum NASDX drawdown of -81.69%. Use the drawdown chart below to compare losses from any high point for ^DWRTFT and NASDX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.23%
-5.94%
^DWRTFT
NASDX

Volatility

^DWRTFT vs. NASDX - Volatility Comparison

The current volatility for Dow Jones U.S. Select REIT Total Return Index (^DWRTFT) is 5.26%, while Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) has a volatility of 9.02%. This indicates that ^DWRTFT experiences smaller price fluctuations and is considered to be less risky than NASDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.26%
9.02%
^DWRTFT
NASDX
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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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