EFV vs. DOX
Compare and contrast key facts about iShares MSCI EAFE Value ETF (EFV) and Amdocs Limited (DOX).
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: EFV or DOX.
Key characteristics
| EFV | DOX | |
|---|---|---|
| YTD Return | 2.50% | -4.65% |
| 1Y Return | 13.12% | -7.58% |
| 3Y Return (Ann) | 5.28% | 4.95% |
| 5Y Return (Ann) | 5.36% | 10.86% |
| 10Y Return (Ann) | 2.92% | 7.68% |
| Sharpe Ratio | 0.92 | -0.48 |
| Daily Std Dev | 12.49% | 17.00% |
| Max Drawdown | -63.94% | -93.37% |
| Current Drawdown | -2.18% | -14.36% |
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.
Performance
EFV vs. DOX - Performance Comparison
In the year-to-date period, EFV achieves a 2.50% return, which is significantly higher than DOX's -4.65% return. Over the past 10 years, EFV has underperformed DOX with an annualized return of 2.92%, while DOX has yielded a comparatively higher 7.68% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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.
Dividends
EFV vs. DOX - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 4.26%, more than DOX's 2.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 4.26% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% | 4.87% | 3.19% |
DOX Amdocs Limited | 2.14% | 1.98% | 2.17% | 1.92% | 1.85% | 1.58% | 1.71% | 1.34% | 1.34% | 1.25% | 1.33% | 1.26% |
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.
Volatility
EFV vs. DOX - Volatility Comparison
The current volatility for iShares MSCI EAFE Value ETF (EFV) is 3.55%, while Amdocs Limited (DOX) has a volatility of 3.83%. 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.