ARR vs. SPLV
Compare and contrast key facts about ARMOUR Residential REIT, Inc. (ARR) and Invesco S&P 500® Low Volatility ETF (SPLV).
SPLV is a passively managed fund by Invesco that tracks the performance of the S&P 500 Low Volatility Index. It was launched on May 5, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ARR or SPLV.
Key characteristics
ARR | SPLV | |
---|---|---|
YTD Return | 5.38% | 5.37% |
1Y Return | -4.21% | 10.10% |
3Y Return (Ann) | -19.35% | 6.32% |
5Y Return (Ann) | -16.37% | 6.82% |
10Y Return (Ann) | -7.48% | 9.29% |
Sharpe Ratio | -0.22 | 1.08 |
Daily Std Dev | 31.52% | 9.58% |
Max Drawdown | -80.11% | -36.26% |
Current Drawdown | -68.88% | -1.06% |
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.
Performance
ARR vs. SPLV - Performance Comparison
The year-to-date returns for both stocks are quite close, with ARR having a 5.38% return and SPLV slightly lower at 5.37%. Over the past 10 years, ARR has underperformed SPLV with an annualized return of -7.48%, while SPLV has yielded a comparatively higher 9.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
---|---|---|---|---|---|
ARMOUR Residential REIT, Inc. | -0.22 | ||||
Invesco S&P 500® Low Volatility ETF | 1.08 |
Dividends
ARR vs. SPLV - Dividend Comparison
ARR's dividend yield for the trailing twelve months is around 22.03%, more than SPLV's 2.35% yield.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
ARMOUR Residential REIT, Inc. | 22.03% | 25.88% | 21.31% | 12.23% | 11.12% | 12.09% | 11.12% | 8.86% | 13.92% | 17.88% | 16.30% | 20.20% |
Invesco S&P 500® Low Volatility ETF | 2.35% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
Drawdowns
ARR vs. SPLV - Drawdown Comparison
The maximum ARR drawdown since its inception was -80.11%, which is greater than SPLV's maximum drawdown of -36.26%. The drawdown chart below compares losses from any high point along the way for ARR and SPLV
Volatility
ARR vs. SPLV - Volatility Comparison
ARMOUR Residential REIT, Inc. (ARR) has a higher volatility of 7.93% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 2.03%. 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.