EFV vs. DOX
EFV (iShares MSCI EAFE Value ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Value Index, while DOX (Amdocs Limited) is a stock. Over the past 10 years, EFV returned 9.75%/yr vs 2.47%/yr for DOX. At a 0.48 correlation, their price movements are largely independent.
Performance
EFV vs. DOX - Performance Comparison
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Returns By Period
In the year-to-date period, EFV achieves a 9.13% return, which is significantly higher than DOX's -23.76% return. Over the past 10 years, EFV has outperformed DOX with an annualized return of 9.75%, while DOX has yielded a comparatively lower 2.47% annualized return.
EFV
- 1D
- -0.78%
- 1M
- 2.26%
- YTD
- 9.13%
- 6M
- 12.94%
- 1Y
- 27.83%
- 3Y*
- 21.99%
- 5Y*
- 12.07%
- 10Y*
- 9.75%
DOX
- 1D
- -3.43%
- 1M
- -6.83%
- YTD
- -23.76%
- 6M
- -18.69%
- 1Y
- -32.02%
- 3Y*
- -11.88%
- 5Y*
- -3.40%
- 10Y*
- 2.47%
EFV vs. DOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 9.13% | 42.22% | 5.35% | 18.85% | -5.22% | 11.08% | -2.97% | 15.80% | -14.67% | 21.22% |
DOX Amdocs Limited | -23.76% | -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 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.33 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.41 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.44 |
Correlation (All Time) Calculated using the full available price history since Aug 8, 2005 | 0.48 |
Over the past year, the correlation between EFV and DOX has dropped to 0.24 - well below their long-term average of 0.48, 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.
| EFV | DOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.23 | ||
| Sortino ratioReturn per unit of downside risk | +4.47 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 0.78 | +0.57 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | -0.93 | +3.50 |
| Martin ratioReturn relative to average drawdown | 9.57 | -1.73 | +11.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EFV | DOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.97 | -1.26 | +3.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | -0.17 | +0.93 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | 0.12 | +0.43 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.27 | 0.17 | +0.10 |
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% | -34.51% | +23.61% |
Max Drawdown (3Y)Largest decline over 3 years | -13.72% | -35.23% | +21.51% |
Max Drawdown (5Y)Largest decline over 5 years | -25.84% | -35.23% | +9.39% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | -39.36% | -3.80% |
Current DrawdownCurrent decline from peak | -2.51% | -34.25% | +31.74% |
Average DrawdownAverage peak-to-trough decline | -14.83% | -41.83% | +27.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 18.50% | -15.59% |
Volatility
EFV vs. DOX - Volatility Comparison
The current volatility for iShares MSCI EAFE Value ETF (EFV) is 4.52%, while Amdocs Limited (DOX) has a volatility of 10.21%. 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 | 4.52% | 10.21% | -5.69% |
Volatility (6M)Calculated over the trailing 6-month period | 11.56% | 20.24% | -8.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.21% | 25.46% | -11.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.96% | 20.56% | -4.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.86% | 21.32% | -3.46% |
Dividends
EFV vs. DOX - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 3.81%, more than DOX's 3.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DOX Amdocs Limited | 3.53% | 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 | 3.81% | 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 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DOX has higher volatility (10.21%) compared to EFV (4.52%). In terms of maximum drawdown, EFV dropped -63.94% vs DOX's -93.37%.
EFV currently has the higher Sharpe Ratio (1.97 vs -1.26), 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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