There was an article on Yahoo a few weeks ago that made the claim that reinvesting dividends in NLY gave a much better return over buy&hold and just collecting the divvies. The time period they used was the past 4 or 5 years and claimed the return was 60% versus minus 18% over b&h (I don't recall if they counted dividends or just PPS), and the S&P was up a couple percent over the same period. I saw a newsletter advert that claimed a 636% return on NLY from 1997 to beginning of 2012 by reinvesting. NLY is a dog compared with AGNC so going forward AGNC might do better.
I haven't been able to track down the Yahoo article, so no link at this time.