US Real Estate (REIT) (USREIT.X)

New York Stock Exchange
USD
31 December 1971  –  3 October 2024

Performance

Annualized Return
11.72%
Sharpe Ratio
0.68
Maximum Drawdown
-73.07%

Metrics

Metric US Real Estate (REIT)
Initial Balance $10,000
Final Balance $3,478,903
Returns   [View more details]
Month-To-Date -1.9%
Year-To-Date 10.44%
3M 14.65%
6M 15.24%
Annual Return (3Y) 1.1%
Annual Return (5Y) 4.16%
Annual Return (All) 11.72%
Risk   [View more details]
Annual Volatility 18.83%
Max Drawdown -73.07%
Sharpe Ratio 0.68
Sortino Ratio 0.98
Adjusted Sortino (S/√2) 0.69

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on December 1971.
  • Final balance: The amount of capital we've accrued over time as of October 2024.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 53 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
US Real Estate (REIT) 35.66% 1.1% 4.16% 6.97% 7.73% 11.72%

Annual Returns

Year US Real Estate (REIT)
1971 0%
1972 8.12%
1973 -15.6%
1974 -21.4%
1975 19.3%
1976 47.59%
1977 22.35%
1978 10.15%
1979 36.17%
1980 24.37%
1981 6%
1982 21.6%
1983 30.48%
1984 21.07%
1985 19.1%
1986 19.16%
1987 -3.64%
1988 13.42%
1989 8.92%
1990 -15.36%
1991 35.7%
1992 14.59%
1993 23.91%
1994 -4.66%
1995 16.73%
1996 41.17%
1997 23.91%
1998 -12.59%
1999 0.39%
2000 31.98%
2001 17.39%
2002 8.39%
2003 41.72%
2004 35.16%
2005 11.94%
2006 35.28%
2007 -16.52%
2008 -36.98%
2009 30.14%
2010 28.39%
2011 8.64%
2012 17.63%
2013 2.3%
2014 30.4%
2015 2.43%
2016 8.57%
2017 4.9%
2018 -6.03%
2019 28.91%
2020 -4.61%
2021 40.54%
2022 -26.25%
2023 11.85%
2024 10.44%

