AGNC Investment Corp

10-Year Study

AGNC.US · Real Estate · US · Common Stock

Executive Summary: AGNC Investment Corp has compounded at 6.3% annually over the last 10 years, with a maximum drawdown of 48.1% and an annualized volatility of 38.7%.

1Y CAGR
+33.0%
3Y CAGR
+20.2%
5Y CAGR
+1.5%
10Y CAGR
+6.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
48.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.23
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.25
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
27.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +34.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -21.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.4-1.7-10.55.3————————-0.5%
20259.65.8-7.0-6.62.64.13.94.81.53.46.13.334.9%
2024-2.22.14.8-6.46.10.76.23.23.6-9.95.1-3.48.9%
202313.2-5.3-6.1-0.5-6.111.51.8-1.6-3.5-20.521.212.610.1%
2022-0.2-12.52.4-15.312.5-8.515.0-4.3-28.6-0.923.04.8-21.7%
20210.83.55.37.74.1-8.3-5.33.5-2.61.7-3.2-0.95.2%
20206.1-7.5-37.118.55.10.66.44.6-0.61.310.22.9-1.8%
20193.1-0.43.0-0.2-6.93.52.8-12.39.37.02.53.013.3%
2018-6.1-3.66.51.00.4-0.35.7-1.4-1.1-3.30.20.1-2.5%
20174.06.12.26.9-0.53.30.32.61.5-6.3-0.32.423.7%
2016———-0.33.96.0-0.1-0.52.13.6-6.1-1.96.4%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 38.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 35.2% of variance. Idiosyncratic stock-specific factors contribute 12.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019969.84654042897
2016-05-0110360.585120703581
2016-06-0110984.295073140087
2016-07-0110968.320918962576
2016-08-0110911.244727631696
2016-09-0111142.600735888
2016-10-0111541.595620568965
2016-11-0110839.2712913937
2016-12-0110637.171318316432
2017-01-0111058.601812797271
2017-02-0111734.721349726286
2017-03-0111998.564120972806
2017-04-0112820.963833797001
2017-05-0112761.733823925335
2017-06-0113177.959256932603
2017-07-0113222.292021897152
2017-08-0113559.723593287265
2017-09-0113761.644081486133
2017-10-0112889.886027102217
2017-11-0112856.8608094768
2017-12-0113161.087678363097
2018-01-0112364.354303149958
2018-02-0111918.154895450058
2018-03-0112689.401417930538
2018-04-0112810.194741093062
2018-05-0112863.322265099165
2018-06-0112830.117562595351
2018-07-0113562.774836220045
2018-08-0113373.956744144303
2018-09-0113226.958628735529
2018-10-0112793.682132280355
2018-11-0112823.11765233779
2018-12-0112836.758503096113
2019-01-0113239.16360046666
2019-02-0113180.65153010859
2019-03-0113576.77465673517
2019-04-0113554.159562056895
2019-05-0112614.915193394956
2019-06-0113062.729965000448
2019-07-0113434.443148164768
2019-08-0111780.669478596428
2019-09-0112874.270842681502
2019-10-0113774.74647760926
2019-11-0114122.229202189714
2019-12-0114544.916090819346
2020-01-0115425.28941936642
2020-02-0114262.765861976128
2020-03-018964.731221394597
2020-04-0110624.248407071704
2020-05-0111168.446558377456
2020-06-0111239.702055101856
2020-07-0111953.692901373059
2020-08-0112508.48066050435
2020-09-0112435.789284752758
2020-10-0112597.146190433457
2020-11-0113884.950192946244
2020-12-0114285.7399264112
2021-01-0114395.225702234586
2021-02-0114899.75769541416
2021-03-0115690.568069640134
2021-04-0116898.860271022168
2021-05-0117587.36426456071
2021-06-0116134.793143677643
2021-07-0115273.983666876065
2021-08-0115812.258817194648
2021-09-0115403.39226420174
2021-10-0115664.722247150678
2021-11-0115159.113344700707
2021-12-0115028.44835322624
2022-01-0115000.0897424392
2022-02-0113127.344521224088
2022-03-0113439.468724759938
2022-04-0111387.777079781028
2022-05-0112811.092165485055
2022-06-0111719.28565018397
2022-07-0113480.032307278112
2022-08-0112900.296150049357
2022-09-019209.369110652427
2022-10-019129.498339764874
2022-11-0111233.59956923629
2022-12-0111774.028538095665
2023-01-0113333.034191869332
2023-02-0112630.530377815667
2023-03-0111855.873642645607
2023-04-0111800.771784977116
2023-05-0111086.780938705913
2023-06-0112364.713272906758
2023-07-0112585.65915821592
2023-08-0112386.610428071433
2023-09-0111952.077537467467
2023-10-019506.95503903796
2023-11-0111518.262586377097
2023-12-0112964.731221394597
2024-01-0112682.04253791618
2024-02-0112951.44934039307
2024-03-0113579.287445032754
2024-04-0112714.170331149602
2024-05-0113494.39109755003
2024-06-0113593.287265547877
2024-07-0114433.635466211972
2024-08-0114895.809028089385
2024-09-0115436.417481827157
2024-10-0113913.129318854884
2024-11-0114615.812617786953
2024-12-0114118.101049986537
2025-01-0115467.288880911781
2025-02-0116369.37987974513
2025-03-0115227.317598492327
2025-04-0114223.458673606749
2025-05-0114592.83855335188
2025-06-0115197.343623799696
2025-07-0115791.618056178764
2025-08-0116547.069909360136
2025-09-0116802.835861078704
2025-10-0117371.802925603515
2025-11-0118432.558556941578
2025-12-0119047.83272009333
2026-01-0120461.276137485416
2026-02-0120120.25486852733
2026-03-0118002.333303419186
2026-04-0118953.60315893386
Annual Return Matrix
YearAnnual Return
20170.23727326415253525
2018-0.024643037353225927
20190.133067673378076
2020-0.01781902094105159
20210.05198949656376839
2022-0.21655062043926399
20230.1011295903900975
20240.08896210873146626
20250.34917809786546994
2026-0.004946996466431153
Total Factor Risk
0.38666381133510014
VTI.US Exposure
0.10342453914054518
VEA.US Exposure
0.08356528357649978
VWO.US Exposure
0.04193702817348372
QQQ.US Exposure
-0.022223544219273715
VTV.US Exposure
0.09302839806348112
IJR.US Exposure
-0.003603484482916661
QUAL.US Exposure
-0.08107215200716979
SHV.US Exposure
0.35172381751645726
TLT.US Exposure
-0.055387450965901884
LQD.US Exposure
0.27871661864336245
HYG.US Exposure
-0.030046597851350203
GLD.US Exposure
-0.009309169890172397
USO.US Exposure
0.004318713998609442
VNQ.US Exposure
0.03662934480561319
BTC-USD.CC Exposure
-0.002731956445498407
CPER.US Exposure
0.004105399894159501
VIX.INDX Exposure
-0.012874036874649462
UUP.US Exposure
-0.011142753104454318
TIP.US Exposure
0.11066599471686771
Idiosyncratic Exposure
0.12027600731230768
Value Score
47.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
38.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →6.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →14.37%
Market Cap$11.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$431
Avg Yield on Cost
4.31%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$430.764.31%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.9%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
12.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.36
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is AGNC Investment Corp a high-risk investment?

AGNC Investment Corp (AGNC.US) has an annualized volatility of 38.7% and experienced a maximum drawdown of 48.1% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of AGNC.US?

Over the past 10 years, AGNC.US has generated a Compound Annual Growth Rate (CAGR) of 6.3%. It has had a positive return in 60% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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