DOX vs. EFV
Compare and contrast key facts about Amdocs Limited (DOX) and iShares MSCI EAFE Value ETF (EFV).
EFV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Value Index. It was launched on Aug 1, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DOX or EFV.
Performance
DOX vs. EFV - Performance Comparison
Returns By Period
In the year-to-date period, DOX achieves a -2.82% return, which is significantly lower than EFV's 6.52% return. Over the past 10 years, DOX has outperformed EFV with an annualized return of 7.75%, while EFV has yielded a comparatively lower 4.04% annualized return.
DOX
-2.82%
-7.70%
3.93%
3.95%
6.26%
7.75%
EFV
6.52%
-4.82%
-1.62%
12.77%
5.83%
4.04%
Key characteristics
| DOX | EFV | |
|---|---|---|
| Sharpe Ratio | 0.29 | 1.16 |
| Sortino Ratio | 0.51 | 1.60 |
| Omega Ratio | 1.07 | 1.20 |
| Calmar Ratio | 0.23 | 1.85 |
| Martin Ratio | 0.64 | 6.15 |
| Ulcer Index | 8.08% | 2.31% |
| Daily Std Dev | 17.68% | 12.29% |
| Max Drawdown | -93.37% | -63.94% |
| Current Drawdown | -12.72% | -6.90% |
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Correlation
The correlation between DOX and EFV is 0.49, 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.
Risk-Adjusted Performance
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.
Dividends
DOX vs. EFV - Dividend Comparison
DOX's dividend yield for the trailing twelve months is around 2.23%, less than EFV's 4.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | 2.23% | 1.98% | 2.17% | 1.92% | 1.85% | 1.58% | 1.71% | 1.34% | 1.34% | 1.25% | 1.33% | 1.26% |
EFV iShares MSCI EAFE Value ETF | 4.62% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.27% | 3.59% | 4.87% | 3.19% |
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.
Volatility
DOX vs. EFV - Volatility Comparison
Amdocs Limited (DOX) has a higher volatility of 7.02% compared to iShares MSCI EAFE Value ETF (EFV) at 4.12%. This indicates that DOX's price experiences larger fluctuations and is considered to be riskier than EFV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.