DFGEX vs. AGNC
Compare and contrast key facts about DFA Global Real Estate Securities Portfolio (DFGEX) and AGNC Investment Corp. (AGNC).
DFGEX is managed by Dimensional Fund Advisors LP. It was launched on Jun 3, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFGEX or AGNC.
Key characteristics
| DFGEX | AGNC | |
|---|---|---|
| YTD Return | -2.14% | 5.78% |
| 1Y Return | 8.42% | 27.69% |
| 3Y Return (Ann) | -1.55% | -7.16% |
| 5Y Return (Ann) | 1.88% | 0.71% |
| 10Y Return (Ann) | 4.43% | 3.49% |
| Sharpe Ratio | 0.38 | 0.96 |
| Daily Std Dev | 16.67% | 27.50% |
| Max Drawdown | -62.57% | -54.56% |
| Current Drawdown | -18.36% | -22.69% |
Correlation
The correlation between DFGEX and AGNC is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DFGEX vs. AGNC - Performance Comparison
In the year-to-date period, DFGEX achieves a -2.14% return, which is significantly lower than AGNC's 5.78% return. Over the past 10 years, DFGEX has outperformed AGNC with an annualized return of 4.43%, while AGNC has yielded a comparatively lower 3.49% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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.
Dividends
DFGEX vs. AGNC - Dividend Comparison
DFGEX's dividend yield for the trailing twelve months is around 3.43%, less than AGNC's 14.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFGEX DFA Global Real Estate Securities Portfolio | 3.43% | 3.36% | 5.70% | 4.50% | 2.29% | 8.00% | 5.09% | 3.72% | 5.06% | 2.45% | 3.75% | 3.63% |
AGNC AGNC Investment Corp. | 14.59% | 14.68% | 13.91% | 9.56% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% | 11.96% | 19.44% |
Drawdowns
DFGEX vs. AGNC - Drawdown Comparison
The maximum DFGEX drawdown since its inception was -62.57%, 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.
Volatility
DFGEX vs. AGNC - Volatility Comparison
DFA Global Real Estate Securities Portfolio (DFGEX) has a higher volatility of 3.84% compared to AGNC Investment Corp. (AGNC) at 3.47%. This indicates that DFGEX's price experiences larger fluctuations and is considered to be riskier than AGNC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.