Different animal. AGNC is an individual REIT, while VNQ is an index invested in multiple REITS. AGNC may have an higher dividend, but is inherently more risky. I entered VNQ because I wanted a broader exposure to the REIT market, with a nice blend of dividend and capital appreciation possibilities. Looking at AGNC, (just a quick glance) the dividend looks nice right now, but the appreciation picture doesn't look all that great. Also, AGNC invests mainly in residential pass-through securities, and to get that high dividend, most probably has a huge stake in sub-prime, higher interest, and adjustable rate products. As one who is working in the residential mortgage industry, I'd avoid putting my entire real-estate sector in that arena. With foreclosures still high, and many such mortgages in default, or being modified through federal programs to lower interest rates and payments, there is a lot of uncertainty in that realm. A good thing about a broader REIT index fund like VNQ is that it has some exposure to residential real estate, but also has exposure to REATS that invest in commercial real estate, invest property, undeveloped land, etc. There is a place for both in a portfolio, but I wouldn't target a more narrow REIT such as AGNC until I've gotten some exposure to the full realm of the real estate market. VNQ is a good way to do that.
Sorry about the long rant, hope it makes some sense! Tom