US Real Estate (REIT) had 42 positive years and 11 negative years. That's a positive ratio of 79%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1971 - - - - - - - - - - - 0% 0%
1972 0% 1.7% -0.3% 3.6% -9.2% 10% 5.8% -1.3% 3.7% -2.2% -1.3% -1.4% 8.1%
1973 1.4% -5.5% 2.3% -4.6% -2.8% 2.1% 3.6% -4.7% 6.1% 1.3% -14% -0.2% -15.6%
1974 4.6% 4.3% -2% -5.6% -7% 1.5% -7.6% -7.3% -0.8% 4.3% -5.2% -1.8% -21.4%
1975 14.1% 2.4% 2.8% 2.8% -1.3% 6.2% -1.5% -1.4% -6.4% -2.5% 1.6% 2.4% 19.3%
1976 13.3% 5% 0.8% 1.9% -2.5% 3.7% 2.4% 3.8% 1% 1.1% 3.4% 6.7% 47.6%
1977 5.8% 1% 0.7% 1.3% 0.4% 4.3% 0.2% 0.2% 0.5% -0% 4.5% 1.8% 22.4%
1978 -2.2% 1.4% 4.8% 3.1% -2.8% -0.8% 3.3% 4.4% 0% -7.5% 3.3% 3.5% 10.2%
1979 4.2% 2.1% 7% 1% -0.9% 8.9% 4.6% 12.6% -2.1% -10.8% 3.5% 3.3% 36.2%
1980 7.5% 1.2% -12.2% -0.3% 4.9% 7.2% 7.8% 2.8% -1.5% 10.2% -1.9% -1.8% 24.4%
1981 2% 0.9% 2.6% 1.5% -0.4% 2.3% -0.8% -3.8% -6.5% 4.9% 3.9% -0.3% 6%
1982 -0.4% -1.7% -1.6% 2.8% -0% -3.8% 0.4% 3.7% 4.6% 9.5% 4.4% 2.6% 21.6%
1983 4% -0.6% 9.4% 6.2% 1.5% 1.8% -2.3% -0.4% -1.2% 3.3% 2.1% 3.7% 30.5%
1984 3.8% 0.6% 0.1% 1.4% -2% -0% -1.7% 4.2% 6.6% 2.5% 2% 2% 21.1%
1985 4.9% 2.7% 1.5% 1% 3.1% 1.9% 2.1% -2.4% -2.1% 2.8% -0.4% 2.7% 19.1%
1986 4.4% 2.1% 6.7% -0.2% -1.6% 5.1% -0.5% 3.1% -0.6% 2.3% -0.7% -1.9% 19.2%
1987 5.4% 3.6% 0.3% -1.2% -0.7% 2.7% 0% -2.4% -0.8% -14.8% 1.7% 4% -3.6%
1988 5.1% 4.2% 0.5% 0.7% -1.5% 3.5% 1% -0.4% 0.6% -0.4% -2% 1.7% 13.4%
1989 2.3% -0.3% 0.5% 2.6% 1.1% 1.9% 3.7% 0.9% -0.9% -2.6% -0.3% -0.2% 8.9%
1990 -4.2% -0.7% 1% -1.7% -0.1% 1.7% -0.9% -7.2% -6.6% -3.9% 7.1% -0.3% -15.4%
1991 10.9% 1.8% 7.8% 3.3% 1.1% -2.6% 1.8% -0.4% 2.4% -1.1% -0.5% 7.1% 35.7%
1992 4.9% -2.3% -1.7% -0.4% 4.1% -1% 4.3% 0.3% 2.1% -0.1% 2.1% 1.8% 14.6%
1993 5.1% 0.8% 3.8% -3.8% 0.4% 3.4% 3% 4% 4.8% -1% -3% 4.6% 23.9%
1994 2.6% -0.2% -5.2% 0% -0.2% -2.2% 0.6% 2.1% -2.9% -3.8% -3.1% 8.2% -4.7%
1995 -2.5% 2% 0.1% -0.1% 4.4% 2.4% 1.5% 1% 2% -2.8% 1.5% 6.4% 16.7%
1996 1.3% 1.6% 0.4% 0.3% 2.8% 2.1% 0.6% 4.2% 2.7% 3% 4.9% 11.7% 41.2%
1997 0.5% 0% 0.8% -2.8% 3.3% 5.6% 3.2% -0.4% 9.7% -2.4% 2.1% 2.6% 23.9%
1998 -0.9% -1.3% 3% -3% -0.5% 0.4% -6.6% -8.9% 6.4% -1.5% 2% -1.4% -12.6%
1999 -2.1% -1.2% -0.1% 10% 2.4% -1.5% -2.6% -0.6% -3.8% -1.9% -1.1% 3.6% 0.4%
2000 1% -1.2% 3.9% 7.1% 1.4% 2.9% 9.2% -3.6% 3.3% -4.3% 2.1% 7.2% 32%
2001 0.8% -1.4% 1.2% 2.7% 2.5% 6.3% -1.7% 3.9% -3.6% -3% 6.1% 2.9% 17.4%
2002 0.1% 2.3% 6.6% 1% 1.7% 3.2% -4.9% 0.5% -3.2% -4.6% 5% 1.1% 8.4%
2003 -2.3% 2.1% 2.4% 4.4% 5.9% 2.6% 5.6% 1% 3.8% 2% 4.7% 3.5% 41.7%
2004 4.7% 2% 5.8% -14.3% 7.5% 3.2% 0.9% 8.2% 0.1% 5.7% 4% 4.8% 35.2%
2005 -8.6% 3.2% -1.7% 5.8% 3.5% 4.6% 7.1% -4.1% 1.3% -2.9% 4.2% 0% 11.9%
2006 7.5% 1.9% 4.7% -3.4% -2.7% 5% 3.9% 3.5% 2% 6% 4.8% -1.8% 35.3%
2007 8.8% -2.7% -2.1% -0.1% -0.4% -9% -8.3% 6.7% 3.9% 2.1% -9.5% -5.4% -16.5%
2008 -0.8% -3.2% 6.5% 6.4% -0.2% -10.6% 3.1% 2.4% -0.1% -31.7% -22.7% 16.7% -37%
2009 -17.5% -20.5% 3.6% 30.7% 2.6% -3.2% 10.8% 14.3% 6.6% -4.5% 6.6% 7.4% 30.1%
2010 -5.5% 5.6% 10.2% 7.2% -5.3% -5.2% 9.6% -1.3% 4.5% 4.7% -1.9% 4.6% 28.4%
2011 3.3% 4.7% -1.6% 5.8% 1.4% -3.3% 1.6% -5.6% -10.8% 14.3% -3.8% 4.9% 8.6%
2012 6.4% -1.2% 5.2% 2.9% -4.5% 5.5% 2% -0% -1.9% -0.9% -0.3% 3.7% 17.6%
2013 3.7% 1.2% 2.9% 6.7% -6% -2% 0.9% -7% 3.5% 4.5% -5.3% 0.1% 2.3%
2014 4.3% 5.1% 0.5% 3.3% 2.4% 1.1% 0.1% 3% -6% 9.9% 2% 1.9% 30.4%
2015 6.9% -3.7% 1.7% -5.9% -0.3% -4.7% 5.8% -6.3% 3.1% 5.8% -0.6% 1.8% 2.4%
2016 -3.4% -0.4% 10.5% -2.4% 2.3% 6.9% 4.3% -3.8% -1.8% -5.7% -1.7% 4.8% 8.6%
2017 -0.2% 3.5% -2.4% 0.2% -0.7% 2.2% 1.2% -0.3% -0.1% -1.1% 2.7% -0.2% 4.9%
2018 -4.3% -7.7% 3.9% 0.8% 3.7% 4.2% 0.6% 2.6% -2.7% -2.9% 4.7% -8% -6%
2019 11.9% 0.7% 4.2% -0.2% 0.1% 1.6% 1.7% 3.8% 1.9% 1.1% -1.3% 0.8% 28.9%
2020 1.2% -7% -19.4% 9% 1.7% 2.4% 3.6% 0.4% -2.7% -3% 9.7% 2.7% -4.6%
2021 0% 3.4% 5.2% 7.9% 0.8% 2.6% 4.4% 2.2% -5.7% 7.1% -2.1% 9.7% 40.5%
2022 -8.4% -3.5% 6.3% -4.1% -4.7% -7.5% 8.6% -6% -12.9% 3.5% 6.2% -5% -26.3%
2023 10.4% -5.9% -2.2% 0.3% -4% 5.6% 2% -3.4% -7.3% -3.6% 12.1% 9.5% 11.9%
2024 -5.1% 2% 2% -7.9% 4.6% 1.9% 7.9% 5.2% 2.4% -1.9% - - 10.4%
Pos 69.2% 60.4% 75.5% 64.2% 50.9% 73.1% 76.9% 52.8% 50.9% 43.4% 57.7% 73.1% 79.2%
Avg 2.1% 0.1% 1.7% 1.6% 0.2% 1.6% 2% 0.4% -0.1% -0.3% 0.8% 2.7% 13.4%

