MDIJX vs. EFA
MDIJX (MFS International Diversification Fund) and EFA (iShares MSCI EAFE ETF) are both Foreign Large Cap Equities funds. Over the past 10 years, MDIJX returned 9.81%/yr vs 9.14%/yr for EFA. Their correlation of 0.93 suggests significant overlap in exposure. MDIJX charges 0.82%/yr vs 0.32%/yr for EFA.
Performance
MDIJX vs. EFA - Performance Comparison
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Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with MDIJX at 9.29% and EFA at 9.29%. Over the past 10 years, MDIJX has outperformed EFA with an annualized return of 9.81%, while EFA has yielded a comparatively lower 9.14% annualized return.
MDIJX
- 1D
- -0.88%
- 1M
- 3.09%
- YTD
- 9.29%
- 6M
- 10.89%
- 1Y
- 21.07%
- 3Y*
- 16.00%
- 5Y*
- 6.88%
- 10Y*
- 9.81%
EFA
- 1D
- 0.80%
- 1M
- 2.85%
- YTD
- 9.29%
- 6M
- 11.52%
- 1Y
- 21.48%
- 3Y*
- 16.97%
- 5Y*
- 8.46%
- 10Y*
- 9.14%
MDIJX vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MDIJX MFS International Diversification Fund | 9.29% | 27.84% | 6.41% | 14.37% | -17.12% | 7.69% | 15.26% | 26.00% | -11.05% | 30.29% |
EFA iShares MSCI EAFE ETF | 9.29% | 31.55% | 3.49% | 18.36% | -14.39% | 11.45% | 7.60% | 22.04% | -13.82% | 25.07% |
Correlation
The correlation between MDIJX and EFA is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.93 |
Correlation (All Time) Calculated using the full available price history since Oct 1, 2004 | 0.93 |
The correlation between MDIJX and EFA has been stable across timeframes, ranging from 0.90 to 0.93 - a consistent structural relationship.
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Return for Risk
MDIJX vs. EFA — Risk / Return Rank
MDIJX
EFA
MDIJX vs. EFA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS International Diversification Fund (MDIJX) and iShares MSCI EAFE ETF (EFA). 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.
| MDIJX | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.41 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.26 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 1.92 | 1.89 | +0.03 |
| Martin ratioReturn relative to average drawdown | 7.27 | 7.08 | +0.19 |
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
| MDIJX | EFA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.75 | 1.43 | +0.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.49 | 0.52 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.53 | +0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.31 | +0.16 |
Drawdowns
MDIJX vs. EFA - Drawdown Comparison
The maximum MDIJX drawdown since its inception was -56.60%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for MDIJX and EFA.
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Drawdown Indicators
| MDIJX | EFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.60% | -61.04% | +4.44% |
Max Drawdown (1Y)Largest decline over 1 year | -11.40% | -11.42% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -12.57% | -14.05% | +1.48% |
Max Drawdown (5Y)Largest decline over 5 years | -30.19% | -29.53% | -0.66% |
Max Drawdown (10Y)Largest decline over 10 years | -30.19% | -34.19% | +4.00% |
Current DrawdownCurrent decline from peak | -0.88% | -0.67% | -0.21% |
Average DrawdownAverage peak-to-trough decline | -9.09% | -11.93% | +2.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.01% | 3.04% | -0.03% |
Volatility
MDIJX vs. EFA - Volatility Comparison
The current volatility for MFS International Diversification Fund (MDIJX) is 4.09%, while iShares MSCI EAFE ETF (EFA) has a volatility of 4.88%. This indicates that MDIJX experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MDIJX | EFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.09% | 4.88% | -0.79% |
Volatility (6M)Calculated over the trailing 6-month period | 10.21% | 12.53% | -2.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.51% | 15.05% | -2.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.23% | 16.48% | -2.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.70% | 17.26% | -2.56% |
MDIJX vs. EFA - Expense Ratio Comparison
MDIJX has a 0.82% expense ratio, which is higher than EFA's 0.32% expense ratio.
Dividends
MDIJX vs. EFA - Dividend Comparison
MDIJX's dividend yield for the trailing twelve months is around 4.73%, more than EFA's 3.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.09% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
MDIJX MFS International Diversification Fund | 4.73% | 5.17% | 3.50% | 4.14% | 2.64% | 2.70% | 1.64% | 2.50% | 3.14% | 1.63% | 2.18% | 1.69% |
Frequently Asked Questions
MDIJX and EFA have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFA has higher volatility (4.88%) compared to MDIJX (4.09%). In terms of maximum drawdown, MDIJX dropped -56.60% vs EFA's -61.04%.
MDIJX currently has the higher Sharpe Ratio (1.75 vs 1.43), 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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