AGNCM vs. JPST

Last updated Jun 4, 2026

AGNCM (AGNC Investment Corp.) is a stock, while JPST (JPMorgan Ultra-Short Income ETF) is Ultrashort Bond fund actively managed by JPMorgan. Over the past 5 years, AGNCM returned 7.92%/yr vs 3.61%/yr for JPST. At a 0.09 correlation, their price movements are largely independent.

Performance

AGNCM vs. JPST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AGNC Investment Corp. (AGNCM) and JPMorgan Ultra-Short Income ETF (JPST). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AGNCM achieves a 4.61% return, which is significantly higher than JPST's 1.40% return.

AGNCM

• 1D: 0.08%
• 1M: 0.76%
• YTD: 4.61%
• 6M: 6.61%
• 1Y: 11.74%
• 3Y*: 13.87%
• 5Y*: 7.92%
• 10Y*: —

JPST

• 1D: 0.00%
• 1M: 0.35%
• YTD: 1.40%
• 6M: 1.74%
• 1Y: 4.31%
• 3Y*: 5.16%
• 5Y*: 3.61%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AGNCM vs. JPST - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AGNCM AGNC Investment Corp.	4.61%	5.19%	18.72%	27.86%	-16.44%	10.76%	4.22%	9.97%
JPST JPMorgan Ultra-Short Income ETF	1.40%	4.99%	5.58%	5.13%	1.14%	0.11%	2.18%	2.68%

Correlation

The correlation between AGNCM and JPST is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (3Y) Calculated over the trailing 3-year period	0.18
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (All Time) Calculated using the full available price history since Mar 1, 2019	0.09

Return for Risk

AGNCM vs. JPST — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AGNCM

AGNCM Risk / Return Rank: 87
AGNCM Sharpe Ratio Rank: 87
AGNCM Sortino Ratio Rank: 89
AGNCM Omega Ratio Rank: 88
AGNCM Calmar Ratio Rank: 84
AGNCM Martin Ratio Rank: 90

JPST

JPST Risk / Return Rank: 99
JPST Sharpe Ratio Rank: 99
JPST Sortino Ratio Rank: 99
JPST Omega Ratio Rank: 99
JPST Calmar Ratio Rank: 99
JPST Martin Ratio Rank: 99

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AGNCM vs. JPST - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AGNC Investment Corp. (AGNCM) and JPMorgan Ultra-Short Income ETF (JPST). 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.

	AGNCM	JPST	Difference
Sharpe ratio: Return per unit of total volatility	1.99	8.09	-6.11
Sortino ratio: Return per unit of downside risk	3.08	17.60	-14.52
Omega ratio: Gain probability vs. loss probability	1.41	3.94	-2.53
Calmar ratio: Return relative to maximum drawdown	3.24	29.16	-25.93
Martin ratio: Return relative to average drawdown	12.05	144.13	-132.08
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AGNCM vs. JPST - Sharpe Ratio Comparison

The current AGNCM Sharpe Ratio is 1.99, which is lower than the JPST Sharpe Ratio of 8.09. The chart below compares the historical Sharpe Ratios of AGNCM and JPST, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AGNCM	JPST	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.99	8.09	-6.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	6.32	-5.72
Sharpe Ratio (All Time) Calculated using the full available price history	0.31	3.20	-2.89

Drawdowns

AGNCM vs. JPST - Drawdown Comparison

The maximum AGNCM drawdown since its inception was -55.99%, which is greater than JPST's maximum drawdown of -3.28%. Use the drawdown chart below to compare losses from any high point for AGNCM and JPST.

Drawdown Indicators

	AGNCM	JPST	Difference
Max Drawdown Largest peak-to-trough decline	-55.99%	-3.28%	-52.71%
Max Drawdown (1Y) Largest decline over 1 year	-3.64%	-0.15%	-3.49%
Max Drawdown (3Y) Largest decline over 3 years	-13.96%	-0.30%	-13.66%
Max Drawdown (5Y) Largest decline over 5 years	-28.38%	-0.79%	-27.59%
Current Drawdown Current decline from peak	-0.08%	-0.02%	-0.06%
Average Drawdown Average peak-to-trough decline	-4.14%	-0.08%	-4.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	0.03%	+0.95%

Volatility

AGNCM vs. JPST - Volatility Comparison

AGNC Investment Corp. (AGNCM) has a higher volatility of 1.34% compared to JPMorgan Ultra-Short Income ETF (JPST) at 0.15%. This indicates that AGNCM's price experiences larger fluctuations and is considered to be riskier than JPST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AGNCM	JPST	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.34%	0.15%	+1.19%
Volatility (6M) Calculated over the trailing 6-month period	4.42%	0.36%	+4.06%
Volatility (1Y) Calculated over the trailing 1-year period	5.94%	0.54%	+5.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.32%	0.58%	+12.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.54%	0.93%	+25.61%

Dividends

AGNCM vs. JPST - Dividend Comparison

AGNCM's dividend yield for the trailing twelve months is around 8.72%, more than JPST's 4.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
AGNCM AGNC Investment Corp.	8.72%	9.09%	8.94%	7.31%	8.66%	6.67%	6.91%	5.72%	0.00%	0.00%
JPST JPMorgan Ultra-Short Income ETF	4.26%	4.43%	5.16%	4.79%	1.83%	0.73%	1.43%	2.69%	2.07%	0.96%

Frequently Asked Questions

Can I hold both AGNCM and JPST in my portfolio?

AGNCM and JPST have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AGNCM or JPST?

AGNCM has higher volatility (1.34%) compared to JPST (0.15%). In terms of maximum drawdown, AGNCM dropped -55.99% vs JPST's -3.28%.

Which has better risk-adjusted returns?

JPST currently has the higher Sharpe Ratio (8.09 vs 1.99), 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.