AGNC vs RITM: returns, Sharpe ratio and drawdown

Over the past year, AGNC returned -13.66% against -20.62% for RITM. Over five years, RITM averaged -5.32% a year, compared with -11.41% for AGNC. AGNC had the higher Sharpe ratio over the past year (-0.79 vs -1.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.48% for AGNC and -30.76% for RITM.