FXG vs. AGNC
Compare and contrast key facts about First Trust Consumer Staples AlphaDEX Fund (FXG) and AGNC Investment Corp. (AGNC).
FXG is a passively managed fund by First Trust that tracks the performance of the StrataQuant Consumer Staples Index. It was launched on May 8, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FXG or AGNC.
Performance
FXG vs. AGNC - Performance Comparison
Returns By Period
In the year-to-date period, FXG achieves a 8.59% return, which is significantly lower than AGNC's 11.46% return. Over the past 10 years, FXG has outperformed AGNC with an annualized return of 6.68%, while AGNC has yielded a comparatively lower 3.35% annualized return.
FXG
8.59%
-0.35%
0.84%
14.23%
8.69%
6.68%
AGNC
11.46%
-7.62%
5.26%
27.91%
0.74%
3.35%
Key characteristics
| FXG | AGNC | |
|---|---|---|
| Sharpe Ratio | 1.34 | 1.42 |
| Sortino Ratio | 1.96 | 1.99 |
| Omega Ratio | 1.23 | 1.26 |
| Calmar Ratio | 1.54 | 0.79 |
| Martin Ratio | 5.50 | 7.46 |
| Ulcer Index | 2.69% | 3.88% |
| Daily Std Dev | 11.09% | 20.42% |
| Max Drawdown | -38.69% | -54.56% |
| Current Drawdown | -1.47% | -18.54% |
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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.
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.
Dividends
FXG vs. AGNC - Dividend Comparison
FXG's dividend yield for the trailing twelve months is around 1.57%, less than AGNC's 14.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXG First Trust Consumer Staples AlphaDEX Fund | 1.57% | 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. | 14.89% | 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.
Volatility
FXG vs. AGNC - Volatility Comparison
The current volatility for First Trust Consumer Staples AlphaDEX Fund (FXG) is 3.06%, while AGNC Investment Corp. (AGNC) has a volatility of 6.69%. 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.