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DFGEX vs. AGNC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFGEX and AGNC is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.7

Performance

DFGEX vs. AGNC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Global Real Estate Securities Portfolio (DFGEX) and AGNC Investment Corp. (AGNC). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%NovemberDecember2025FebruaryMarchApril
123.05%
513.01%
DFGEX
AGNC

Key characteristics

Sharpe Ratio

DFGEX:

0.71

AGNC:

0.44

Sortino Ratio

DFGEX:

1.06

AGNC:

0.70

Omega Ratio

DFGEX:

1.14

AGNC:

1.10

Calmar Ratio

DFGEX:

0.43

AGNC:

0.33

Martin Ratio

DFGEX:

1.86

AGNC:

1.50

Ulcer Index

DFGEX:

6.12%

AGNC:

6.30%

Daily Std Dev

DFGEX:

15.93%

AGNC:

21.29%

Max Drawdown

DFGEX:

-62.58%

AGNC:

-54.56%

Current Drawdown

DFGEX:

-17.16%

AGNC:

-20.70%

Returns By Period

In the year-to-date period, DFGEX achieves a 1.39% return, which is significantly higher than AGNC's -0.36% return. Over the past 10 years, DFGEX has underperformed AGNC with an annualized return of 2.97%, while AGNC has yielded a comparatively higher 3.57% annualized return.


DFGEX

YTD

1.39%

1M

-1.25%

6M

-5.58%

1Y

12.19%

5Y*

5.73%

10Y*

2.97%

AGNC

YTD

-0.36%

1M

-8.17%

6M

-4.01%

1Y

10.99%

5Y*

6.49%

10Y*

3.57%

*Annualized

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Risk-Adjusted Performance

DFGEX vs. AGNC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFGEX
The Risk-Adjusted Performance Rank of DFGEX is 6262
Overall Rank
The Sharpe Ratio Rank of DFGEX is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of DFGEX is 6767
Sortino Ratio Rank
The Omega Ratio Rank of DFGEX is 6565
Omega Ratio Rank
The Calmar Ratio Rank of DFGEX is 5757
Calmar Ratio Rank
The Martin Ratio Rank of DFGEX is 5555
Martin Ratio Rank

AGNC
The Risk-Adjusted Performance Rank of AGNC is 6464
Overall Rank
The Sharpe Ratio Rank of AGNC is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of AGNC is 5858
Sortino Ratio Rank
The Omega Ratio Rank of AGNC is 5858
Omega Ratio Rank
The Calmar Ratio Rank of AGNC is 6767
Calmar Ratio Rank
The Martin Ratio Rank of AGNC is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DFGEX vs. AGNC - Risk-Adjusted Performance 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.


The chart of Sharpe ratio for DFGEX, currently valued at 0.71, compared to the broader market-1.000.001.002.003.00
DFGEX: 0.71
AGNC: 0.44
The chart of Sortino ratio for DFGEX, currently valued at 1.06, compared to the broader market-2.000.002.004.006.008.00
DFGEX: 1.06
AGNC: 0.70
The chart of Omega ratio for DFGEX, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.00
DFGEX: 1.14
AGNC: 1.10
The chart of Calmar ratio for DFGEX, currently valued at 0.43, compared to the broader market0.002.004.006.008.0010.00
DFGEX: 0.43
AGNC: 0.33
The chart of Martin ratio for DFGEX, currently valued at 1.86, compared to the broader market0.0010.0020.0030.0040.0050.00
DFGEX: 1.86
AGNC: 1.50

The current DFGEX Sharpe Ratio is 0.71, which is higher than the AGNC Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of DFGEX and AGNC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
0.71
0.44
DFGEX
AGNC

Dividends

DFGEX vs. AGNC - Dividend Comparison

DFGEX's dividend yield for the trailing twelve months is around 3.73%, less than AGNC's 16.27% yield.


TTM20242023202220212020201920182017201620152014
DFGEX
DFA Global Real Estate Securities Portfolio
3.73%3.78%3.36%5.70%4.50%2.29%8.00%5.09%3.72%5.06%2.45%3.75%
AGNC
AGNC Investment Corp.
16.27%15.64%14.68%13.91%9.57%10.00%11.31%12.31%10.70%12.69%14.30%11.96%

Drawdowns

DFGEX vs. AGNC - Drawdown Comparison

The maximum DFGEX drawdown since its inception was -62.58%, which is greater than AGNC's maximum drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for DFGEX and AGNC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%NovemberDecember2025FebruaryMarchApril
-17.16%
-20.70%
DFGEX
AGNC

Volatility

DFGEX vs. AGNC - Volatility Comparison

The current volatility for DFA Global Real Estate Securities Portfolio (DFGEX) is 9.13%, while AGNC Investment Corp. (AGNC) has a volatility of 13.73%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
9.13%
13.73%
DFGEX
AGNC