^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.
Key characteristics
| ^TNX | FRI | |
|---|---|---|
| YTD Return | 8.17% | 13.28% |
| 1Y Return | -15.07% | 36.76% |
| 3Y Return (Ann) | 36.49% | 1.56% |
| 5Y Return (Ann) | 18.99% | 4.27% |
| 10Y Return (Ann) | 6.31% | 6.23% |
| Sharpe Ratio | -0.68 | 2.05 |
| Sortino Ratio | -0.89 | 2.96 |
| Omega Ratio | 0.91 | 1.36 |
| Calmar Ratio | -0.29 | 1.15 |
| Martin Ratio | -1.00 | 9.97 |
| Ulcer Index | 16.10% | 3.59% |
| Daily Std Dev | 23.77% | 17.43% |
| Max Drawdown | -93.78% | -71.95% |
| Current Drawdown | -47.87% | -3.28% |
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.
Performance
^TNX vs. FRI - Performance Comparison
In the year-to-date period, ^TNX achieves a 8.17% return, which is significantly lower than FRI's 13.28% return. Both investments have delivered pretty close results over the past 10 years, with ^TNX having a 6.31% annualized return and FRI not far behind at 6.23%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 5.90% compared to First Trust S&P REIT Index Fund (FRI) at 3.88%. 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.