HDEF vs. AGNC

Last updated Jun 9, 2026

HDEF (Xtrackers MSCI EAFE High Dividend Yield Equity ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE High Dividend Yield US Dollar Hedged Index, while AGNC (AGNC Investment Corp.) is a stock. Over the past 10 years, HDEF returned 8.53%/yr vs 6.25%/yr for AGNC. At a 0.37 correlation, their price movements are largely independent.

Performance

HDEF vs. AGNC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and AGNC Investment Corp. (AGNC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HDEF achieves a 4.25% return, which is significantly higher than AGNC's -0.32% return. Over the past 10 years, HDEF has outperformed AGNC with an annualized return of 8.53%, while AGNC has yielded a comparatively lower 6.25% annualized return.

HDEF

• 1D: -0.03%
• 1M: -1.77%
• YTD: 4.25%
• 6M: 7.32%
• 1Y: 15.39%
• 3Y*: 16.24%
• 5Y*: 9.80%
• 10Y*: 8.53%

AGNC

• 1D: -0.59%
• 1M: -5.84%
• YTD: -0.32%
• 6M: 3.01%
• 1Y: 27.55%
• 3Y*: 17.15%
• 5Y*: 1.42%
• 10Y*: 6.25%

*Multi-year figures are annualized to reflect compound growth (CAGR)

HDEF vs. AGNC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	4.25%	33.01%	2.85%	18.53%	-2.51%	6.95%	-1.90%	25.02%	-13.74%	9.89%
AGNC AGNC Investment Corp.	-0.32%	34.92%	8.90%	10.14%	-21.65%	5.20%	-1.78%	13.31%	-2.46%	23.73%

Correlation

The correlation between HDEF and AGNC is 0.52, 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	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.39
Correlation (All Time) Calculated using the full available price history since Aug 19, 2015	0.37

The correlation between HDEF and AGNC shifts across timeframes, from 0.37 (all time) to 0.52 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

HDEF vs. AGNC — Risk / Return Rank

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

HDEF

HDEF Risk / Return Rank: 41
HDEF Sharpe Ratio Rank: 41
HDEF Sortino Ratio Rank: 41
HDEF Omega Ratio Rank: 42
HDEF Calmar Ratio Rank: 43
HDEF Martin Ratio Rank: 40

AGNC

AGNC Risk / Return Rank: 75
AGNC Sharpe Ratio Rank: 81
AGNC Sortino Ratio Rank: 77
AGNC Omega Ratio Rank: 74
AGNC Calmar Ratio Rank: 69
AGNC Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HDEF vs. AGNC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) 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.

	HDEF	AGNC	Difference
Sharpe ratio: Return per unit of total volatility	1.32	1.43	-0.11
Sortino ratio: Return per unit of downside risk	1.88	2.02	-0.14
Omega ratio: Gain probability vs. loss probability	1.24	1.25	-0.01
Calmar ratio: Return relative to maximum drawdown	1.93	1.48	+0.45
Martin ratio: Return relative to average drawdown	5.82	4.39	+1.43
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HDEF vs. AGNC - Sharpe Ratio Comparison

The current HDEF Sharpe Ratio is 1.32, which is comparable to the AGNC Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of HDEF and AGNC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	HDEF	AGNC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.32	1.43	-0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	0.06	+0.64
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.53	0.25	+0.28
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.42	+0.02

Drawdowns

HDEF vs. AGNC - Drawdown Comparison

The maximum HDEF drawdown since its inception was -36.43%, smaller than the maximum AGNC drawdown of -54.56%. Use the drawdown chart below to compare losses from any high point for HDEF and AGNC.

Drawdown Indicators

	HDEF	AGNC	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-54.56%	+18.13%
Max Drawdown (1Y) Largest decline over 1 year	-8.03%	-18.71%	+10.68%
Max Drawdown (3Y) Largest decline over 3 years	-11.15%	-31.04%	+19.89%
Max Drawdown (5Y) Largest decline over 5 years	-23.63%	-54.36%	+30.73%
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	-54.56%	+18.13%
Current Drawdown Current decline from peak	-5.45%	-12.19%	+6.74%
Average Drawdown Average peak-to-trough decline	-5.04%	-13.56%	+8.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.65%	6.30%	-3.65%

Volatility

HDEF vs. AGNC - Volatility Comparison

The current volatility for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) is 3.05%, while AGNC Investment Corp. (AGNC) has a volatility of 4.92%. This indicates that HDEF 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.

Volatility by Period

	HDEF	AGNC	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	4.92%	-1.87%
Volatility (6M) Calculated over the trailing 6-month period	9.24%	15.96%	-6.72%
Volatility (1Y) Calculated over the trailing 1-year period	11.71%	19.38%	-7.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.14%	25.82%	-11.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.24%	25.39%	-9.15%

Dividends

HDEF vs. AGNC - Dividend Comparison

HDEF's dividend yield for the trailing twelve months is around 3.64%, less than AGNC's 14.24% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AGNC AGNC Investment Corp.	14.24%	13.43%	15.64%	14.68%	13.91%	9.57%	10.00%	11.31%	12.31%	10.70%	12.69%	14.30%
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	3.64%	3.88%	4.53%	4.38%	5.41%	4.76%	3.93%	4.20%	3.55%	3.38%	9.53%	1.87%

Frequently Asked Questions

Can I hold both HDEF and AGNC in my portfolio?

HDEF and AGNC have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HDEF or AGNC?

AGNC has higher volatility (4.92%) compared to HDEF (3.05%). In terms of maximum drawdown, HDEF dropped -36.43% vs AGNC's -54.56%.

Which has better risk-adjusted returns?

AGNC currently has the higher Sharpe Ratio (1.43 vs 1.32), 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.