AGNC vs STWD: returns, Sharpe ratio and drawdown

Over the past year, AGNC returned -13.66% against -33.30% for STWD. Over five years, AGNC averaged -11.41% a year, compared with -13.41% for STWD. AGNC had the higher Sharpe ratio over the past year (-0.79 vs -2.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.48% for AGNC and -33.76% for STWD.