ORC vs. SPY
Compare and contrast key facts about Orchid Island Capital, Inc. (ORC) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ORC or SPY.
Performance
ORC vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ORC achieves a 7.09% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, ORC has underperformed SPY with an annualized return of -5.42%, while SPY has yielded a comparatively higher 13.07% annualized return.
ORC
7.09%
-0.61%
-0.94%
26.73%
-8.53%
-5.42%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| ORC | SPY | |
|---|---|---|
| Sharpe Ratio | 1.04 | 2.62 |
| Sortino Ratio | 1.53 | 3.50 |
| Omega Ratio | 1.21 | 1.49 |
| Calmar Ratio | 0.40 | 3.78 |
| Martin Ratio | 5.68 | 17.00 |
| Ulcer Index | 4.61% | 1.87% |
| Daily Std Dev | 25.23% | 12.14% |
| Max Drawdown | -75.77% | -55.19% |
| Current Drawdown | -55.49% | -1.38% |
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Correlation
The correlation between ORC and SPY is 0.38, 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.
Risk-Adjusted Performance
ORC vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Orchid Island Capital, Inc. (ORC) and SPDR S&P 500 ETF (SPY). 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
ORC vs. SPY - Dividend Comparison
ORC's dividend yield for the trailing twelve months is around 18.41%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ORC Orchid Island Capital, Inc. | 18.41% | 21.35% | 23.57% | 17.33% | 15.13% | 16.41% | 16.74% | 18.10% | 15.51% | 19.34% | 16.55% | 10.73% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ORC vs. SPY - Drawdown Comparison
The maximum ORC drawdown since its inception was -75.77%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ORC and SPY. For additional features, visit the drawdowns tool.
Volatility
ORC vs. SPY - Volatility Comparison
Orchid Island Capital, Inc. (ORC) has a higher volatility of 5.25% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that ORC's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.