DOX vs. ACWI
DOX (Amdocs Limited) is a stock, while ACWI (iShares MSCI ACWI ETF) is Global Equities fund tracking the MSCI All Country World Index. Over the past 10 years, DOX returned 1.08%/yr vs 12.51%/yr for ACWI. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
DOX vs. ACWI - Performance Comparison
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Returns By Period
In the year-to-date period, DOX achieves a -33.15% return, which is significantly lower than ACWI's 10.93% return. Over the past 10 years, DOX has underperformed ACWI with an annualized return of 1.08%, while ACWI has yielded a comparatively higher 12.51% annualized return.
DOX
- 1D
- 1.64%
- 1M
- -5.41%
- 6M
- -35.91%
- YTD
- -33.15%
- 1Y
- -38.22%
- 3Y*
- -16.27%
- 5Y*
- -5.56%
- 10Y*
- 1.08%
ACWI
- 1D
- -1.10%
- 1M
- 0.31%
- 6M
- 7.96%
- YTD
- 10.93%
- 1Y
- 22.55%
- 3Y*
- 18.82%
- 5Y*
- 10.73%
- 10Y*
- 12.51%
DOX vs. ACWI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | -33.15% | -3.08% | -0.92% | -1.44% | 23.77% | 7.49% | 0.45% | 25.49% | -9.12% | 13.97% |
ACWI iShares MSCI ACWI ETF | 10.93% | 22.41% | 17.45% | 22.27% | -18.39% | 18.66% | 16.34% | 26.59% | -9.19% | 24.33% |
Correlation
The correlation between DOX and ACWI is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Mar 28, 2008 | 0.56 |
Over the past year, the correlation between DOX and ACWI has dropped to 0.21 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
DOX vs. ACWI — Risk / Return Rank
DOX
ACWI
DOX vs. ACWI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Amdocs Limited (DOX) and iShares MSCI ACWI ETF (ACWI). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DOX | ACWI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.08 | ||
| Sortino ratioReturn per unit of downside risk | -4.36 | ||
| Omega ratioGain probability vs. loss probability | 0.74 | 1.30 | -0.56 |
| Calmar ratioReturn relative to maximum drawdown | -0.89 | 2.33 | -3.22 |
| Martin ratioReturn relative to average drawdown | -1.90 | 9.95 | -11.86 |
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Drawdowns
DOX vs. ACWI - Drawdown Comparison
The maximum DOX drawdown since its inception was -93.37%, which is greater than ACWI's maximum drawdown of -56.00%. Use the drawdown chart below to compare losses from any high point for DOX and ACWI.
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Drawdown Indicators
| DOX | ACWI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.37% | -56.00% | -37.37% |
Max Drawdown (1Y)Largest decline over 1 year | -43.18% | -9.73% | -33.45% |
Max Drawdown (3Y)Largest decline over 3 years | -45.51% | -16.55% | -28.96% |
Max Drawdown (5Y)Largest decline over 5 years | -46.10% | -26.42% | -19.68% |
Max Drawdown (10Y)Largest decline over 10 years | -46.10% | -33.53% | -12.57% |
Current DrawdownCurrent decline from peak | -42.34% | -1.89% | -40.45% |
Average DrawdownAverage peak-to-trough decline | -41.83% | -8.57% | -33.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.10% | 2.27% | +17.83% |
Volatility
DOX vs. ACWI - Volatility Comparison
Amdocs Limited (DOX) has a higher volatility of 10.14% compared to iShares MSCI ACWI ETF (ACWI) at 4.69%. This indicates that DOX's price experiences larger fluctuations and is considered to be riskier than ACWI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DOX | ACWI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.14% | 4.69% | +5.45% |
Volatility (6M)Calculated over the trailing 6-month period | 22.22% | 11.52% | +10.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.93% | 13.72% | +13.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.97% | 16.21% | +4.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.52% | 17.04% | +4.48% |
Dividends
DOX vs. ACWI - Dividend Comparison
DOX's dividend yield for the trailing twelve months is around 4.15%, more than ACWI's 1.44% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ACWI iShares MSCI ACWI ETF | 1.44% | 1.55% | 1.70% | 1.88% | 1.79% | 1.71% | 1.43% | 2.33% | 2.18% | 1.94% | 2.19% | 2.56% |
DOX Amdocs Limited | 4.15% | 2.62% | 2.25% | 1.98% | 1.74% | 1.92% | 1.85% | 1.58% | 1.71% | 1.34% | 1.34% | 1.25% |
Frequently Asked Questions
DOX and ACWI have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DOX has higher volatility (10.14%) compared to ACWI (4.69%). In terms of maximum drawdown, DOX dropped -93.37% vs ACWI's -56.00%.
ACWI currently has the higher Sharpe Ratio (1.65 vs -1.43), 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.
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