^TNX vs. FRI
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and First Trust S&P REIT Index Fund (FRI).
FRI is a passively managed fund by First Trust that tracks the performance of the S&P United States REIT. It was launched on May 8, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or FRI.
Performance
^TNX vs. FRI - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with ^TNX having a 14.64% return and FRI slightly lower at 13.94%. Over the past 10 years, ^TNX has outperformed FRI with an annualized return of 6.76%, while FRI has yielded a comparatively lower 5.99% annualized return.
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
FRI
13.94%
0.20%
20.10%
28.06%
5.20%
5.99%
Key characteristics
| ^TNX | FRI | |
|---|---|---|
| Sharpe Ratio | 0.01 | 1.78 |
| Sortino Ratio | 0.19 | 2.49 |
| Omega Ratio | 1.02 | 1.31 |
| Calmar Ratio | 0.01 | 1.19 |
| Martin Ratio | 0.03 | 7.84 |
| Ulcer Index | 11.03% | 3.64% |
| Daily Std Dev | 22.96% | 16.05% |
| Max Drawdown | -93.78% | -71.95% |
| Current Drawdown | -44.76% | -2.72% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between ^TNX and FRI is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
^TNX vs. FRI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and First Trust S&P REIT Index Fund (FRI). 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.
Drawdowns
^TNX vs. FRI - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than FRI's maximum drawdown of -71.95%. Use the drawdown chart below to compare losses from any high point for ^TNX and FRI. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. FRI - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.75% compared to First Trust S&P REIT Index Fund (FRI) at 4.51%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than FRI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.