XYLD vs. AGNC

Last updated Jun 13, 2026

XYLD (Global X S&P 500 Covered Call ETF) is Derivative Income fund tracking the Cboe S&P 500 BuyWrite Index, while AGNC (AGNC Investment Corp.) is a stock. Over the past 10 years, XYLD returned 8.35%/yr vs 6.63%/yr for AGNC. At a 0.34 correlation, their price movements are largely independent.

Performance

XYLD vs. AGNC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X S&P 500 Covered Call ETF (XYLD) and AGNC Investment Corp. (AGNC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, XYLD achieves a 4.83% return, which is significantly higher than AGNC's 1.66% return. Over the past 10 years, XYLD has outperformed AGNC with an annualized return of 8.35%, while AGNC has yielded a comparatively lower 6.63% annualized return.

XYLD

• 1D: 0.57%
• 1M: 1.15%
• YTD: 4.83%
• 6M: 6.01%
• 1Y: 16.64%
• 3Y*: 11.00%
• 5Y*: 7.61%
• 10Y*: 8.35%

AGNC

• 1D: 0.10%
• 1M: -1.89%
• YTD: 1.66%
• 6M: 6.78%
• 1Y: 26.20%
• 3Y*: 16.54%
• 5Y*: 2.89%
• 10Y*: 6.63%

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

XYLD vs. AGNC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
XYLD Global X S&P 500 Covered Call ETF	4.83%	8.02%	19.49%	11.10%	-12.05%	19.59%	-0.56%	21.41%	-6.09%	16.49%
AGNC AGNC Investment Corp.	1.66%	34.92%	8.90%	10.14%	-21.65%	5.20%	-1.78%	13.31%	-2.46%	23.73%

Correlation

The correlation between XYLD and AGNC is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (10Y) Calculated over the trailing 10-year period	0.38
Correlation (All Time) Calculated using the full available price history since Jun 24, 2013	0.34

The correlation between XYLD and AGNC shifts across timeframes, from 0.34 (all time) to 0.48 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

XYLD vs. AGNC — Risk / Return Rank

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

XYLD

XYLD Risk / Return Rank: 85
XYLD Sharpe Ratio Rank: 87
XYLD Sortino Ratio Rank: 88
XYLD Omega Ratio Rank: 93
XYLD Calmar Ratio Rank: 72
XYLD Martin Ratio Rank: 88

AGNC

AGNC Risk / Return Rank: 75
AGNC Sharpe Ratio Rank: 81
AGNC Sortino Ratio Rank: 76
AGNC Omega Ratio Rank: 74
AGNC Calmar Ratio Rank: 70
AGNC Martin Ratio Rank: 74

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.

XYLD vs. AGNC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Covered Call ETF (XYLD) 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.

	XYLD	AGNC	Difference
Sharpe ratio: Return per unit of total volatility	2.46	1.35	+1.11
Sortino ratio: Return per unit of downside risk	3.49	1.93	+1.57
Omega ratio: Gain probability vs. loss probability	1.57	1.23	+0.33
Calmar ratio: Return relative to maximum drawdown	3.16	1.41	+1.75
Martin ratio: Return relative to average drawdown	16.57	4.08	+12.49

XYLD vs. AGNC - Sharpe Ratio Comparison

The current XYLD Sharpe Ratio is 2.46, which is higher than the AGNC Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of XYLD 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

XYLD vs. AGNC - Drawdown Comparison

The maximum XYLD drawdown since its inception was -33.46%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for XYLD and AGNC.

Drawdown Indicators

	XYLD	AGNC	Difference
Max Drawdown Largest peak-to-trough decline	-33.46%	-54.56%	+21.10%
Max Drawdown (1Y) Largest decline over 1 year	-5.29%	-18.71%	+13.42%
Max Drawdown (3Y) Largest decline over 3 years	-15.53%	-31.04%	+15.51%
Max Drawdown (5Y) Largest decline over 5 years	-18.66%	-51.80%	+33.14%
Max Drawdown (10Y) Largest decline over 10 years	-33.46%	-54.56%	+21.10%
Current Drawdown Current decline from peak	-0.29%	-10.46%	+10.17%
Average Drawdown Average peak-to-trough decline	-3.71%	-13.56%	+9.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.01%	6.44%	-5.43%

Volatility

XYLD vs. AGNC - Volatility Comparison

The current volatility for Global X S&P 500 Covered Call ETF (XYLD) is 2.17%, while AGNC Investment Corp. (AGNC) has a volatility of 5.37%. This indicates that XYLD 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.

Volatility by Period

	XYLD	AGNC	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.17%	5.37%	-3.20%
Volatility (6M) Calculated over the trailing 6-month period	5.71%	16.00%	-10.29%
Volatility (1Y) Calculated over the trailing 1-year period	6.79%	19.45%	-12.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.25%	25.75%	-14.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.22%	25.39%	-11.17%

Dividends

XYLD vs. AGNC - Dividend Comparison

XYLD's dividend yield for the trailing twelve months is around 10.53%, less than AGNC's 13.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AGNC AGNC Investment Corp.	13.97%	13.43%	15.64%	14.68%	13.91%	9.57%	10.00%	11.31%	12.31%	10.70%	12.69%	14.30%
XYLD Global X S&P 500 Covered Call ETF	10.53%	10.51%	11.54%	10.51%	13.43%	9.07%	7.93%	5.76%	7.12%	5.18%	3.23%	4.65%

Frequently Asked Questions

Can I hold both XYLD and AGNC in my portfolio?

XYLD 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.

Which is riskier, XYLD or AGNC?

AGNC has higher volatility (5.37%) compared to XYLD (2.17%). In terms of maximum drawdown, XYLD dropped -33.46% vs AGNC's -54.56%.

Which has better risk-adjusted returns?

XYLD currently has the higher Sharpe Ratio (2.46 vs 1.35), 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.