EFV vs. DOX
EFV (iShares MSCI EAFE Value ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Value Index (Net), while DOX (Amdocs Limited) is a stock. Over the past 10 years, EFV returned 10.51%/yr vs 1.39%/yr for DOX. Their 0.47 correlation means their historical movements had little consistent relationship.
Performance
EFV vs. DOX - Performance Comparison
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Returns By Period
In the year-to-date period, EFV achieves a 16.57% return, which is significantly higher than DOX's -29.84% return. Over the past 10 years, EFV has outperformed DOX with an annualized return of 10.51%, while DOX has yielded a comparatively lower 1.39% annualized return.
EFV
- 1D
- 0.26%
- 1M
- 4.16%
- 6M
- 9.61%
- YTD
- 16.57%
- 1Y
- 34.58%
- 3Y*
- 23.11%
- 5Y*
- 14.34%
- 10Y*
- 10.51%
- ALL TIME*
- 6.15%
DOX
- 1D
- -0.63%
- 1M
- 7.00%
- 6M
- -30.27%
- YTD
- -29.84%
- 1Y
- -32.27%
- 3Y*
- -12.18%
- 5Y*
- -3.74%
- 10Y*
- 1.39%
- ALL TIME*
- 5.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $69.83M | $68.47M | $79.59M | |
| $246.44M | $344.02M | $395.70M |
EFV vs. DOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 16.57% | 42.22% | 5.35% | 18.85% | -5.22% | 11.08% | -2.97% | 15.80% | -14.67% | 21.22% |
DOX Amdocs Limited | -29.84% | -3.08% | -0.92% | -1.44% | 23.77% | 7.49% | 0.45% | 25.49% | -9.12% | 13.97% |
Correlation
The correlation between EFV and DOX 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 EFV and DOX 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
EFV vs. DOX — Risk / Return Rank
EFV
DOX
EFV vs. DOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) and Amdocs Limited (DOX). 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.
| EFV | DOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.58 | ||
| Sortino ratioReturn per unit of downside risk | +4.92 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 0.80 | +0.63 |
| Calmar ratioReturn relative to maximum drawdown | 3.19 | -0.75 | +3.94 |
| Martin ratioReturn relative to average drawdown | 11.90 | -1.47 | +13.37 |
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Drawdowns
EFV vs. DOX - Drawdown Comparison
The maximum EFV drawdown since its inception was -63.94%, smaller than the maximum DOX drawdown of -93.37%. Use the drawdown chart below to compare losses from any high point for EFV and DOX.
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Drawdown Indicators
| EFV | DOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.94% | -93.37% | +29.43% |
Max Drawdown (1Y)Largest decline over 1 year | -10.90% | -42.99% | +32.09% |
Max Drawdown (3Y)Largest decline over 3 years | -13.72% | -45.51% | +31.79% |
Max Drawdown (5Y)Largest decline over 5 years | -25.84% | -46.10% | +20.26% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | -46.10% | +2.94% |
Current DrawdownCurrent decline from peak | -0.27% | -39.49% | +39.22% |
Average DrawdownAverage peak-to-trough decline | -14.72% | -41.83% | +27.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 21.98% | -19.07% |
Volatility
EFV vs. DOX - Volatility Comparison
The current volatility for iShares MSCI EAFE Value ETF (EFV) is 3.85%, while Amdocs Limited (DOX) has a volatility of 8.73%. This indicates that EFV experiences smaller price fluctuations and is considered to be less risky than DOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFV | DOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.85% | 8.73% | -4.88% |
Volatility (6M)Calculated over the trailing 6-month period | 12.21% | 23.37% | -11.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.39% | 27.89% | -13.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.95% | 21.22% | -5.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 21.65% | -4.19% |
Dividends
EFV vs. DOX - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 4.51%, more than DOX's 3.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | 3.96% | 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 | 4.51% | 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
EFV and DOX 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 (8.73%) compared to EFV (3.85%). In terms of maximum drawdown, EFV dropped -63.94% vs DOX's -93.37%.
EFV currently has the higher Sharpe Ratio (2.42 vs -1.16), 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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