AGNC vs. BXMT
AGNC (AGNC Investment Corp.) and BXMT (Blackstone Mortgage Trust, Inc.) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 10 years, AGNC returned 6.33%/yr vs 5.02%/yr for BXMT. At a 0.40 correlation, their price movements are largely independent.
Performance
AGNC vs. BXMT - Performance Comparison
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Returns By Period
In the year-to-date period, AGNC achieves a 2.35% return, which is significantly higher than BXMT's -3.07% return. Over the past 10 years, AGNC has outperformed BXMT with an annualized return of 6.33%, while BXMT has yielded a comparatively lower 5.02% annualized return.
AGNC
- 1D
- 0.78%
- 1M
- 2.43%
- YTD
- 2.35%
- 6M
- 4.08%
- 1Y
- 28.97%
- 3Y*
- 16.54%
- 5Y*
- 4.24%
- 10Y*
- 6.33%
BXMT
- 1D
- 1.46%
- 1M
- 0.72%
- YTD
- -3.07%
- 6M
- -5.60%
- 1Y
- 3.30%
- 3Y*
- 7.73%
- 5Y*
- -0.89%
- 10Y*
- 5.02%
AGNC vs. BXMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 2.35% | 34.92% | 8.90% | 10.14% | -21.65% | 5.20% | -1.78% | 13.31% | -2.46% | 23.73% |
BXMT Blackstone Mortgage Trust, Inc. | -3.07% | 21.13% | -7.90% | 13.46% | -24.03% | 20.27% | -17.83% | 25.16% | 6.95% | 15.77% |
Correlation
The correlation between AGNC and BXMT is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.58 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.64 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since May 15, 2008 | 0.40 |
The correlation between AGNC and BXMT shifts across timeframes, from 0.40 (all time) to 0.64 (5 years), reflecting how their relationship changes across market environments.
Fundamentals
AGNC:
$11.65B
BXMT:
$3.06B
AGNC:
$1.33
BXMT:
$0.61
AGNC:
7.80
BXMT:
29.84
AGNC:
0.02
BXMT:
1.47
AGNC:
4.79
BXMT:
2.01
AGNC:
1.14
BXMT:
0.90
AGNC:
$2.33B
BXMT:
$1.54B
AGNC:
$2.30B
BXMT:
$960.53M
AGNC:
$3.72B
BXMT:
$957.49M
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Return for Risk
AGNC vs. BXMT — Risk / Return Rank
AGNC
BXMT
AGNC vs. BXMT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AGNC Investment Corp. (AGNC) and Blackstone Mortgage Trust, Inc. (BXMT). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AGNC | BXMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.34 | ||
| Sortino ratioReturn per unit of downside risk | +1.71 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.04 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 1.56 | 0.28 | +1.28 |
| Martin ratioReturn relative to average drawdown | 4.44 | 0.60 | +3.84 |
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Drawdowns
AGNC vs. BXMT - Drawdown Comparison
The maximum AGNC drawdown since its inception was -54.56%, smaller than the maximum BXMT drawdown of -97.98%. Use the drawdown chart below to compare losses from any high point for AGNC and BXMT.
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Drawdown Indicators
| AGNC | BXMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.56% | -97.98% | +43.42% |
Max Drawdown (1Y)Largest decline over 1 year | -18.71% | -12.02% | -6.69% |
Max Drawdown (3Y)Largest decline over 3 years | -31.04% | -23.29% | -7.75% |
Max Drawdown (5Y)Largest decline over 5 years | -50.65% | -43.02% | -7.63% |
Max Drawdown (10Y)Largest decline over 10 years | -54.56% | -67.86% | +13.30% |
Current DrawdownCurrent decline from peak | -9.85% | -34.94% | +25.09% |
Average DrawdownAverage peak-to-trough decline | -13.56% | -49.05% | +35.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.54% | 5.48% | +1.06% |
Volatility
AGNC vs. BXMT - Volatility Comparison
The current volatility for AGNC Investment Corp. (AGNC) is 5.55%, while Blackstone Mortgage Trust, Inc. (BXMT) has a volatility of 7.13%. This indicates that AGNC experiences smaller price fluctuations and is considered to be less risky than BXMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AGNC | BXMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.55% | 7.13% | -1.58% |
Volatility (6M)Calculated over the trailing 6-month period | 16.28% | 16.79% | -0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.58% | 21.91% | -2.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.74% | 27.75% | -2.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.41% | 32.64% | -7.23% |
Dividends
AGNC vs. BXMT - Dividend Comparison
AGNC's dividend yield for the trailing twelve months is around 13.87%, more than BXMT's 10.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 13.87% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
BXMT Blackstone Mortgage Trust, Inc. | 10.39% | 9.83% | 12.52% | 11.66% | 11.71% | 8.10% | 9.01% | 6.66% | 7.78% | 7.71% | 8.25% | 8.52% |
Financials
AGNC vs. BXMT - Financials Comparison
This section allows you to compare key financial metrics between AGNC Investment Corp. and Blackstone Mortgage Trust, Inc.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
AGNC and BXMT have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BXMT has higher volatility (7.13%) compared to AGNC (5.55%). In terms of maximum drawdown, AGNC dropped -54.56% vs BXMT's -97.98%.
AGNC currently has the higher Sharpe Ratio (1.49 vs 0.15), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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