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DOX vs. EFV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DOX and EFV is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

DOX vs. EFV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amdocs Limited (DOX) and iShares MSCI EAFE Value ETF (EFV). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%NovemberDecember2025FebruaryMarchApril
258.45%
143.65%
DOX
EFV

Key characteristics

Sharpe Ratio

DOX:

0.08

EFV:

1.05

Sortino Ratio

DOX:

0.25

EFV:

1.51

Omega Ratio

DOX:

1.03

EFV:

1.21

Calmar Ratio

DOX:

0.07

EFV:

1.28

Martin Ratio

DOX:

0.27

EFV:

4.28

Ulcer Index

DOX:

6.16%

EFV:

4.11%

Daily Std Dev

DOX:

20.35%

EFV:

16.82%

Max Drawdown

DOX:

-93.37%

EFV:

-63.94%

Current Drawdown

DOX:

-9.58%

EFV:

-0.35%

Returns By Period

In the year-to-date period, DOX achieves a 1.61% return, which is significantly lower than EFV's 15.34% return. Over the past 10 years, DOX has outperformed EFV with an annualized return of 6.40%, while EFV has yielded a comparatively lower 4.79% annualized return.


DOX

YTD

1.61%

1M

-5.99%

6M

-2.10%

1Y

3.57%

5Y*

8.68%

10Y*

6.40%

EFV

YTD

15.34%

1M

1.04%

6M

11.44%

1Y

17.70%

5Y*

14.97%

10Y*

4.79%

*Annualized

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Risk-Adjusted Performance

DOX vs. EFV — Risk-Adjusted Performance Rank

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

DOX
The Risk-Adjusted Performance Rank of DOX is 5151
Overall Rank
The Sharpe Ratio Rank of DOX is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of DOX is 4545
Sortino Ratio Rank
The Omega Ratio Rank of DOX is 4545
Omega Ratio Rank
The Calmar Ratio Rank of DOX is 5656
Calmar Ratio Rank
The Martin Ratio Rank of DOX is 5555
Martin Ratio Rank

EFV
The Risk-Adjusted Performance Rank of EFV is 8383
Overall Rank
The Sharpe Ratio Rank of EFV is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of EFV is 8282
Sortino Ratio Rank
The Omega Ratio Rank of EFV is 8181
Omega Ratio Rank
The Calmar Ratio Rank of EFV is 8787
Calmar Ratio Rank
The Martin Ratio Rank of EFV is 8282
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DOX vs. EFV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amdocs Limited (DOX) and iShares MSCI EAFE Value ETF (EFV). 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.


The chart of Sharpe ratio for DOX, currently valued at 0.08, compared to the broader market-2.00-1.000.001.002.003.00
DOX: 0.08
EFV: 1.05
The chart of Sortino ratio for DOX, currently valued at 0.25, compared to the broader market-6.00-4.00-2.000.002.004.00
DOX: 0.25
EFV: 1.51
The chart of Omega ratio for DOX, currently valued at 1.03, compared to the broader market0.501.001.502.00
DOX: 1.03
EFV: 1.21
The chart of Calmar ratio for DOX, currently valued at 0.07, compared to the broader market0.001.002.003.004.005.00
DOX: 0.07
EFV: 1.28
The chart of Martin ratio for DOX, currently valued at 0.27, compared to the broader market-5.000.005.0010.0015.0020.00
DOX: 0.27
EFV: 4.28

The current DOX Sharpe Ratio is 0.08, which is lower than the EFV Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of DOX and EFV, 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 Ratio-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.08
1.05
DOX
EFV

Dividends

DOX vs. EFV - Dividend Comparison

DOX's dividend yield for the trailing twelve months is around 2.28%, less than EFV's 4.04% yield.


TTM20242023202220212020201920182017201620152014
DOX
Amdocs Limited
2.28%2.25%1.98%2.17%1.92%1.85%1.58%1.71%1.34%1.34%1.25%1.33%
EFV
iShares MSCI EAFE Value ETF
4.04%4.67%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%

Drawdowns

DOX vs. EFV - Drawdown Comparison

The maximum DOX drawdown since its inception was -93.37%, which is greater than EFV's maximum drawdown of -63.94%. Use the drawdown chart below to compare losses from any high point for DOX and EFV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.58%
-0.35%
DOX
EFV

Volatility

DOX vs. EFV - Volatility Comparison

The current volatility for Amdocs Limited (DOX) is 10.75%, while iShares MSCI EAFE Value ETF (EFV) has a volatility of 11.34%. This indicates that DOX experiences smaller price fluctuations and is considered to be less risky than EFV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
10.75%
11.34%
DOX
EFV