SPHD vs. AGNC
SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) is Dividend fund tracking the S&P 500 Low Volatility High Dividend Index, while AGNC (AGNC Investment Corp.) is a stock. Over the past 10 years, SPHD returned 7.28%/yr vs 6.49%/yr for AGNC. Their 0.47 correlation means their historical movements had little consistent relationship.
Performance
SPHD vs. AGNC - Performance Comparison
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Returns By Period
In the year-to-date period, SPHD achieves a 12.28% return, which is significantly higher than AGNC's 7.45% return. Over the past 10 years, SPHD has outperformed AGNC with an annualized return of 7.28%, while AGNC has yielded a comparatively lower 6.49% annualized return.
SPHD
- 1D
- -0.19%
- 1M
- 0.89%
- 6M
- 6.75%
- YTD
- 12.28%
- 1Y
- 15.51%
- 3Y*
- 12.02%
- 5Y*
- 8.00%
- 10Y*
- 7.28%
- ALL TIME*
- 9.83%
AGNC
- 1D
- -1.30%
- 1M
- -2.01%
- 6M
- 0.02%
- YTD
- 7.45%
- 1Y
- 28.92%
- 3Y*
- 17.90%
- 5Y*
- 6.03%
- 10Y*
- 6.49%
- ALL TIME*
- 11.52%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $253.15M | $213.45M | $176.42M | |
| $45.09M | $45.47M | $42.29M |
SPHD vs. AGNC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 12.28% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 20.26% | -6.17% | 11.90% |
AGNC AGNC Investment Corp. | 7.45% | 34.92% | 8.90% | 10.14% | -21.65% | 5.20% | -1.78% | 13.31% | -2.46% | 23.73% |
Correlation
The correlation between SPHD and AGNC is 0.42, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.42 |
Correlation (3Y) Balances recent behavior with more history. | 0.53 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.54 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.50 |
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012 | 0.47 |
The correlation between SPHD and AGNC shifts across timeframes, from 0.42 (1 year) to 0.54 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
SPHD vs. AGNC — Risk / Return Rank
SPHD
AGNC
SPHD vs. AGNC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) 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.
| SPHD | AGNC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | -0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.25 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.08 | 1.59 | +0.49 |
| Martin ratioReturn relative to average drawdown | 5.19 | 4.38 | +0.81 |
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Drawdowns
SPHD vs. AGNC - Drawdown Comparison
The maximum SPHD drawdown since its inception was -41.39%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for SPHD and AGNC.
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Drawdown Indicators
| SPHD | AGNC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.39% | -54.56% | +13.17% |
Max Drawdown (1Y)Largest decline over 1 year | -7.33% | -18.71% | +11.38% |
Max Drawdown (3Y)Largest decline over 3 years | -13.29% | -30.48% | +17.19% |
Max Drawdown (5Y)Largest decline over 5 years | -19.50% | -50.28% | +30.78% |
Max Drawdown (10Y)Largest decline over 10 years | -41.39% | -54.56% | +13.17% |
Current DrawdownCurrent decline from peak | -2.24% | -5.70% | +3.46% |
Average DrawdownAverage peak-to-trough decline | -4.66% | -13.50% | +8.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.93% | 6.77% | -3.84% |
Volatility
SPHD vs. AGNC - Volatility Comparison
The current volatility for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) is 4.63%, while AGNC Investment Corp. (AGNC) has a volatility of 7.45%. This indicates that SPHD 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.
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Volatility by Period
| SPHD | AGNC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.63% | 7.45% | -2.82% |
Volatility (6M)Calculated over the trailing 6-month period | 9.12% | 16.78% | -7.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.81% | 20.59% | -8.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.24% | 25.81% | -11.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.67% | 25.50% | -7.83% |
Dividends
SPHD vs. AGNC - Dividend Comparison
SPHD's dividend yield for the trailing twelve months is around 4.56%, less than AGNC's 13.51% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 13.51% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.56% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
SPHD and AGNC have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AGNC has higher volatility (7.45%) compared to SPHD (4.63%). In terms of maximum drawdown, SPHD dropped -41.39% vs AGNC's -54.56%.
AGNC currently has the higher Sharpe Ratio (1.44 vs 1.30), 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.
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