MDIJX vs. DIHRX
Compare and contrast key facts about MFS International Diversification Fund (MDIJX) and DFA International High Relative Profitability Portfolio (DIHRX).
MDIJX is managed by MFS. It was launched on Sep 30, 2004. DIHRX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MDIJX or DIHRX.
Performance
MDIJX vs. DIHRX - Performance Comparison
Returns By Period
In the year-to-date period, MDIJX achieves a 7.07% return, which is significantly higher than DIHRX's 0.41% return.
MDIJX
7.07%
-4.99%
-0.79%
13.69%
5.60%
6.28%
DIHRX
0.41%
-6.20%
-5.00%
6.83%
5.54%
N/A
Key characteristics
| MDIJX | DIHRX | |
|---|---|---|
| Sharpe Ratio | 1.17 | 0.60 |
| Sortino Ratio | 1.65 | 0.93 |
| Omega Ratio | 1.20 | 1.11 |
| Calmar Ratio | 1.02 | 0.75 |
| Martin Ratio | 5.93 | 2.76 |
| Ulcer Index | 2.24% | 2.83% |
| Daily Std Dev | 11.36% | 12.95% |
| Max Drawdown | -54.94% | -33.30% |
| Current Drawdown | -7.79% | -9.51% |
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MDIJX vs. DIHRX - Expense Ratio Comparison
MDIJX has a 0.82% expense ratio, which is higher than DIHRX's 0.30% expense ratio.
Correlation
The correlation between MDIJX and DIHRX is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
MDIJX vs. DIHRX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS International Diversification Fund (MDIJX) and DFA International High Relative Profitability Portfolio (DIHRX). 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
MDIJX vs. DIHRX - Dividend Comparison
MDIJX's dividend yield for the trailing twelve months is around 2.41%, less than DIHRX's 2.49% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MDIJX MFS International Diversification Fund | 2.41% | 2.58% | 0.66% | 1.88% | 0.69% | 1.43% | 2.45% | 1.63% | 2.19% | 1.69% | 1.48% | 1.06% |
DIHRX DFA International High Relative Profitability Portfolio | 2.49% | 2.59% | 3.06% | 2.32% | 1.39% | 2.11% | 2.36% | 0.86% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MDIJX vs. DIHRX - Drawdown Comparison
The maximum MDIJX drawdown since its inception was -54.94%, which is greater than DIHRX's maximum drawdown of -33.30%. Use the drawdown chart below to compare losses from any high point for MDIJX and DIHRX. For additional features, visit the drawdowns tool.
Volatility
MDIJX vs. DIHRX - Volatility Comparison
The current volatility for MFS International Diversification Fund (MDIJX) is 3.39%, while DFA International High Relative Profitability Portfolio (DIHRX) has a volatility of 3.60%. This indicates that MDIJX experiences smaller price fluctuations and is considered to be less risky than DIHRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.