AGNC vs SPY: returns, Sharpe ratio and drawdown

Over the past year, SPY returned +13.70% against -13.66% for AGNC. Over five years, SPY averaged +10.77% a year, compared with -11.41% for AGNC. SPY had the higher Sharpe ratio over the past year (0.73 vs -0.79), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -30.48% for AGNC.