FXG vs. AGNC

Last updated Jun 24, 2026

FXG (First Trust Consumer Staples AlphaDEX Fund) is Consumer Staples Equities fund tracking the StrataQuant Consumer Staples Index, while AGNC (AGNC Investment Corp.) is a stock. Over the past 10 years, FXG returned 4.68%/yr vs 6.26%/yr for AGNC. At a 0.34 correlation, their price movements are largely independent.

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.

Returns By Period

The year-to-date returns for both investments are quite close, with FXG having a 2.89% return and AGNC slightly higher at 2.94%. Over the past 10 years, FXG has underperformed AGNC with an annualized return of 4.68%, while AGNC has yielded a comparatively higher 6.26% annualized return.

FXG

• 1D: 2.07%
• 1M: 1.23%
• YTD: 2.89%
• 6M: 2.89%
• 1Y: -0.88%
• 3Y*: 2.22%
• 5Y*: 3.58%
• 10Y*: 4.68%

AGNC

• 1D: 0.58%
• 1M: 3.43%
• YTD: 2.94%
• 6M: 3.70%
• 1Y: 30.57%
• 3Y*: 17.81%
• 5Y*: 3.81%
• 10Y*: 6.26%

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

FXG vs. AGNC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FXG First Trust Consumer Staples AlphaDEX Fund	2.89%	-2.66%	3.21%	1.97%	3.28%	21.73%	4.85%	20.65%	-11.49%	7.87%
AGNC AGNC Investment Corp.	2.94%	34.92%	8.90%	10.14%	-21.65%	5.20%	-1.78%	13.31%	-2.46%	23.73%

Correlation

The correlation between FXG and AGNC is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.40
Correlation (10Y) Calculated over the trailing 10-year period	0.37
Correlation (All Time) Calculated using the full available price history since May 15, 2008	0.35

Return for Risk

FXG vs. AGNC — Risk / Return Rank

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

FXG

FXG Risk / Return Rank: 8
FXG Sharpe Ratio Rank: 8
FXG Sortino Ratio Rank: 8
FXG Omega Ratio Rank: 7
FXG Calmar Ratio Rank: 8
FXG Martin Ratio Rank: 8

AGNC

AGNC Risk / Return Rank: 77
AGNC Sharpe Ratio Rank: 83
AGNC Sortino Ratio Rank: 79
AGNC Omega Ratio Rank: 77
AGNC Calmar Ratio Rank: 71
AGNC Martin Ratio Rank: 75

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.

FXG vs. AGNC - Risk-Adjusted Trends 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.

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.

	FXG	AGNC	Difference
Sharpe ratio: Return per unit of total volatility	-0.07	1.57	-1.64
Sortino ratio: Return per unit of downside risk	0.00	2.17	-2.17
Omega ratio: Gain probability vs. loss probability	1.00	1.27	-0.27
Calmar ratio: Return relative to maximum drawdown	-0.07	1.64	-1.71
Martin ratio: Return relative to average drawdown	-0.15	4.64	-4.79

FXG vs. AGNC - Sharpe Ratio Comparison

The current FXG Sharpe Ratio is -0.07, which is lower than the AGNC Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of FXG and AGNC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	FXG	AGNC	Difference
Max Drawdown Largest peak-to-trough decline	-38.69%	-54.56%	+15.87%
Max Drawdown (1Y) Largest decline over 1 year	-12.75%	-18.71%	+5.96%
Max Drawdown (3Y) Largest decline over 3 years	-12.75%	-31.04%	+18.29%
Max Drawdown (5Y) Largest decline over 5 years	-15.70%	-50.65%	+34.95%
Max Drawdown (10Y) Largest decline over 10 years	-27.54%	-54.56%	+27.02%
Current Drawdown Current decline from peak	-10.01%	-9.33%	-0.68%
Average Drawdown Average peak-to-trough decline	-6.03%	-13.55%	+7.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.87%	6.60%	-0.73%

Volatility

FXG vs. AGNC - Volatility Comparison

First Trust Consumer Staples AlphaDEX Fund (FXG) and AGNC Investment Corp. (AGNC) have volatilities of 5.33% and 5.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXG	AGNC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.33%	5.46%	-0.13%
Volatility (6M) Calculated over the trailing 6-month period	10.04%	16.21%	-6.17%
Volatility (1Y) Calculated over the trailing 1-year period	13.40%	19.57%	-6.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.58%	25.73%	-12.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.97%	25.42%	-10.45%

Dividends

FXG vs. AGNC - Dividend Comparison

FXG's dividend yield for the trailing twelve months is around 2.82%, less than AGNC's 13.79% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AGNC AGNC Investment Corp.	13.79%	13.43%	15.64%	14.68%	13.91%	9.57%	10.00%	11.31%	12.31%	10.70%	12.69%	14.30%
FXG First Trust Consumer Staples AlphaDEX Fund	2.82%	2.83%	1.70%	1.41%	1.83%	1.38%	1.41%	1.63%	2.31%	1.34%	1.72%	1.67%

Frequently Asked Questions

Can I hold both FXG and AGNC in my portfolio?

FXG and AGNC have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXG or AGNC?

AGNC has higher volatility (5.46%) compared to FXG (5.33%). In terms of maximum drawdown, FXG dropped -38.69% vs AGNC's -54.56%.

Which has better risk-adjusted returns?

AGNC currently has the higher Sharpe Ratio (1.57 vs -0.07), 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.