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 REIT Index. It was launched on Sep 23, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EARN or VNQ.
Key characteristics
| EARN | VNQ | |
|---|---|---|
| YTD Return | 17.10% | 10.24% |
| 1Y Return | 21.95% | 24.63% |
| 3Y Return (Ann) | -6.99% | -0.98% |
| 5Y Return (Ann) | 2.09% | 4.31% |
| 10Y Return (Ann) | 2.37% | 6.08% |
| Sharpe Ratio | 1.41 | 1.85 |
| Sortino Ratio | 2.04 | 2.65 |
| Omega Ratio | 1.28 | 1.33 |
| Calmar Ratio | 0.75 | 1.17 |
| Martin Ratio | 10.00 | 7.06 |
| Ulcer Index | 3.15% | 4.47% |
| Daily Std Dev | 22.31% | 17.09% |
| Max Drawdown | -66.44% | -73.07% |
| Current Drawdown | -26.29% | -9.06% |
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.
Performance
EARN vs. VNQ - Performance Comparison
In the year-to-date period, EARN achieves a 17.10% return, which is significantly higher than VNQ's 10.24% return. Over the past 10 years, EARN has underperformed VNQ with an annualized return of 2.37%, while VNQ has yielded a comparatively higher 6.08% 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. VNQ - Risk-Adjusted Performance 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.
Dividends
EARN vs. VNQ - Dividend Comparison
EARN's dividend yield for the trailing twelve months is around 15.07%, more than VNQ's 3.85% 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% |
VNQ Vanguard Real Estate ETF | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
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. For additional features, visit the drawdowns tool.
Volatility
EARN vs. VNQ - Volatility Comparison
Ellington Residential Mortgage REIT (EARN) has a higher volatility of 6.54% compared to Vanguard Real Estate ETF (VNQ) at 5.25%. 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.