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AGNC vs. SPHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AGNCSPHD
YTD Return4.74%5.77%
1Y Return17.69%12.36%
3Y Return (Ann)-4.48%5.13%
5Y Return (Ann)0.00%5.38%
10Y Return (Ann)4.18%8.49%
Sharpe Ratio0.661.07
Daily Std Dev27.96%13.09%
Max Drawdown-54.56%-41.39%
Current Drawdown-23.45%-2.11%

Correlation

0.46
-1.001.00

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.


0.00%50.00%100.00%150.00%OctoberNovemberDecember2024FebruaryMarch
22.51%
174.29%
AGNC
SPHD

Compare stocks, funds, or ETFs


AGNC Investment Corp.

Invesco S&P 500® High Dividend Low Volatility ETF

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AGNC
AGNC Investment Corp.
0.66
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
1.07

AGNC vs. SPHD - Sharpe Ratio Comparison

The current AGNC Sharpe Ratio is 0.66, which is lower than the SPHD Sharpe Ratio of 1.07. The chart below compares the 12-month rolling Sharpe Ratio of AGNC and SPHD.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50OctoberNovemberDecember2024FebruaryMarch
0.66
1.07
AGNC
SPHD

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.


TTM20232022202120202019201820172016201520142013
AGNC
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%
SPHD
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


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-23.45%
-2.11%
AGNC
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.


5.00%10.00%15.00%OctoberNovemberDecember2024FebruaryMarch
4.69%
2.88%
AGNC
SPHD