DOX vs. EFV
DOX (Amdocs Limited) is a stock, while EFV (iShares MSCI EAFE Value ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Value Index (Net). Over the past 10 years, DOX returned 1.41%/yr vs 10.63%/yr for EFV. Their 0.47 correlation means their historical movements had little consistent relationship.
Performance
DOX vs. EFV - Performance Comparison
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Returns By Period
In the year-to-date period, DOX achieves a -29.40% return, which is significantly lower than EFV's 16.27% return. Over the past 10 years, DOX has underperformed EFV with an annualized return of 1.41%, while EFV has yielded a comparatively higher 10.63% annualized return.
DOX
- 1D
- 0.80%
- 1M
- 7.67%
- 6M
- -30.63%
- YTD
- -29.40%
- 1Y
- -31.84%
- 3Y*
- -13.87%
- 5Y*
- -4.12%
- 10Y*
- 1.41%
- ALL TIME*
- 5.99%
EFV
- 1D
- -0.53%
- 1M
- 3.89%
- 6M
- 10.21%
- YTD
- 16.27%
- 1Y
- 34.23%
- 3Y*
- 22.38%
- 5Y*
- 14.42%
- 10Y*
- 10.63%
- ALL TIME*
- 6.14%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $69.66M | $69.21M | $78.72M | |
| $244.79M | $363.40M | $390.92M |
DOX vs. EFV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | -29.40% | -3.08% | -0.92% | -1.44% | 23.77% | 7.49% | 0.45% | 25.49% | -9.12% | 13.97% |
EFV iShares MSCI EAFE Value ETF | 16.27% | 42.22% | 5.35% | 18.85% | -5.22% | 11.08% | -2.97% | 15.80% | -14.67% | 21.22% |
Correlation
The correlation between DOX and EFV is 0.12, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.12 |
Correlation (3Y) Balances recent behavior with more history. | 0.30 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.38 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.43 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2005 | 0.47 |
Over the past year, the correlation between DOX and EFV has dropped to 0.12 - well below their long-term average of 0.47, suggesting their price drivers have been diverging.
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Return for Risk
DOX vs. EFV — Risk / Return Rank
DOX
EFV
DOX vs. EFV - Risk-Adjusted Trends 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.
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 | EFV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.56 | ||
| Sortino ratioReturn per unit of downside risk | -4.90 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.43 | -0.63 |
| Calmar ratioReturn relative to maximum drawdown | -0.76 | 3.14 | -3.90 |
| Martin ratioReturn relative to average drawdown | -1.49 | 11.73 | -13.22 |
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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.
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Drawdown Indicators
| DOX | EFV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.37% | -63.94% | -29.43% |
Max Drawdown (1Y)Largest decline over 1 year | -42.99% | -10.90% | -32.09% |
Max Drawdown (3Y)Largest decline over 3 years | -45.51% | -13.72% | -31.79% |
Max Drawdown (5Y)Largest decline over 5 years | -46.10% | -25.84% | -20.26% |
Max Drawdown (10Y)Largest decline over 10 years | -46.10% | -43.16% | -2.94% |
Current DrawdownCurrent decline from peak | -39.11% | -0.53% | -38.58% |
Average DrawdownAverage peak-to-trough decline | -41.83% | -14.72% | -27.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.86% | 2.91% | +18.95% |
Volatility
DOX vs. EFV - Volatility Comparison
Amdocs Limited (DOX) has a higher volatility of 8.70% compared to iShares MSCI EAFE Value ETF (EFV) at 4.20%. 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.
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Volatility by Period
| DOX | EFV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.70% | 4.20% | +4.50% |
Volatility (6M)Calculated over the trailing 6-month period | 23.41% | 12.23% | +11.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.85% | 14.38% | +13.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.21% | 15.94% | +5.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.64% | 17.46% | +4.18% |
Dividends
DOX vs. EFV - Dividend Comparison
DOX's dividend yield for the trailing twelve months is around 3.93%, less than EFV's 4.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | 3.93% | 2.62% | 2.25% | 1.98% | 1.74% | 1.92% | 1.85% | 1.58% | 1.71% | 1.34% | 1.34% | 1.25% |
EFV iShares MSCI EAFE Value ETF | 4.52% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
Frequently Asked Questions
DOX and EFV have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DOX has higher volatility (8.70%) compared to EFV (4.20%). In terms of maximum drawdown, DOX dropped -93.37% vs EFV's -63.94%.
EFV currently has the higher Sharpe Ratio (2.38 vs -1.17), 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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