EARN vs. SCHG
Compare and contrast key facts about Ellington Residential Mortgage REIT (EARN) and Schwab U.S. Large-Cap Growth ETF (SCHG).
SCHG is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Large-Cap Growth Total Stock Market Total Return Index. It was launched on Dec 11, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EARN or SCHG.
Key characteristics
| EARN | SCHG | |
|---|---|---|
| YTD Return | 17.10% | 34.32% |
| 1Y Return | 21.95% | 42.00% |
| 3Y Return (Ann) | -6.99% | 11.21% |
| 5Y Return (Ann) | 2.09% | 20.69% |
| 10Y Return (Ann) | 2.37% | 16.80% |
| Sharpe Ratio | 1.41 | 2.64 |
| Sortino Ratio | 2.04 | 3.39 |
| Omega Ratio | 1.28 | 1.48 |
| Calmar Ratio | 0.75 | 3.62 |
| Martin Ratio | 10.00 | 14.42 |
| Ulcer Index | 3.15% | 3.10% |
| Daily Std Dev | 22.31% | 16.93% |
| Max Drawdown | -66.44% | -34.59% |
| Current Drawdown | -26.29% | -0.18% |
Correlation
The correlation between EARN and SCHG is 0.33, 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
EARN vs. SCHG - Performance Comparison
In the year-to-date period, EARN achieves a 17.10% return, which is significantly lower than SCHG's 34.32% return. Over the past 10 years, EARN has underperformed SCHG with an annualized return of 2.37%, while SCHG has yielded a comparatively higher 16.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EARN vs. SCHG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Ellington Residential Mortgage REIT (EARN) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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
EARN vs. SCHG - Dividend Comparison
EARN's dividend yield for the trailing twelve months is around 15.07%, more than SCHG's 0.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | 15.07% | 15.66% | 15.16% | 11.36% | 8.59% | 10.88% | 14.17% | 13.04% | 12.68% | 16.19% | 13.52% | 7.41% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.40% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% | 1.09% | 1.07% |
Drawdowns
EARN vs. SCHG - Drawdown Comparison
The maximum EARN drawdown since its inception was -66.44%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for EARN and SCHG. For additional features, visit the drawdowns tool.
Volatility
EARN vs. SCHG - Volatility Comparison
Ellington Residential Mortgage REIT (EARN) has a higher volatility of 6.54% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.15%. This indicates that EARN's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.