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EFC vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFC and VOO 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.


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Performance

EFC vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ellington Financial Inc. (EFC) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember
4.62%
7.90%
EFC
VOO

Key characteristics

Sharpe Ratio

EFC:

0.36

VOO:

2.00

Sortino Ratio

EFC:

0.59

VOO:

2.68

Omega Ratio

EFC:

1.08

VOO:

1.37

Calmar Ratio

EFC:

0.34

VOO:

2.98

Martin Ratio

EFC:

1.36

VOO:

13.18

Ulcer Index

EFC:

5.27%

VOO:

1.91%

Daily Std Dev

EFC:

20.14%

VOO:

12.60%

Max Drawdown

EFC:

-79.08%

VOO:

-33.99%

Current Drawdown

EFC:

-6.52%

VOO:

-2.88%

Returns By Period

In the year-to-date period, EFC achieves a 7.16% return, which is significantly lower than VOO's 25.48% return. Over the past 10 years, EFC has underperformed VOO with an annualized return of 6.48%, while VOO has yielded a comparatively higher 13.16% annualized return.


EFC

YTD

7.16%

1M

-2.27%

6M

7.09%

1Y

7.16%

5Y*

3.27%

10Y*

6.48%

VOO

YTD

25.48%

1M

-1.94%

6M

8.60%

1Y

25.48%

5Y*

14.64%

10Y*

13.16%

*Annualized

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Risk-Adjusted Performance

EFC vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ellington Financial Inc. (EFC) and Vanguard S&P 500 ETF (VOO). 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 EFC, currently valued at 0.36, compared to the broader market-4.00-2.000.002.000.362.03
The chart of Sortino ratio for EFC, currently valued at 0.59, compared to the broader market-4.00-2.000.002.004.000.592.71
The chart of Omega ratio for EFC, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.38
The chart of Calmar ratio for EFC, currently valued at 0.34, compared to the broader market0.002.004.006.000.343.02
The chart of Martin ratio for EFC, currently valued at 1.36, compared to the broader market0.005.0010.0015.0020.0025.001.3613.33
EFC
VOO

The current EFC Sharpe Ratio is 0.36, which is lower than the VOO Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of EFC and VOO, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember
0.36
2.03
EFC
VOO

Dividends

EFC vs. VOO - Dividend Comparison

EFC's dividend yield for the trailing twelve months is around 13.25%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
EFC
Ellington Financial Inc.
13.25%14.16%14.55%9.60%8.49%9.87%10.70%12.13%12.56%14.60%15.43%16.89%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EFC vs. VOO - Drawdown Comparison

The maximum EFC drawdown since its inception was -79.08%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EFC and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember
-6.52%
-2.88%
EFC
VOO

Volatility

EFC vs. VOO - Volatility Comparison

The current volatility for Ellington Financial Inc. (EFC) is 3.82%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.09%. This indicates that EFC experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%AugustSeptemberOctoberNovemberDecember
3.82%
4.09%
EFC
VOO