CCIF vs. EARN

Last updated Jun 4, 2026

CCIF (Carlyle Credit Income Fund) is Intermediate Core Bond fund actively managed by Carlyle, while EARN (Ellington Residential Mortgage REIT) is a stock. Over the past 5 years, CCIF returned -7.78%/yr vs -5.05%/yr for EARN. At a 0.16 correlation, their price movements are largely independent.

Performance

CCIF vs. EARN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Carlyle Credit Income Fund (CCIF) and Ellington Residential Mortgage REIT (EARN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CCIF achieves a -27.46% return, which is significantly lower than EARN's -4.23% return.

CCIF

• 1D: -0.65%
• 1M: -6.48%
• YTD: -27.46%
• 6M: -33.52%
• 1Y: -40.60%
• 3Y*: -16.26%
• 5Y*: -7.78%
• 10Y*: —

EARN

• 1D: -1.48%
• 1M: 0.15%
• YTD: -4.23%
• 6M: -3.13%
• 1Y: -0.85%
• 3Y*: 2.04%
• 5Y*: -5.05%
• 10Y*: 3.00%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CCIF vs. EARN - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CCIF Carlyle Credit Income Fund	-27.46%	-27.64%	16.37%	14.50%	-6.37%	12.67%	0.51%	-12.85%
EARN Ellington Residential Mortgage REIT	-4.23%	-5.88%	24.65%	2.97%	-25.04%	-11.96%	35.60%	6.71%

Correlation

The correlation between CCIF and EARN is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.19
Correlation (5Y) Calculated over the trailing 5-year period	0.20
Correlation (All Time) Calculated using the full available price history since May 29, 2019	0.16

The correlation between CCIF and EARN shifts across timeframes, from 0.16 (all time) to 0.28 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CCIF vs. EARN — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CCIF

CCIF Risk / Return Rank: 0
CCIF Sharpe Ratio Rank: 0
CCIF Sortino Ratio Rank: 0
CCIF Omega Ratio Rank: 0
CCIF Calmar Ratio Rank: 0
CCIF Martin Ratio Rank: 0

EARN

EARN Risk / Return Rank: 36
EARN Sharpe Ratio Rank: 39
EARN Sortino Ratio Rank: 32
EARN Omega Ratio Rank: 32
EARN Calmar Ratio Rank: 39
EARN Martin Ratio Rank: 39

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CCIF vs. EARN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Carlyle Credit Income Fund (CCIF) and Ellington Residential Mortgage REIT (EARN). 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.

	CCIF	EARN	Difference
Sharpe ratio: Return per unit of total volatility	-1.36	-0.04	-1.32
Sortino ratio: Return per unit of downside risk	-1.96	0.10	-2.05
Omega ratio: Gain probability vs. loss probability	0.74	1.01	-0.27
Calmar ratio: Return relative to maximum drawdown	-0.94	-0.04	-0.90
Martin ratio: Return relative to average drawdown	-1.67	-0.09	-1.58
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CCIF vs. EARN - Sharpe Ratio Comparison

The current CCIF Sharpe Ratio is -1.36, which is lower than the EARN Sharpe Ratio of -0.04. The chart below compares the historical Sharpe Ratios of CCIF and EARN, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CCIF	EARN	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-1.36	-0.04	-1.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.39	-0.19	-0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.08	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.24	0.06	-0.30

Drawdowns

CCIF vs. EARN - Drawdown Comparison

The maximum CCIF drawdown since its inception was -51.70%, smaller than the maximum EARN drawdown of -66.44%. Use the drawdown chart below to compare losses from any high point for CCIF and EARN.

Drawdown Indicators

	CCIF	EARN	Difference
Max Drawdown Largest peak-to-trough decline	-51.70%	-66.44%	+14.74%
Max Drawdown (1Y) Largest decline over 1 year	-43.40%	-21.53%	-21.87%
Max Drawdown (3Y) Largest decline over 3 years	-51.70%	-31.19%	-20.51%
Max Drawdown (5Y) Largest decline over 5 years	-51.70%	-49.98%	-1.72%
Max Drawdown (10Y) Largest decline over 10 years	—	-66.44%	—
Current Drawdown Current decline from peak	-49.90%	-29.29%	-20.61%
Average Drawdown Average peak-to-trough decline	-11.73%	-17.04%	+5.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	24.29%	9.10%	+15.19%

Volatility

CCIF vs. EARN - Volatility Comparison

Carlyle Credit Income Fund (CCIF) has a higher volatility of 7.26% compared to Ellington Residential Mortgage REIT (EARN) at 6.88%. This indicates that CCIF's price experiences larger fluctuations and is considered to be riskier than EARN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CCIF	EARN	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.26%	6.88%	+0.38%
Volatility (6M) Calculated over the trailing 6-month period	25.94%	17.33%	+8.61%
Volatility (1Y) Calculated over the trailing 1-year period	29.91%	21.99%	+7.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.20%	26.86%	-6.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.45%	37.63%	-12.18%

Dividends

CCIF vs. EARN - Dividend Comparison

CCIF's dividend yield for the trailing twelve months is around 36.64%, more than EARN's 20.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CCIF Carlyle Credit Income Fund	36.64%	26.87%	15.73%	23.58%	9.96%	8.55%	6.09%	3.77%	0.00%	0.00%	0.00%	0.00%
EARN Ellington Residential Mortgage REIT	20.65%	18.22%	14.50%	15.66%	15.16%	11.36%	8.59%	10.88%	14.17%	13.04%	12.68%	16.19%

Frequently Asked Questions

Can I hold both CCIF and EARN in my portfolio?

CCIF and EARN have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CCIF or EARN?

CCIF has higher volatility (7.26%) compared to EARN (6.88%). In terms of maximum drawdown, CCIF dropped -51.70% vs EARN's -66.44%.

Which has better risk-adjusted returns?

EARN currently has the higher Sharpe Ratio (-0.04 vs -1.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.