AGNC vs. FFUT
AGNC (AGNC Investment Corp.) is a stock, while FFUT (Fidelity Managed Futures ETF) is Systematic Trend fund actively managed by Fidelity. Over the past year, AGNC returned 26.67% vs 21.08% for FFUT. Their -0.07 correlation means they have often moved in opposite directions in the past.
Performance
AGNC vs. FFUT - Performance Comparison
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Returns By Period
In the year-to-date period, AGNC achieves a 7.24% return, which is significantly lower than FFUT's 11.35% return.
AGNC
- 1D
- 0.00%
- 1M
- -2.20%
- 6M
- -0.95%
- YTD
- 7.24%
- 1Y
- 26.67%
- 3Y*
- 18.62%
- 5Y*
- 5.97%
- 10Y*
- 6.26%
- ALL TIME*
- 11.51%
FFUT
- 1D
- -1.03%
- 1M
- 3.39%
- 6M
- 8.23%
- YTD
- 11.35%
- 1Y
- 21.08%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 17.72%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $254.42M | $219.78M | $180.51M | |
| $3.34M | $3.91M | $2.05M |
AGNC vs. FFUT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
AGNC AGNC Investment Corp. | 7.24% | 29.09% |
FFUT Fidelity Managed Futures ETF | 11.35% | 8.58% |
Correlation
The correlation between AGNC and FFUT is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.11 |
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025 | -0.07 |
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Return for Risk
AGNC vs. FFUT — Risk / Return Rank
AGNC
FFUT
AGNC vs. FFUT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AGNC Investment Corp. (AGNC) and Fidelity Managed Futures ETF (FFUT). 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 | FFUT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.51 | ||
| Sortino ratioReturn per unit of downside risk | -0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.34 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.43 | 3.79 | -2.36 |
| Martin ratioReturn relative to average drawdown | 3.94 | 12.78 | -8.85 |
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Drawdowns
AGNC vs. FFUT - Drawdown Comparison
The maximum AGNC drawdown since its inception was -54.56%, which is greater than FFUT's maximum drawdown of -5.59%. Use the drawdown chart below to compare losses from any high point for AGNC and FFUT.
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Drawdown Indicators
| AGNC | FFUT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.56% | -5.59% | -48.97% |
Max Drawdown (1Y)Largest decline over 1 year | -18.71% | -5.59% | -13.12% |
Max Drawdown (3Y)Largest decline over 3 years | -30.48% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -50.28% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -54.56% | — | — |
Current DrawdownCurrent decline from peak | -5.88% | -3.37% | -2.51% |
Average DrawdownAverage peak-to-trough decline | -13.50% | -1.13% | -12.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.79% | 1.65% | +5.14% |
Volatility
AGNC vs. FFUT - Volatility Comparison
AGNC Investment Corp. (AGNC) has a higher volatility of 6.96% compared to Fidelity Managed Futures ETF (FFUT) at 3.91%. This indicates that AGNC's price experiences larger fluctuations and is considered to be riskier than FFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AGNC | FFUT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.96% | 3.91% | +3.05% |
Volatility (6M)Calculated over the trailing 6-month period | 16.20% | 9.31% | +6.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.58% | 11.69% | +8.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.82% | 11.14% | +14.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.50% | 11.14% | +14.36% |
Dividends
AGNC vs. FFUT - Dividend Comparison
AGNC's dividend yield for the trailing twelve months is around 13.53%, more than FFUT's 1.88% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 13.53% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
FFUT Fidelity Managed Futures ETF | 1.88% | 2.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
AGNC and FFUT have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AGNC has higher volatility (6.96%) compared to FFUT (3.91%). In terms of maximum drawdown, AGNC dropped -54.56% vs FFUT's -5.59%.
FFUT currently has the higher Sharpe Ratio (1.81 vs 1.31), 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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