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.
Key characteristics
| ORC | SPY | |
|---|---|---|
| YTD Return | 6.68% | 26.83% |
| 1Y Return | 29.96% | 34.88% |
| 3Y Return (Ann) | -18.55% | 10.16% |
| 5Y Return (Ann) | -8.24% | 15.71% |
| 10Y Return (Ann) | -5.61% | 13.33% |
| Sharpe Ratio | 1.39 | 3.08 |
| Sortino Ratio | 1.96 | 4.10 |
| Omega Ratio | 1.26 | 1.58 |
| Calmar Ratio | 0.54 | 4.46 |
| Martin Ratio | 7.90 | 20.22 |
| Ulcer Index | 4.54% | 1.85% |
| Daily Std Dev | 25.76% | 12.18% |
| Max Drawdown | -75.77% | -55.19% |
| Current Drawdown | -55.66% | -0.26% |
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.
Performance
ORC vs. SPY - Performance Comparison
In the year-to-date period, ORC achieves a 6.68% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, ORC has underperformed SPY with an annualized return of -5.61%, while SPY has yielded a comparatively higher 13.33% 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
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 18.49%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ORC Orchid Island Capital, Inc. | 18.49% | 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 | 1.17% | 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 6.13% compared to SPDR S&P 500 ETF (SPY) at 3.77%. 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.