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

Correlation

The correlation between EFV and DOX 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.


-0.50.00.51.00.5

Performance

EFV vs. DOX - Performance Comparison

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

100.00%150.00%200.00%250.00%300.00%NovemberDecember2025FebruaryMarch
137.29%
281.33%
EFV
DOX

Key characteristics

Sharpe Ratio

EFV:

1.01

DOX:

0.23

Sortino Ratio

EFV:

1.43

DOX:

0.43

Omega Ratio

EFV:

1.17

DOX:

1.06

Calmar Ratio

EFV:

1.44

DOX:

0.18

Martin Ratio

EFV:

3.51

DOX:

0.57

Ulcer Index

EFV:

3.74%

DOX:

7.33%

Daily Std Dev

EFV:

13.08%

DOX:

17.82%

Max Drawdown

EFV:

-63.94%

DOX:

-93.37%

Current Drawdown

EFV:

-2.95%

DOX:

-3.81%

Returns By Period

In the year-to-date period, EFV achieves a 12.33% return, which is significantly higher than DOX's 8.10% return. Over the past 10 years, EFV has underperformed DOX with an annualized return of 4.86%, while DOX has yielded a comparatively higher 7.43% annualized return.


EFV

YTD

12.33%

1M

2.86%

6M

4.21%

1Y

13.34%

5Y*

16.11%

10Y*

4.86%

DOX

YTD

8.10%

1M

5.48%

6M

5.80%

1Y

3.61%

5Y*

13.81%

10Y*

7.43%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

EFV vs. DOX — Risk-Adjusted Performance Rank

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

EFV
The Risk-Adjusted Performance Rank of EFV is 7676
Overall Rank
The Sharpe Ratio Rank of EFV is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of EFV is 7575
Sortino Ratio Rank
The Omega Ratio Rank of EFV is 7373
Omega Ratio Rank
The Calmar Ratio Rank of EFV is 8282
Calmar Ratio Rank
The Martin Ratio Rank of EFV is 7171
Martin Ratio Rank

DOX
The Risk-Adjusted Performance Rank of DOX is 5656
Overall Rank
The Sharpe Ratio Rank of DOX is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of DOX is 4949
Sortino Ratio Rank
The Omega Ratio Rank of DOX is 4949
Omega Ratio Rank
The Calmar Ratio Rank of DOX is 6060
Calmar Ratio Rank
The Martin Ratio Rank of DOX is 5959
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.

EFV vs. DOX - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for EFV, currently valued at 1.01, compared to the broader market0.002.004.001.010.23
The chart of Sortino ratio for EFV, currently valued at 1.43, compared to the broader market-2.000.002.004.006.008.0010.0012.001.430.43
The chart of Omega ratio for EFV, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.06
The chart of Calmar ratio for EFV, currently valued at 1.44, compared to the broader market0.005.0010.0015.001.440.18
The chart of Martin ratio for EFV, currently valued at 3.51, compared to the broader market0.0020.0040.0060.0080.00100.003.510.57
EFV
DOX

The current EFV Sharpe Ratio is 1.01, which is higher than the DOX Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of EFV and DOX, 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-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarch
1.01
0.23
EFV
DOX

Dividends

EFV vs. DOX - Dividend Comparison

EFV's dividend yield for the trailing twelve months is around 4.15%, more than DOX's 2.15% yield.


TTM20242023202220212020201920182017201620152014
EFV
iShares MSCI EAFE Value ETF
4.15%4.67%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%
DOX
Amdocs Limited
2.15%2.25%1.98%2.17%1.92%1.85%1.58%1.71%1.34%1.34%1.25%1.33%

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. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarch
-2.95%
-3.81%
EFV
DOX

Volatility

EFV vs. DOX - Volatility Comparison

The current volatility for iShares MSCI EAFE Value ETF (EFV) is 4.54%, while Amdocs Limited (DOX) has a volatility of 5.38%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2025FebruaryMarch
4.54%
5.38%
EFV
DOX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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