Correlation
The correlation between ^TNX and FRI 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.
^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
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Key characteristics
^TNX:
-0.14
FRI:
0.79
^TNX:
-0.02
FRI:
1.18
^TNX:
1.00
FRI:
1.16
^TNX:
-0.05
FRI:
0.73
^TNX:
-0.26
FRI:
2.48
^TNX:
10.70%
FRI:
5.95%
^TNX:
22.14%
FRI:
18.46%
^TNX:
-93.78%
FRI:
-71.96%
^TNX:
-44.96%
FRI:
-7.49%
Returns By Period
In the year-to-date period, ^TNX achieves a -3.43% return, which is significantly lower than FRI's 0.50% return. Over the past 10 years, ^TNX has outperformed FRI with an annualized return of 6.90%, while FRI has yielded a comparatively lower 5.27% annualized return.
^TNX
-3.43%
4.37%
5.70%
-2.17%
15.80%
46.79%
6.90%
FRI
0.50%
2.01%
-7.00%
12.25%
2.50%
8.99%
5.27%
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Risk-Adjusted Performance
^TNX vs. FRI — Risk-Adjusted Performance Rank
^TNX
FRI
^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.
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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 -71.96%. Use the drawdown chart below to compare losses from any high point for ^TNX and FRI.
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Volatility
^TNX vs. FRI - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.87% compared to First Trust S&P REIT Index Fund (FRI) at 4.89%. 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.
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