PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DMXF vs. MDIJX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DMXF and MDIJX is 0.90, 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.


-0.50.00.51.00.9

Performance

DMXF vs. MDIJX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) and MFS International Diversification Fund (MDIJX). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.50%
0.73%
DMXF
MDIJX

Key characteristics

Sharpe Ratio

DMXF:

0.36

MDIJX:

0.70

Sortino Ratio

DMXF:

0.59

MDIJX:

1.02

Omega Ratio

DMXF:

1.07

MDIJX:

1.13

Calmar Ratio

DMXF:

0.48

MDIJX:

0.71

Martin Ratio

DMXF:

1.27

MDIJX:

2.64

Ulcer Index

DMXF:

3.89%

MDIJX:

3.04%

Daily Std Dev

DMXF:

13.96%

MDIJX:

11.40%

Max Drawdown

DMXF:

-34.52%

MDIJX:

-54.94%

Current Drawdown

DMXF:

-9.86%

MDIJX:

-8.18%

Returns By Period

In the year-to-date period, DMXF achieves a 4.25% return, which is significantly lower than MDIJX's 6.62% return.


DMXF

YTD

4.25%

1M

-1.09%

6M

-2.50%

1Y

4.79%

5Y*

N/A

10Y*

N/A

MDIJX

YTD

6.62%

1M

-1.25%

6M

0.72%

1Y

7.96%

5Y*

4.70%

10Y*

6.40%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DMXF vs. MDIJX - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is lower than MDIJX's 0.82% expense ratio.


MDIJX
MFS International Diversification Fund
Expense ratio chart for MDIJX: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
Expense ratio chart for DMXF: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

DMXF vs. MDIJX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and MFS International Diversification Fund (MDIJX). 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.


Sharpe ratio
The chart of Sharpe ratio for DMXF, currently valued at 0.36, compared to the broader market0.002.004.000.360.70
The chart of Sortino ratio for DMXF, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.000.591.02
The chart of Omega ratio for DMXF, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.13
The chart of Calmar ratio for DMXF, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.480.71
The chart of Martin ratio for DMXF, currently valued at 1.27, compared to the broader market0.0020.0040.0060.0080.00100.001.272.64
DMXF
MDIJX

The current DMXF Sharpe Ratio is 0.36, which is lower than the MDIJX Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of DMXF and MDIJX, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.36
0.70
DMXF
MDIJX

Dividends

DMXF vs. MDIJX - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 2.91%, more than MDIJX's 2.42% yield.


TTM20232022202120202019201820172016201520142013
DMXF
iShares ESG Advanced MSCI EAFE ETF
2.91%2.29%2.37%1.91%0.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MDIJX
MFS International Diversification Fund
2.42%2.58%0.66%1.88%0.69%1.43%2.45%1.63%2.19%1.69%1.48%1.06%

Drawdowns

DMXF vs. MDIJX - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, smaller than the maximum MDIJX drawdown of -54.94%. Use the drawdown chart below to compare losses from any high point for DMXF and MDIJX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
-8.18%
DMXF
MDIJX

Volatility

DMXF vs. MDIJX - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 3.86% compared to MFS International Diversification Fund (MDIJX) at 2.81%. This indicates that DMXF's price experiences larger fluctuations and is considered to be riskier than MDIJX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.86%
2.81%
DMXF
MDIJX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab