AGNC Investment Corp

10-Year Study

AGNCO.US · Real Estate · US · Preferred Stock

Executive Summary: AGNC Investment Corp has compounded at 7.5% annually over the last 10 years, with a maximum drawdown of 27.2% and an annualized volatility of 16.1%.

1Y CAGR
+7.8%
3Y CAGR
+12.9%
5Y CAGR
+7.5%
10Y CAGR
+7.5%

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 →
27.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.26
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.28
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +25.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.9-0.7-3.63.1————————0.6%
2025-0.71.30.00.20.60.83.6-1.11.10.20.21.78.1%
20244.80.10.61.52.30.60.20.61.51.6-0.13.318.2%
202312.60.3-8.36.62.24.52.53.30.0-9.610.10.625.3%
2022-2.1-4.32.8-1.5-1.7-8.67.1-1.7-5.5-4.910.1-6.0-16.5%
2021-1.10.22.31.61.53.3-0.30.21.01.1-2.43.110.7%
20201.2-4.8-23.521.4-0.4-1.45.02.6-0.5-2.74.28.73.7%
2019—————————2.7-0.62.14.2%

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 16.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 45.5% of variance. Idiosyncratic stock-specific factors contribute 19.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-09-0110000
2019-10-0110271.467151322777
2019-11-0110211.631746681853
2019-12-0110424.28741472655
2020-01-0110546.198051989608
2020-02-0110042.236756217122
2020-03-017679.1542409542935
2020-04-019318.772318285955
2020-05-019277.303503090963
2020-06-019151.745145972789
2020-07-019608.47806888431
2020-08-019853.771230369506
2020-09-019804.55900986804
2020-10-019542.051170470108
2020-11-019946.628098961999
2020-12-0110811.265694794638
2021-01-0110688.715106679807
2021-02-0110710.601425810497
2021-03-0110954.742675762498
2021-04-0111132.649012555836
2021-05-0111297.18037654708
2021-06-0111672.31956585734
2021-07-0111636.226337817256
2021-08-0111658.8166028849
2021-09-0111774.903687396807
2021-10-0111903.405818433144
2021-11-0111618.819674648987
2021-12-0111973.416441617284
2022-01-0111721.531786358806
2022-02-0111217.826470927033
2022-03-0111536.841970536661
2022-04-0111361.36744698007
2022-05-0111166.950378210953
2022-06-0110210.415840063482
2022-07-0110935.608145294442
2022-08-0110747.07862436165
2022-09-0110156.595973429241
2022-10-019663.577837222101
2022-11-0110639.822861604229
2022-12-0110003.647719855115
2023-01-0111266.01477006566
2023-02-0111301.212066913262
2023-03-0110365.53992653364
2023-04-0111052.783146254367
2023-05-0111293.852632117854
2023-06-0111802.229588767581
2023-07-0112099.934725013118
2023-08-0112502.01584518309
2023-09-0112506.943466741755
2023-10-0111311.51527562683
2023-11-0112459.139138114193
2023-12-0112529.661721979752
2024-01-0113129.679640603603
2024-02-0113140.49480999859
2024-03-0113223.048469877514
2024-04-0113426.424850571475
2024-05-0113728.673637864613
2024-06-0113805.595730247916
2024-07-0113836.889326899693
2024-08-0113915.091320986548
2024-09-0114121.795446109738
2024-10-0114346.610180338148
2024-11-0114335.28305026174
2024-12-0114808.590700234221
2025-01-0114703.830745798723
2025-02-0114890.056443665126
2025-03-0114895.879996416272
2025-04-0114930.501337497279
2025-05-0115025.854014411692
2025-06-0115139.061320090617
2025-07-0115683.019544099012
2025-08-0115518.168204681879
2025-09-0115689.099077190871
2025-10-0115715.401057198807
2025-11-0115740.423135503192
2025-12-0116005.170802882338
2026-01-0116305.947703216392
2026-02-0116197.156058414712
2026-03-0115616.080685003391
2026-04-0116101.163430648527
Annual Return Matrix
YearAnnual Return
20200.03712275618201
20210.10749442106322427
2022-0.1645118359798824
20230.25250929189669846
20240.18188272188200671
20250.08080310455397965
20260.005997600959616101
Total Factor Risk
0.1614037328248884
VTI.US Exposure
0.45474868697632526
VEA.US Exposure
0.1624643534388047
VWO.US Exposure
-0.02425717568481751
QQQ.US Exposure
-0.10155537403973726
VTV.US Exposure
-0.08234279297741737
IJR.US Exposure
-0.0076932958192377
QUAL.US Exposure
-0.0019821843710590816
SHV.US Exposure
0.1486103941870395
TLT.US Exposure
-0.025790023980132245
LQD.US Exposure
0.14642163698273744
HYG.US Exposure
0.08457966525267684
GLD.US Exposure
-0.002449919275800661
USO.US Exposure
0.011252619910361864
VNQ.US Exposure
0.07637929051078637
BTC-USD.CC Exposure
-0.005772082872948732
CPER.US Exposure
0.022015751692416777
VIX.INDX Exposure
-0.040641668703101055
UUP.US Exposure
-0.004051027537555631
TIP.US Exposure
-0.0006684325187236108
Idiosyncratic Exposure
0.19073157882938224
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
70.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.1%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →5.86%
Market Cap$0
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
$357
Avg Yield on Cost
3.57%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$357.093.57%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 →
-0.3%
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 →
+1.5%
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 →
1.5% 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 (AGNCO.US) has an annualized volatility of 16.1% and experienced a maximum drawdown of 27.2% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, AGNCO.US has generated a Compound Annual Growth Rate (CAGR) of 7.5%. It has had a positive return in 86% 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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