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

Correlation

The correlation between FXG and AGNC is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

FXG vs. AGNC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Consumer Staples AlphaDEX Fund (FXG) and AGNC Investment Corp. (AGNC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.97%
2.13%
FXG
AGNC

Key characteristics

Sharpe Ratio

FXG:

0.34

AGNC:

0.48

Sortino Ratio

FXG:

0.55

AGNC:

0.75

Omega Ratio

FXG:

1.06

AGNC:

1.10

Calmar Ratio

FXG:

0.45

AGNC:

0.29

Martin Ratio

FXG:

1.33

AGNC:

2.03

Ulcer Index

FXG:

2.84%

AGNC:

4.44%

Daily Std Dev

FXG:

11.04%

AGNC:

18.94%

Max Drawdown

FXG:

-38.69%

AGNC:

-54.56%

Current Drawdown

FXG:

-8.39%

AGNC:

-20.93%

Returns By Period

In the year-to-date period, FXG achieves a 2.90% return, which is significantly lower than AGNC's 8.18% return. Over the past 10 years, FXG has outperformed AGNC with an annualized return of 5.75%, while AGNC has yielded a comparatively lower 3.29% annualized return.


FXG

YTD

2.90%

1M

-5.24%

6M

-0.09%

1Y

5.65%

5Y*

6.75%

10Y*

5.75%

AGNC

YTD

8.18%

1M

-2.94%

6M

1.81%

1Y

9.93%

5Y*

-0.58%

10Y*

3.29%

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Risk-Adjusted Performance

FXG vs. AGNC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Consumer Staples AlphaDEX Fund (FXG) 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.


Sharpe ratio
The chart of Sharpe ratio for FXG, currently valued at 0.34, compared to the broader market0.002.004.000.340.48
The chart of Sortino ratio for FXG, currently valued at 0.55, compared to the broader market-2.000.002.004.006.008.0010.000.550.75
The chart of Omega ratio for FXG, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.10
The chart of Calmar ratio for FXG, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.450.29
The chart of Martin ratio for FXG, currently valued at 1.33, compared to the broader market0.0020.0040.0060.0080.00100.001.332.03
FXG
AGNC

The current FXG Sharpe Ratio is 0.34, which is comparable to the AGNC Sharpe Ratio of 0.48. The chart below compares the historical Sharpe Ratios of FXG 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.34
0.48
FXG
AGNC

Dividends

FXG vs. AGNC - Dividend Comparison

FXG's dividend yield for the trailing twelve months is around 1.66%, less than AGNC's 15.53% yield.


TTM20232022202120202019201820172016201520142013
FXG
First Trust Consumer Staples AlphaDEX Fund
1.66%1.41%1.83%1.38%1.41%1.63%2.30%1.34%1.71%1.67%1.24%0.95%
AGNC
AGNC Investment Corp.
15.53%14.68%13.91%9.57%10.00%11.31%12.31%10.70%12.69%14.30%11.96%19.44%

Drawdowns

FXG vs. AGNC - Drawdown Comparison

The maximum FXG drawdown since its inception was -38.69%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for FXG and AGNC. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.39%
-20.93%
FXG
AGNC

Volatility

FXG vs. AGNC - Volatility Comparison

The current volatility for First Trust Consumer Staples AlphaDEX Fund (FXG) is 3.48%, while AGNC Investment Corp. (AGNC) has a volatility of 4.38%. This indicates that FXG experiences smaller price fluctuations and is considered to be less risky than AGNC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.48%
4.38%
FXG
AGNC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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