DX vs AGNC: returns, Sharpe ratio and drawdown

Over the past year, AGNC returned +0.44% against -5.01% for DX. Over five years, DX averaged +3.47% a year, compared with +1.94% for AGNC. AGNC had the higher Sharpe ratio over the past year (-0.08 vs -0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.43% for DX and -23.54% for AGNC. Dividends over the past year came to 19.15% of DX's price, against 18.03% for AGNC.