EARN vs. VNQ
Compare and contrast key facts about Ellington Residential Mortgage REIT (EARN) and Vanguard Real Estate ETF (VNQ).
VNQ is a passively managed fund by Vanguard that tracks the performance of the MSCI US Investable Market Real Estate 25/50 Index. It was launched on Sep 23, 2004.
Performance
EARN vs. VNQ - Performance Comparison
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EARN vs. VNQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | -9.19% | -5.88% | 24.65% | 2.97% | -25.04% | -11.96% | 35.60% | 17.85% | -3.09% | 3.42% |
VNQ Vanguard Real Estate ETF | 1.67% | 3.24% | 4.81% | 11.85% | -26.25% | 40.54% | -4.61% | 28.91% | -6.03% | 4.90% |
Returns By Period
In the year-to-date period, EARN achieves a -9.19% return, which is significantly lower than VNQ's 1.67% return. Over the past 10 years, EARN has underperformed VNQ with an annualized return of 3.33%, while VNQ has yielded a comparatively higher 4.69% annualized return.
EARN
- 1D
- 2.93%
- 1M
- -6.18%
- YTD
- -9.19%
- 6M
- -6.05%
- 1Y
- -0.99%
- 3Y*
- -0.02%
- 5Y*
- -5.62%
- 10Y*
- 3.33%
VNQ
- 1D
- 0.36%
- 1M
- -6.21%
- YTD
- 1.67%
- 6M
- -0.84%
- 1Y
- 2.18%
- 3Y*
- 6.57%
- 5Y*
- 2.86%
- 10Y*
- 4.69%
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Return for Risk
EARN vs. VNQ — Risk / Return Rank
EARN
VNQ
EARN vs. VNQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ellington Residential Mortgage REIT (EARN) and Vanguard Real Estate ETF (VNQ). 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.
| EARN | VNQ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.04 | 0.13 | -0.17 |
Sortino ratioReturn per unit of downside risk | 0.12 | 0.30 | -0.17 |
Omega ratioGain probability vs. loss probability | 1.02 | 1.04 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 0.03 | 0.18 | -0.15 |
Martin ratioReturn relative to average drawdown | 0.08 | 0.70 | -0.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EARN | VNQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.04 | 0.13 | -0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.21 | 0.15 | -0.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.09 | 0.23 | -0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.05 | 0.26 | -0.20 |
Correlation
The correlation between EARN and VNQ is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
EARN vs. VNQ - Dividend Comparison
EARN's dividend yield for the trailing twelve months is around 21.05%, more than VNQ's 3.92% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | 21.05% | 18.22% | 14.50% | 15.66% | 15.16% | 11.36% | 8.59% | 10.88% | 14.17% | 13.04% | 12.68% | 16.19% |
VNQ Vanguard Real Estate ETF | 3.92% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
Drawdowns
EARN vs. VNQ - Drawdown Comparison
The maximum EARN drawdown since its inception was -66.44%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for EARN and VNQ.
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Drawdown Indicators
| EARN | VNQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.44% | -73.07% | +6.63% |
Max Drawdown (1Y)Largest decline over 1 year | -21.53% | -12.44% | -9.09% |
Max Drawdown (5Y)Largest decline over 5 years | -49.98% | -34.48% | -15.50% |
Max Drawdown (10Y)Largest decline over 10 years | -66.44% | -42.40% | -24.04% |
Current DrawdownCurrent decline from peak | -32.95% | -9.24% | -23.71% |
Average DrawdownAverage peak-to-trough decline | -16.87% | -13.71% | -3.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.01% | 3.21% | +4.80% |
Volatility
EARN vs. VNQ - Volatility Comparison
Ellington Residential Mortgage REIT (EARN) has a higher volatility of 10.96% compared to Vanguard Real Estate ETF (VNQ) at 4.57%. This indicates that EARN's price experiences larger fluctuations and is considered to be riskier than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EARN | VNQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.96% | 4.57% | +6.39% |
Volatility (6M)Calculated over the trailing 6-month period | 17.76% | 9.28% | +8.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.67% | 16.31% | +9.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.78% | 18.80% | +7.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 37.55% | 20.70% | +16.85% |