AGNC vs. XLE
AGNC (AGNC Investment Corp.) is a stock, while XLE (State Street Energy Select Sector SPDR ETF) is Energy Equities fund tracking the Energy Select Sector Index. Over the past 10 years, AGNC returned 7.26%/yr vs 9.38%/yr for XLE. At a 0.29 correlation, their price movements are largely independent.
Performance
AGNC vs. XLE - Performance Comparison
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Returns By Period
In the year-to-date period, AGNC achieves a 12.84% return, which is significantly lower than XLE's 28.11% return. Over the past 10 years, AGNC has underperformed XLE with an annualized return of 7.26%, while XLE has yielded a comparatively higher 9.38% annualized return.
AGNC
- 1D
- 1.25%
- 1M
- 9.42%
- 6M
- 4.55%
- YTD
- 12.84%
- 1Y
- 41.28%
- 3Y*
- 20.24%
- 5Y*
- 6.89%
- 10Y*
- 7.26%
XLE
- 1D
- -0.79%
- 1M
- 2.44%
- 6M
- 19.18%
- YTD
- 28.11%
- 1Y
- 34.12%
- 3Y*
- 15.16%
- 5Y*
- 22.73%
- 10Y*
- 9.38%
AGNC vs. XLE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 12.84% | 34.92% | 8.90% | 10.14% | -21.65% | 5.20% | -1.78% | 13.31% | -2.46% | 23.73% |
XLE State Street Energy Select Sector SPDR ETF | 28.11% | 7.88% | 5.56% | -0.63% | 64.32% | 53.28% | -32.67% | 11.74% | -18.22% | -0.89% |
Correlation
The correlation between AGNC and XLE is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.28 |
Correlation (All Time) Calculated using the full available price history since May 15, 2008 | 0.29 |
The correlation between AGNC and XLE shifts across timeframes, from -0.05 (1 year) to 0.29 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AGNC vs. XLE — Risk / Return Rank
AGNC
XLE
AGNC vs. XLE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AGNC Investment Corp. (AGNC) and State Street Energy Select Sector SPDR ETF (XLE). 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 | XLE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.44 | ||
| Sortino ratioReturn per unit of downside risk | +0.57 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.27 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.22 | 2.29 | -0.07 |
| Martin ratioReturn relative to average drawdown | 6.20 | 6.17 | +0.03 |
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Drawdowns
AGNC vs. XLE - Drawdown Comparison
The maximum AGNC drawdown since its inception was -54.56%, smaller than the maximum XLE drawdown of -71.26%. Use the drawdown chart below to compare losses from any high point for AGNC and XLE.
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Drawdown Indicators
| AGNC | XLE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.56% | -71.26% | +16.70% |
Max Drawdown (1Y)Largest decline over 1 year | -18.71% | -14.98% | -3.73% |
Max Drawdown (3Y)Largest decline over 3 years | -31.04% | -20.14% | -10.90% |
Max Drawdown (5Y)Largest decline over 5 years | -50.28% | -26.04% | -24.24% |
Max Drawdown (10Y)Largest decline over 10 years | -54.56% | -66.81% | +12.25% |
Current DrawdownCurrent decline from peak | -0.60% | -9.04% | +8.44% |
Average DrawdownAverage peak-to-trough decline | -13.52% | -17.95% | +4.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.67% | 5.54% | +1.13% |
Volatility
AGNC vs. XLE - Volatility Comparison
The current volatility for AGNC Investment Corp. (AGNC) is 5.80%, while State Street Energy Select Sector SPDR ETF (XLE) has a volatility of 7.06%. This indicates that AGNC experiences smaller price fluctuations and is considered to be less risky than XLE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AGNC | XLE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.80% | 7.06% | -1.26% |
Volatility (6M)Calculated over the trailing 6-month period | 16.50% | 16.68% | -0.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.98% | 21.00% | -1.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.75% | 25.90% | -0.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.43% | 29.58% | -4.15% |
Dividends
AGNC vs. XLE - Dividend Comparison
AGNC's dividend yield for the trailing twelve months is around 12.72%, more than XLE's 2.69% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 12.72% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
XLE State Street Energy Select Sector SPDR ETF | 2.69% | 3.28% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 6.72% | 3.54% | 3.03% | 2.26% | 3.39% |
Frequently Asked Questions
AGNC and XLE have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XLE has higher volatility (7.06%) compared to AGNC (5.80%). In terms of maximum drawdown, AGNC dropped -54.56% vs XLE's -71.26%.
AGNC currently has the higher Sharpe Ratio (2.08 vs 1.64), 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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