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.
Performance
ARR vs. SPLV - Performance Comparison
Returns By Period
In the year-to-date period, ARR achieves a 11.42% return, which is significantly lower than SPLV's 18.26% return. Over the past 10 years, ARR has underperformed SPLV with an annualized return of -7.40%, while SPLV has yielded a comparatively higher 9.28% annualized return.
ARR
11.42%
-6.48%
4.95%
27.65%
-14.43%
-7.40%
SPLV
18.26%
-0.22%
11.74%
22.93%
7.13%
9.28%
Key characteristics
| ARR | SPLV | |
|---|---|---|
| Sharpe Ratio | 1.22 | 2.48 |
| Sortino Ratio | 1.73 | 3.45 |
| Omega Ratio | 1.23 | 1.45 |
| Calmar Ratio | 0.41 | 2.36 |
| Martin Ratio | 6.50 | 16.44 |
| Ulcer Index | 4.75% | 1.39% |
| Daily Std Dev | 25.16% | 9.22% |
| Max Drawdown | -80.10% | -36.26% |
| Current Drawdown | -67.09% | -0.82% |
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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.
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.
Dividends
ARR vs. SPLV - Dividend Comparison
ARR's dividend yield for the trailing twelve months is around 16.17%, more than SPLV's 1.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARR ARMOUR Residential REIT, Inc. | 16.17% | 25.88% | 21.31% | 12.23% | 11.12% | 12.09% | 11.12% | 8.86% | 13.92% | 17.88% | 16.34% | 20.20% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.90% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
Drawdowns
ARR vs. SPLV - Drawdown Comparison
The maximum ARR drawdown since its inception was -80.10%, 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.
Volatility
ARR vs. SPLV - Volatility Comparison
ARMOUR Residential REIT, Inc. (ARR) has a higher volatility of 4.68% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 2.92%. 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.