AGNC vs. SPHD
Compare and contrast key facts about AGNC Investment Corp. (AGNC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD).
SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AGNC or SPHD.
Key characteristics
AGNC | SPHD | |
---|---|---|
YTD Return | 4.74% | 5.77% |
1Y Return | 17.69% | 12.36% |
3Y Return (Ann) | -4.48% | 5.13% |
5Y Return (Ann) | 0.00% | 5.38% |
10Y Return (Ann) | 4.18% | 8.49% |
Sharpe Ratio | 0.66 | 1.07 |
Daily Std Dev | 27.96% | 13.09% |
Max Drawdown | -54.56% | -41.39% |
Current Drawdown | -23.45% | -2.11% |
Correlation
The correlation between AGNC and SPHD is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
AGNC vs. SPHD - Performance Comparison
In the year-to-date period, AGNC achieves a 4.74% return, which is significantly lower than SPHD's 5.77% return. Over the past 10 years, AGNC has underperformed SPHD with an annualized return of 4.18%, while SPHD has yielded a comparatively higher 8.49% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Risk-Adjusted Performance
AGNC vs. SPHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AGNC Investment Corp. (AGNC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
---|---|---|---|---|---|
AGNC Investment Corp. | 0.66 | ||||
Invesco S&P 500® High Dividend Low Volatility ETF | 1.07 |
Dividends
AGNC vs. SPHD - Dividend Comparison
AGNC's dividend yield for the trailing twelve months is around 15.76%, more than SPHD's 4.27% yield.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC Investment Corp. | 15.76% | 14.68% | 13.91% | 9.56% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% | 11.96% | 19.44% |
Invesco S&P 500® High Dividend Low Volatility ETF | 4.27% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% | 3.24% | 3.68% |
Drawdowns
AGNC vs. SPHD - Drawdown Comparison
The maximum AGNC drawdown since its inception was -54.56%, which is greater than SPHD's maximum drawdown of -41.39%. The drawdown chart below compares losses from any high point along the way for AGNC and SPHD
Volatility
AGNC vs. SPHD - Volatility Comparison
AGNC Investment Corp. (AGNC) has a higher volatility of 4.69% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.88%. This indicates that AGNC's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.