CHMI vs. AGNC

Last updated Apr 2, 2026

Compare and contrast key facts about Cherry Hill Mortgage Investment Corporation (CHMI) and AGNC Investment Corp. (AGNC).

Performance

CHMI vs. AGNC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cherry Hill Mortgage Investment Corporation (CHMI) and AGNC Investment Corp. (AGNC). The values are adjusted to include any dividend payments, if applicable.

CHMI vs. AGNC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CHMI Cherry Hill Mortgage Investment Corporation	-1.24%	14.92%	-21.94%	-18.91%	-17.19%	1.54%	-28.09%	-6.76%	9.80%	10.00%
AGNC AGNC Investment Corp.	-3.40%	34.92%	8.90%	10.14%	-21.65%	5.20%	-1.78%	13.31%	-2.46%	23.73%

Fundamentals

Market Cap CHMI : $88.56M AGNC : $10.97B
EPS CHMI : $0.19 AGNC : $1.58
PE Ratio CHMI : 12.52 AGNC : 6.34
PEG Ratio CHMI : 0.46 AGNC : 0.02
PS Ratio CHMI : 2.12 AGNC : 5.51
PB Ratio CHMI : 0.52 AGNC : 1.05
Total Revenue (TTM) CHMI : $40.34M AGNC : $1.92B
Gross Profit (TTM) CHMI : $33.61M AGNC : $1.92B
EBITDA (TTM) CHMI : $38.25M AGNC : $4.52B

Returns By Period

In the year-to-date period, CHMI achieves a -1.24% return, which is significantly higher than AGNC's -3.40% return. Over the past 10 years, CHMI has underperformed AGNC with an annualized return of -3.69%, while AGNC has yielded a comparatively higher 6.23% annualized return.

CHMI

• 1D: -3.20%
• 1M: -8.09%
• YTD: -1.24%
• 6M: 7.20%
• 1Y: -12.10%
• 3Y*: -10.38%
• 5Y*: -10.85%
• 10Y*: -3.69%

AGNC

• 1D: -0.10%
• 1M: -9.03%
• YTD: -3.40%
• 6M: 7.97%
• 1Y: 21.99%
• 3Y*: 15.79%
• 5Y*: 2.93%
• 10Y*: 6.23%

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

Return for Risk

CHMI vs. AGNC — Risk / Return Rank

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

CHMI

CHMI Risk / Return Rank: 24
CHMI Sharpe Ratio Rank: 26
CHMI Sortino Ratio Rank: 24
CHMI Omega Ratio Rank: 24
CHMI Calmar Ratio Rank: 25
CHMI Martin Ratio Rank: 23

AGNC

AGNC Risk / Return Rank: 67
AGNC Sharpe Ratio Rank: 73
AGNC Sortino Ratio Rank: 63
AGNC Omega Ratio Rank: 65
AGNC Calmar Ratio Rank: 65
AGNC Martin Ratio Rank: 71

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.

CHMI vs. AGNC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cherry Hill Mortgage Investment Corporation (CHMI) and AGNC Investment Corp. (AGNC). 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.

	CHMI	AGNC	Difference
Sharpe ratio Return per unit of total volatility	-0.33	0.97	-1.30
Sortino ratio Return per unit of downside risk	-0.22	1.34	-1.56
Omega ratio Gain probability vs. loss probability	0.97	1.19	-0.22
Calmar ratio Return relative to maximum drawdown	-0.49	1.11	-1.61
Martin ratio Return relative to average drawdown	-1.00	3.75	-4.76
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CHMI vs. AGNC - Sharpe Ratio Comparison

The current CHMI Sharpe Ratio is -0.33, which is lower than the AGNC Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of CHMI and AGNC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CHMI	AGNC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.33	0.97	-1.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.34	0.11	-0.45
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.09	0.25	-0.33
Sharpe Ratio (All Time) Calculated using the full available price history	-0.07	0.42	-0.49

Correlation

The correlation between CHMI and AGNC is 0.48, 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.

Dividends

CHMI vs. AGNC - Dividend Comparison

CHMI's dividend yield for the trailing twelve months is around 18.60%, more than AGNC's 14.37% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHMI Cherry Hill Mortgage Investment Corporation	18.60%	19.61%	22.73%	17.82%	18.62%	13.06%	13.24%	12.20%	12.03%	10.89%	11.60%	15.23%
AGNC AGNC Investment Corp.	14.37%	13.43%	15.64%	14.68%	13.91%	9.57%	10.00%	11.31%	12.31%	10.70%	12.69%	14.30%

Drawdowns

CHMI vs. AGNC - Drawdown Comparison

The maximum CHMI drawdown since its inception was -81.93%, which is greater than AGNC's maximum drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for CHMI and AGNC.

Drawdown Indicators

	CHMI	AGNC	Difference
Max Drawdown Largest peak-to-trough decline	-81.93%	-54.56%	-27.37%
Max Drawdown (1Y) Largest decline over 1 year	-25.37%	-18.71%	-6.66%
Max Drawdown (5Y) Largest decline over 5 years	-61.98%	-54.56%	-7.42%
Max Drawdown (10Y) Largest decline over 10 years	-81.93%	-54.56%	-27.37%
Current Drawdown Current decline from peak	-62.29%	-14.91%	-47.38%
Average Drawdown Average peak-to-trough decline	-28.09%	-13.60%	-14.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.11%	5.55%	+7.56%

Volatility

CHMI vs. AGNC - Volatility Comparison

Cherry Hill Mortgage Investment Corporation (CHMI) has a higher volatility of 10.08% compared to AGNC Investment Corp. (AGNC) at 9.58%. This indicates that CHMI's price experiences larger fluctuations and is considered to be riskier than AGNC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CHMI	AGNC	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.08%	9.58%	+0.50%
Volatility (6M) Calculated over the trailing 6-month period	21.80%	15.07%	+6.73%
Volatility (1Y) Calculated over the trailing 1-year period	36.65%	22.88%	+13.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	32.50%	25.71%	+6.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	42.75%	25.31%	+17.44%

Financials