DFGEX vs. AGNC
DFGEX (DFA Global Real Estate Securities Portfolio) is REIT fund managed by Dimensional, while AGNC (AGNC Investment Corp.) is a stock. Over the past 10 years, DFGEX returned 4.09%/yr vs 6.26%/yr for AGNC. At a 0.46 correlation, their price movements are largely independent.
Performance
DFGEX vs. AGNC - Performance Comparison
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Returns By Period
In the year-to-date period, DFGEX achieves a 9.93% return, which is significantly higher than AGNC's 2.94% return. Over the past 10 years, DFGEX has underperformed AGNC with an annualized return of 4.09%, while AGNC has yielded a comparatively higher 6.26% annualized return.
DFGEX
- 1D
- 0.96%
- 1M
- -0.00%
- YTD
- 9.93%
- 6M
- 10.25%
- 1Y
- 10.85%
- 3Y*
- 11.06%
- 5Y*
- 2.22%
- 10Y*
- 4.09%
AGNC
- 1D
- 0.58%
- 1M
- 3.43%
- YTD
- 2.94%
- 6M
- 3.70%
- 1Y
- 30.57%
- 3Y*
- 17.81%
- 5Y*
- 3.81%
- 10Y*
- 6.26%
DFGEX vs. AGNC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFGEX DFA Global Real Estate Securities Portfolio | 9.93% | 7.92% | 1.92% | 9.54% | -23.84% | 31.03% | -6.71% | 26.32% | -4.12% | 5.95% |
AGNC AGNC Investment Corp. | 2.94% | 34.92% | 8.90% | 10.14% | -21.65% | 5.20% | -1.78% | 13.31% | -2.46% | 23.73% |
Correlation
The correlation between DFGEX and AGNC is 0.53, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2012 | 0.46 |
The correlation between DFGEX and AGNC shifts across timeframes, from 0.46 (all time) to 0.58 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
DFGEX vs. AGNC — Risk / Return Rank
DFGEX
AGNC
DFGEX vs. AGNC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Real Estate Securities Portfolio (DFGEX) and AGNC Investment Corp. (AGNC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DFGEX | AGNC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.56 | ||
| Sortino ratioReturn per unit of downside risk | -0.73 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.27 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.36 | 1.64 | -0.28 |
| Martin ratioReturn relative to average drawdown | 4.73 | 4.64 | +0.09 |
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Drawdowns
DFGEX vs. AGNC - Drawdown Comparison
The maximum DFGEX drawdown since its inception was -42.67%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for DFGEX and AGNC.
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Drawdown Indicators
| DFGEX | AGNC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.67% | -54.56% | +11.89% |
Max Drawdown (1Y)Largest decline over 1 year | -9.04% | -18.71% | +9.67% |
Max Drawdown (3Y)Largest decline over 3 years | -17.37% | -31.04% | +13.67% |
Max Drawdown (5Y)Largest decline over 5 years | -32.78% | -50.65% | +17.87% |
Max Drawdown (10Y)Largest decline over 10 years | -42.67% | -54.56% | +11.89% |
Current DrawdownCurrent decline from peak | -1.79% | -9.33% | +7.54% |
Average DrawdownAverage peak-to-trough decline | -9.61% | -13.55% | +3.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.59% | 6.60% | -4.01% |
Volatility
DFGEX vs. AGNC - Volatility Comparison
The current volatility for DFA Global Real Estate Securities Portfolio (DFGEX) is 4.25%, while AGNC Investment Corp. (AGNC) has a volatility of 5.46%. This indicates that DFGEX experiences smaller price fluctuations and is considered to be less risky than AGNC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFGEX | AGNC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.25% | 5.46% | -1.21% |
Volatility (6M)Calculated over the trailing 6-month period | 9.20% | 16.21% | -7.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.17% | 19.57% | -7.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.29% | 25.73% | -9.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.74% | 25.42% | -7.68% |
Dividends
DFGEX vs. AGNC - Dividend Comparison
DFGEX's dividend yield for the trailing twelve months is around 3.71%, less than AGNC's 13.79% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGNC AGNC Investment Corp. | 13.79% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
DFGEX DFA Global Real Estate Securities Portfolio | 3.71% | 4.07% | 3.78% | 3.36% | 5.70% | 4.50% | 2.29% | 6.95% | 5.09% | 0.64% | 0.32% | 2.45% |
Frequently Asked Questions
DFGEX and AGNC have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AGNC has higher volatility (5.46%) compared to DFGEX (4.25%). In terms of maximum drawdown, DFGEX dropped -42.67% vs AGNC's -54.56%.
AGNC currently has the higher Sharpe Ratio (1.57 vs 1.01), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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