AGNC vs SPY: Correlation
How closely do AGNC Investment Corp. (AGNC) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.50, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are AGNC and SPY?
On 3 years of weekly data the AGNC/SPY correlation comes out at 0.50, moderate. Recent behaviour matches the longer record: 0.42 over 1 year against 0.50 over 3. The 5-year figure is 0.57, and annualized covariance runs at 181.0 %².
By 3-year correlation, SPY places #8 of the 14 assets tracked against AGNC. Over the last 12 months AGNC came out ahead by 7.4 percentage points (+28.0% against +20.6%). Note the risk asymmetry: AGNC runs 1.7 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
AGNC vs SPY: side by side
| AGNC (AGNC Investment Corp.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +28.0% | +20.6% |
| 5-year return | +33.5% | +82.4% |
| Volatility (ann.) | 25.1% | 14.5% |
| Beta vs S&P 500 | 0.87 | 1.00 |
| Max drawdown (3Y) | -30.5% | -18.8% |
| Market cap | $13.0B | – |
| P/E (trailing) | 5.4 | – |
| Dividend yield | 13.32% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | AGNC | SPY |
|---|---|---|
| 2022 | -21.7% | -18.2% |
| 2023 | +10.1% | +26.2% |
| 2024 | +8.9% | +24.9% |
| 2025 | +34.9% | +17.7% |
| 2026 | +10.3% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are AGNC and SPY good diversifiers for each other?
Somewhat, no more. With 0.50 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between AGNC and SPY?
As of 2026-08-27, the correlation of weekly returns between AGNC and SPY is 0.50 over 3 years, 0.42 over 1 year and 0.57 over 5 years.
Is SPY a good diversifier for AGNC?
Somewhat, no more. With 0.50 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.50 mean?
A reading of 0.50 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
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Related comparisons
Hubs: AGNC correlations · SPY correlations
