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 1.38%/yr vs 13.32%/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 -35.23% return, which is significantly lower than ACWI's 12.10% return. Over the past 10 years, DOX has underperformed ACWI with an annualized return of 1.38%, while ACWI has yielded a comparatively higher 13.32% annualized return.
DOX
- 1D
- 0.43%
- 1M
- -17.51%
- YTD
- -35.23%
- 6M
- -34.47%
- 1Y
- -41.75%
- 3Y*
- -16.67%
- 5Y*
- -5.84%
- 10Y*
- 1.38%
ACWI
- 1D
- -0.10%
- 1M
- 1.68%
- YTD
- 12.10%
- 6M
- 11.90%
- 1Y
- 29.31%
- 3Y*
- 20.81%
- 5Y*
- 11.34%
- 10Y*
- 13.32%
DOX vs. ACWI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | -35.23% | -3.08% | -0.92% | -1.44% | 23.77% | 7.49% | 0.45% | 25.49% | -9.12% | 13.97% |
ACWI iShares MSCI ACWI ETF | 12.10% | 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 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.52 |
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 0.27 - 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 | -3.78 | ||
| Sortino ratioReturn per unit of downside risk | -5.34 | ||
| Omega ratioGain probability vs. loss probability | 0.71 | 1.40 | -0.69 |
| Calmar ratioReturn relative to maximum drawdown | -0.97 | 3.03 | -4.00 |
| Martin ratioReturn relative to average drawdown | -2.12 | 13.22 | -15.34 |
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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 | -43.20% | -9.73% | -33.47% |
Max Drawdown (3Y)Largest decline over 3 years | -44.37% | -16.55% | -27.82% |
Max Drawdown (5Y)Largest decline over 5 years | -44.37% | -26.42% | -17.95% |
Max Drawdown (10Y)Largest decline over 10 years | -44.37% | -33.53% | -10.84% |
Current DrawdownCurrent decline from peak | -44.14% | -0.85% | -43.29% |
Average DrawdownAverage peak-to-trough decline | -41.82% | -8.59% | -33.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.67% | 2.22% | +17.45% |
Volatility
DOX vs. ACWI - Volatility Comparison
Amdocs Limited (DOX) has a higher volatility of 9.83% compared to iShares MSCI ACWI ETF (ACWI) at 5.16%. 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 | 9.83% | 5.16% | +4.67% |
Volatility (6M)Calculated over the trailing 6-month period | 21.34% | 11.20% | +10.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.32% | 13.50% | +12.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.82% | 16.17% | +4.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.46% | 17.15% | +4.31% |
Dividends
DOX vs. ACWI - Dividend Comparison
DOX's dividend yield for the trailing twelve months is around 4.16%, more than ACWI's 1.42% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ACWI iShares MSCI ACWI ETF | 1.42% | 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 | 4.16% | 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 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DOX has higher volatility (9.83%) compared to ACWI (5.16%). In terms of maximum drawdown, DOX dropped -93.37% vs ACWI's -56.00%.
ACWI currently has the higher Sharpe Ratio (2.18 vs -1.59), 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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