RTYS.L vs. AGNC
Compare and contrast key facts about Invesco Russell 2000 UCITS ETF (RTYS.L) and AGNC Investment Corp. (AGNC).
RTYS.L is a passively managed fund by Invesco that tracks the performance of the Russell 2000 TR USD. It was launched on Mar 31, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RTYS.L or AGNC.
Key characteristics
| RTYS.L | AGNC | |
|---|---|---|
| YTD Return | 18.08% | 9.16% |
| 1Y Return | 42.91% | 30.17% |
| 3Y Return (Ann) | 1.07% | -3.58% |
| 5Y Return (Ann) | 9.70% | 0.30% |
| 10Y Return (Ann) | 8.48% | 3.27% |
| Sharpe Ratio | 1.71 | 1.50 |
| Sortino Ratio | 2.54 | 2.09 |
| Omega Ratio | 1.31 | 1.27 |
| Calmar Ratio | 1.36 | 0.80 |
| Martin Ratio | 9.42 | 8.33 |
| Ulcer Index | 3.83% | 3.70% |
| Daily Std Dev | 21.59% | 20.55% |
| Max Drawdown | -42.15% | -54.56% |
| Current Drawdown | -0.96% | -20.22% |
Correlation
The correlation between RTYS.L and AGNC is 0.24, 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.
Performance
RTYS.L vs. AGNC - Performance Comparison
In the year-to-date period, RTYS.L achieves a 18.08% return, which is significantly higher than AGNC's 9.16% return. Over the past 10 years, RTYS.L has outperformed AGNC with an annualized return of 8.48%, while AGNC has yielded a comparatively lower 3.27% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
RTYS.L vs. AGNC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 UCITS ETF (RTYS.L) 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
RTYS.L vs. AGNC - Dividend Comparison
RTYS.L has not paid dividends to shareholders, while AGNC's dividend yield for the trailing twelve months is around 15.21%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RTYS.L Invesco Russell 2000 UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AGNC AGNC Investment Corp. | 15.21% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% | 11.96% | 19.44% |
Drawdowns
RTYS.L vs. AGNC - Drawdown Comparison
The maximum RTYS.L drawdown since its inception was -42.15%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for RTYS.L and AGNC. For additional features, visit the drawdowns tool.
Volatility
RTYS.L vs. AGNC - Volatility Comparison
Invesco Russell 2000 UCITS ETF (RTYS.L) and AGNC Investment Corp. (AGNC) have volatilities of 7.01% and 7.00%, 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.