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EARN vs. VNQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EARN and VNQ is 0.39, 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.


-0.50.00.51.0
Correlation: 0.4

Performance

EARN vs. VNQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ellington Residential Mortgage REIT (EARN) and Vanguard Real Estate ETF (VNQ). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%NovemberDecember2025FebruaryMarchApril
29.98%
88.53%
EARN
VNQ

Key characteristics

Sharpe Ratio

EARN:

-0.16

VNQ:

0.70

Sortino Ratio

EARN:

-0.06

VNQ:

1.05

Omega Ratio

EARN:

0.99

VNQ:

1.14

Calmar Ratio

EARN:

-0.09

VNQ:

0.51

Martin Ratio

EARN:

-0.51

VNQ:

2.38

Ulcer Index

EARN:

7.62%

VNQ:

5.31%

Daily Std Dev

EARN:

24.19%

VNQ:

18.16%

Max Drawdown

EARN:

-66.44%

VNQ:

-73.07%

Current Drawdown

EARN:

-30.79%

VNQ:

-14.68%

Returns By Period

In the year-to-date period, EARN achieves a -11.79% return, which is significantly lower than VNQ's -1.32% return. Over the past 10 years, EARN has underperformed VNQ with an annualized return of 1.82%, while VNQ has yielded a comparatively higher 4.69% annualized return.


EARN

YTD

-11.79%

1M

-2.76%

6M

-11.75%

1Y

-3.47%

5Y*

5.30%

10Y*

1.82%

VNQ

YTD

-1.32%

1M

-3.39%

6M

-7.30%

1Y

13.10%

5Y*

7.70%

10Y*

4.69%

*Annualized

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Risk-Adjusted Performance

EARN vs. VNQ — Risk-Adjusted Performance Rank

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

EARN
The Risk-Adjusted Performance Rank of EARN is 4040
Overall Rank
The Sharpe Ratio Rank of EARN is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of EARN is 3636
Sortino Ratio Rank
The Omega Ratio Rank of EARN is 3535
Omega Ratio Rank
The Calmar Ratio Rank of EARN is 4747
Calmar Ratio Rank
The Martin Ratio Rank of EARN is 4141
Martin Ratio Rank

VNQ
The Risk-Adjusted Performance Rank of VNQ is 6565
Overall Rank
The Sharpe Ratio Rank of VNQ is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of VNQ is 6767
Sortino Ratio Rank
The Omega Ratio Rank of VNQ is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VNQ is 6161
Calmar Ratio Rank
The Martin Ratio Rank of VNQ is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for EARN, currently valued at -0.16, compared to the broader market-2.00-1.000.001.002.003.00
EARN: -0.16
VNQ: 0.70
The chart of Sortino ratio for EARN, currently valued at -0.06, compared to the broader market-6.00-4.00-2.000.002.004.00
EARN: -0.06
VNQ: 1.05
The chart of Omega ratio for EARN, currently valued at 0.99, compared to the broader market0.501.001.502.00
EARN: 0.99
VNQ: 1.14
The chart of Calmar ratio for EARN, currently valued at -0.09, compared to the broader market0.001.002.003.004.005.00
EARN: -0.09
VNQ: 0.51
The chart of Martin ratio for EARN, currently valued at -0.51, compared to the broader market-5.000.005.0010.0015.0020.00
EARN: -0.51
VNQ: 2.38

The current EARN Sharpe Ratio is -0.16, which is lower than the VNQ Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of EARN and VNQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.00NovemberDecember2025FebruaryMarchApril
-0.16
0.70
EARN
VNQ

Dividends

EARN vs. VNQ - Dividend Comparison

EARN's dividend yield for the trailing twelve months is around 17.08%, more than VNQ's 4.18% yield.


TTM20242023202220212020201920182017201620152014
EARN
Ellington Residential Mortgage REIT
17.08%14.50%15.66%15.16%11.36%8.59%10.88%14.17%13.04%12.68%16.19%13.52%
VNQ
Vanguard Real Estate ETF
4.18%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%

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.


-40.00%-30.00%-20.00%-10.00%NovemberDecember2025FebruaryMarchApril
-30.79%
-14.68%
EARN
VNQ

Volatility

EARN vs. VNQ - Volatility Comparison

Ellington Residential Mortgage REIT (EARN) has a higher volatility of 16.65% compared to Vanguard Real Estate ETF (VNQ) at 10.36%. 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.


5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
16.65%
10.36%
EARN
VNQ