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AGM-A vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between AGM-A and SPY is 0.19, 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.


-0.50.00.51.00.2

Performance

AGM-A vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federal Agricultural Mortgage Corporation (AGM-A) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%AugustSeptemberOctoberNovemberDecember
21.21%
7.35%
AGM-A
SPY

Key characteristics

Sharpe Ratio

AGM-A:

0.61

SPY:

1.99

Sortino Ratio

AGM-A:

1.15

SPY:

2.66

Omega Ratio

AGM-A:

1.17

SPY:

1.37

Calmar Ratio

AGM-A:

1.20

SPY:

2.97

Martin Ratio

AGM-A:

2.57

SPY:

13.06

Ulcer Index

AGM-A:

11.11%

SPY:

1.91%

Daily Std Dev

AGM-A:

48.52%

SPY:

12.59%

Max Drawdown

AGM-A:

-95.31%

SPY:

-55.19%

Current Drawdown

AGM-A:

-9.56%

SPY:

-2.90%

Returns By Period

Over the past 10 years, AGM-A has outperformed SPY with an annualized return of 27.25%, while SPY has yielded a comparatively lower 13.08% annualized return.


AGM-A

YTD

0.00%

1M

-9.09%

6M

21.21%

1Y

-1.70%

5Y*

22.75%

10Y*

27.25%

SPY

YTD

25.34%

1M

-2.05%

6M

8.56%

1Y

25.34%

5Y*

14.57%

10Y*

13.08%

*Annualized

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Risk-Adjusted Performance

AGM-A vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Federal Agricultural Mortgage Corporation (AGM-A) 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.


Sharpe ratio
The chart of Sharpe ratio for AGM-A, currently valued at -0.04, compared to the broader market-4.00-2.000.002.00-0.042.02
The chart of Sortino ratio for AGM-A, currently valued at 0.23, compared to the broader market-4.00-2.000.002.004.000.232.70
The chart of Omega ratio for AGM-A, currently valued at 1.04, compared to the broader market0.501.001.502.001.041.38
The chart of Calmar ratio for AGM-A, currently valued at -0.07, compared to the broader market0.002.004.006.00-0.073.01
The chart of Martin ratio for AGM-A, currently valued at -0.17, compared to the broader market0.005.0010.0015.0020.0025.00-0.1713.22
AGM-A
SPY

The current AGM-A Sharpe Ratio is 0.61, which is lower than the SPY Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of AGM-A and SPY, 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
-0.04
2.02
AGM-A
SPY

Dividends

AGM-A vs. SPY - Dividend Comparison

AGM-A's dividend yield for the trailing twelve months is around 3.76%, more than SPY's 1.20% yield.


TTM2023202220212020201920182017201620152014
AGM-A
Federal Agricultural Mortgage Corporation
3.76%2.80%3.96%2.97%4.90%3.76%4.07%1.98%1.70%2.42%2.46%
SPY
SPDR S&P 500 ETF
1.20%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

AGM-A vs. SPY - Drawdown Comparison

The maximum AGM-A drawdown since its inception was -95.31%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AGM-A and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember
-9.56%
-2.90%
AGM-A
SPY

Volatility

AGM-A vs. SPY - Volatility Comparison

Federal Agricultural Mortgage Corporation (AGM-A) has a higher volatility of 12.65% compared to SPDR S&P 500 ETF (SPY) at 4.16%. This indicates that AGM-A'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.


0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember
12.65%
4.16%
AGM-A
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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