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ARR vs. SPLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ARR and SPLV is 0.38, 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.


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Performance

ARR vs. SPLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ARMOUR Residential REIT, Inc. (ARR) and Invesco S&P 500® Low Volatility ETF (SPLV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember
4.25%
8.63%
ARR
SPLV

Key characteristics

Sharpe Ratio

ARR:

0.56

SPLV:

1.52

Sortino Ratio

ARR:

0.89

SPLV:

2.15

Omega Ratio

ARR:

1.12

SPLV:

1.27

Calmar Ratio

ARR:

0.18

SPLV:

1.97

Martin Ratio

ARR:

2.46

SPLV:

7.44

Ulcer Index

ARR:

5.36%

SPLV:

1.86%

Daily Std Dev

ARR:

23.65%

SPLV:

9.15%

Max Drawdown

ARR:

-80.10%

SPLV:

-36.26%

Current Drawdown

ARR:

-66.57%

SPLV:

-6.56%

Returns By Period

Over the past 10 years, ARR has underperformed SPLV with an annualized return of -6.89%, while SPLV has yielded a comparatively higher 8.61% annualized return.


ARR

YTD

0.00%

1M

0.93%

6M

4.26%

1Y

13.18%

5Y*

-15.33%

10Y*

-6.89%

SPLV

YTD

13.67%

1M

-6.56%

6M

9.12%

1Y

13.67%

5Y*

5.89%

10Y*

8.61%

*Annualized

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Risk-Adjusted Performance

ARR vs. SPLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ARMOUR Residential REIT, Inc. (ARR) and Invesco S&P 500® Low Volatility ETF (SPLV). 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.


The chart of Sharpe ratio for ARR, currently valued at 0.56, compared to the broader market-4.00-2.000.002.000.561.50
The chart of Sortino ratio for ARR, currently valued at 0.89, compared to the broader market-4.00-2.000.002.004.000.892.12
The chart of Omega ratio for ARR, currently valued at 1.12, compared to the broader market0.501.001.502.001.121.27
The chart of Calmar ratio for ARR, currently valued at 0.18, compared to the broader market0.002.004.006.000.181.94
The chart of Martin ratio for ARR, currently valued at 2.46, compared to the broader market0.005.0010.0015.0020.0025.002.467.16
ARR
SPLV

The current ARR Sharpe Ratio is 0.56, which is lower than the SPLV Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of ARR and SPLV, 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 Ratio0.001.002.003.00AugustSeptemberOctoberNovemberDecember
0.56
1.50
ARR
SPLV

Dividends

ARR vs. SPLV - Dividend Comparison

ARR's dividend yield for the trailing twelve months is around 15.27%, more than SPLV's 1.88% yield.


TTM2023202220212020201920182017201620152014
ARR
ARMOUR Residential REIT, Inc.
15.27%25.88%21.31%12.23%11.12%12.09%11.12%8.86%13.92%17.88%16.34%
SPLV
Invesco S&P 500® Low Volatility ETF
1.88%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%

Drawdowns

ARR vs. SPLV - Drawdown Comparison

The maximum ARR drawdown since its inception was -80.10%, which is greater than SPLV's maximum drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for ARR and SPLV. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember
-66.57%
-6.56%
ARR
SPLV

Volatility

ARR vs. SPLV - Volatility Comparison

ARMOUR Residential REIT, Inc. (ARR) has a higher volatility of 4.83% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 2.84%. This indicates that ARR's price experiences larger fluctuations and is considered to be riskier than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%AugustSeptemberOctoberNovemberDecember
4.83%
2.84%
ARR
SPLV