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 9.78%/yr vs 9.44%/yr for EFA. Their correlation of 0.93 means they have usually moved in the same direction. MDIJX charges 0.82%/yr vs 0.32%/yr for EFA.
Performance
MDIJX vs. EFA - Performance Comparison
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Returns By Period
In the year-to-date period, MDIJX achieves a 11.17% return, which is significantly lower than EFA's 12.15% return. Both investments have delivered pretty close results over the past 10 years, with MDIJX having a 9.78% annualized return and EFA not far behind at 9.44%.
MDIJX
- 1D
- -0.16%
- 1M
- 1.71%
- 6M
- 5.54%
- YTD
- 11.17%
- 1Y
- 22.72%
- 3Y*
- 15.38%
- 5Y*
- 7.65%
- 10Y*
- 9.78%
- ALL TIME*
- 8.28%
EFA
- 1D
- 0.42%
- 1M
- 1.58%
- 6M
- 6.21%
- YTD
- 12.15%
- 1Y
- 25.62%
- 3Y*
- 17.31%
- 5Y*
- 9.12%
- 10Y*
- 9.44%
- ALL TIME*
- 6.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.19B | $1.11B | $1.37B | |
| $0.00 | $0.00 | $0.00 |
MDIJX vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MDIJX MFS International Diversification Fund | 11.17% | 27.84% | 6.41% | 14.37% | -17.12% | 7.69% | 15.26% | 26.00% | -11.05% | 30.29% |
EFA iShares MSCI EAFE ETF | 12.15% | 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 0.91, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.91 |
Correlation (3Y) Balances recent behavior with more history. | 0.92 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.94 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.93 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2004 | 0.93 |
The correlation between MDIJX and EFA has been stable across timeframes, ranging from 0.91 to 0.94 - 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MDIJX | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.29 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.94 | 2.25 | -0.31 |
| Martin ratioReturn relative to average drawdown | 7.26 | 8.51 | -1.25 |
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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 | -0.16% | -0.21% | +0.05% |
Average DrawdownAverage peak-to-trough decline | -9.04% | -11.86% | +2.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 3.02% | +0.02% |
Volatility
MDIJX vs. EFA - Volatility Comparison
The current volatility for MFS International Diversification Fund (MDIJX) is 4.10%, while iShares MSCI EAFE ETF (EFA) has a volatility of 4.53%. 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 | 4.10% | 4.53% | -0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 11.70% | 13.68% | -1.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.57% | 15.78% | -2.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.42% | 16.62% | -2.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.54% | 17.01% | -2.47% |
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 4.65%, more than EFA's 3.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.17% | 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 | 4.65% | 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
With a correlation of 0.91, MDIJX and EFA move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
EFA has higher volatility (4.53%) compared to MDIJX (4.10%). In terms of maximum drawdown, MDIJX dropped -56.60% vs EFA's -61.04%.
MDIJX currently has the higher Sharpe Ratio (1.64 vs 1.63), 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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