Other Return Metrics

Metric US Real Estate (REIT)
Cumulative Return 34689.03%
Enh Ann Return 13.4%
Best Year 47.59%
Worst Year -36.98%
Best Month 30.68%
Worst Month -31.73%
Best Day 17.01%
Worst Day -19.51%
Win Ratio (Yearly) 79.25%
Win Ratio (Quarterly) 69.34%
Win Ratio (Monthly) 62.24%
Win Ratio (Daily) 57.37%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
US Real Estate (REIT) 17.93% 20.57% 25.38% 20.76% 29.21% 18.83%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
US Real Estate (REIT) 1.79 0.16 0.29 0.43 0.4 0.68

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

US Real Estate (REIT)

Start Valley End Days Drawdown
2007-02-08 2009-03-06 2012-09-07 2038 -73.07%
2020-02-24 2020-03-23 2021-04-15 416 -42.4%
1972-10-02 1974-12-31 1976-10-11 1470 -36.89%
2022-01-03 2023-10-25 - 1004 -34.48%
1989-09-01 1990-10-31 1991-04-03 579 -23.88%

The US Real Estate (REIT) took approximately 37 months on average to recover from a major drawdown. The longest drawdown lasted 68 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric US Real Estate (REIT)
Sharpe Ratio 0.68
Sortino Ratio 0.98
Adjusted Sortino (S/√2) 0.69
Calmar Ratio 0.16
Omega Ratio 1.19
Gain to Pain Ratio 0.19
Ulcer Index 0.14
Kelly Criterion 9.2%
Skew -0.02
Kurtosis 41.09
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