PortfoliosLab logo
IVR vs. AGNC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between IVR and AGNC is 0.41, 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.


Performance

IVR vs. AGNC - Performance Comparison

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

Loading data...

Key characteristics

Sharpe Ratio

IVR:

-0.10

AGNC:

0.37

Sortino Ratio

IVR:

0.03

AGNC:

0.53

Omega Ratio

IVR:

1.00

AGNC:

1.07

Calmar Ratio

IVR:

-0.03

AGNC:

0.24

Martin Ratio

IVR:

-0.29

AGNC:

0.91

Ulcer Index

IVR:

10.55%

AGNC:

7.23%

Daily Std Dev

IVR:

27.11%

AGNC:

21.88%

Max Drawdown

IVR:

-94.21%

AGNC:

-54.56%

Current Drawdown

IVR:

-91.22%

AGNC:

-18.46%

Fundamentals

Market Cap

IVR:

$484.68M

AGNC:

$9.01B

EPS

IVR:

$0.42

AGNC:

$0.36

PE Ratio

IVR:

17.50

AGNC:

24.54

PEG Ratio

IVR:

-6.09

AGNC:

17.55

PS Ratio

IVR:

6.94

AGNC:

15.44

PB Ratio

IVR:

0.83

AGNC:

1.07

Total Revenue (TTM)

IVR:

$69.84M

AGNC:

$1.08B

Gross Profit (TTM)

IVR:

$69.84M

AGNC:

$1.04B

EBITDA (TTM)

IVR:

$153.12M

AGNC:

$2.60B

Returns By Period

In the year-to-date period, IVR achieves a -3.83% return, which is significantly lower than AGNC's 2.46% return. Over the past 10 years, IVR has underperformed AGNC with an annualized return of -16.21%, while AGNC has yielded a comparatively higher 3.72% annualized return.


IVR

YTD

-3.83%

1M

1.51%

6M

-1.73%

1Y

-2.79%

3Y*

-9.56%

5Y*

-11.20%

10Y*

-16.21%

AGNC

YTD

2.46%

1M

2.83%

6M

0.41%

1Y

7.99%

3Y*

4.19%

5Y*

5.07%

10Y*

3.72%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Invesco Mortgage Capital Inc.

AGNC Investment Corp.

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

IVR vs. AGNC — Risk-Adjusted Performance Rank

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

IVR
The Risk-Adjusted Performance Rank of IVR is 4343
Overall Rank
The Sharpe Ratio Rank of IVR is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of IVR is 3838
Sortino Ratio Rank
The Omega Ratio Rank of IVR is 3737
Omega Ratio Rank
The Calmar Ratio Rank of IVR is 5050
Calmar Ratio Rank
The Martin Ratio Rank of IVR is 4646
Martin Ratio Rank

AGNC
The Risk-Adjusted Performance Rank of AGNC is 6060
Overall Rank
The Sharpe Ratio Rank of AGNC is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of AGNC is 5454
Sortino Ratio Rank
The Omega Ratio Rank of AGNC is 5454
Omega Ratio Rank
The Calmar Ratio Rank of AGNC is 6464
Calmar Ratio Rank
The Martin Ratio Rank of AGNC is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

IVR vs. AGNC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Mortgage Capital Inc. (IVR) 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.


The current IVR Sharpe Ratio is -0.10, which is lower than the AGNC Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of IVR 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.


Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

IVR vs. AGNC - Dividend Comparison

IVR's dividend yield for the trailing twelve months is around 20.87%, more than AGNC's 16.04% yield.


TTM20242023202220212020201920182017201620152014
IVR
Invesco Mortgage Capital Inc.
20.87%19.88%25.40%26.32%12.59%5.03%11.11%11.94%9.14%10.96%13.72%12.61%
AGNC
AGNC Investment Corp.
16.04%15.64%14.68%13.91%9.57%10.00%11.31%12.31%10.70%12.69%14.30%11.96%

Drawdowns

IVR vs. AGNC - Drawdown Comparison

The maximum IVR drawdown since its inception was -94.21%, which is greater than AGNC's maximum drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for IVR and AGNC.


Loading data...

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

IVR vs. AGNC - Volatility Comparison

Invesco Mortgage Capital Inc. (IVR) and AGNC Investment Corp. (AGNC) have volatilities of 6.92% and 6.74%, 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.


Loading data...

Financials

IVR vs. AGNC - Financials Comparison

This section allows you to compare key financial metrics between Invesco Mortgage Capital Inc. and AGNC Investment Corp.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


-2.00B-1.00B0.001.00B2.00B20212022202320242025
24.30M
-418.00M
(IVR) Total Revenue
(AGNC) Total Revenue
Values in USD except per share items