MDIJX vs. VEU

Last updated Jun 3, 2026

MDIJX (MFS International Diversification Fund) and VEU (Vanguard FTSE All-World ex-US ETF) are both Foreign Large Cap Equities funds. Over the past 10 years, MDIJX returned 9.83%/yr vs 10.05%/yr for VEU. Their correlation of 0.94 suggests significant overlap in exposure. MDIJX charges 0.82%/yr vs 0.04%/yr for VEU.

Performance

MDIJX vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS International Diversification Fund (MDIJX) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MDIJX achieves a 9.58% return, which is significantly lower than VEU's 15.73% return. Both investments have delivered pretty close results over the past 10 years, with MDIJX having a 9.83% annualized return and VEU not far ahead at 10.05%.

MDIJX

• 1D: 0.03%
• 1M: 3.47%
• YTD: 9.58%
• 6M: 11.84%
• 1Y: 21.52%
• 3Y*: 16.10%
• 5Y*: 6.96%
• 10Y*: 9.83%

VEU

• 1D: 0.73%
• 1M: 5.19%
• YTD: 15.73%
• 6M: 18.94%
• 1Y: 33.06%
• 3Y*: 20.01%
• 5Y*: 9.10%
• 10Y*: 10.05%

*Multi-year figures are annualized to reflect compound growth (CAGR)

MDIJX vs. VEU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MDIJX MFS International Diversification Fund	9.58%	27.84%	6.41%	14.37%	-17.12%	7.69%	15.26%	26.00%	-11.05%	30.29%
VEU Vanguard FTSE All-World ex-US ETF	15.73%	32.35%	5.56%	15.84%	-15.58%	8.27%	11.10%	21.83%	-14.18%	27.40%

Correlation

The correlation between MDIJX and VEU is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Mar 9, 2007	0.94

The correlation between MDIJX and VEU has been stable across timeframes, ranging from 0.91 to 0.94 - a consistent structural relationship.

Return for Risk

MDIJX vs. VEU — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MDIJX

MDIJX Risk / Return Rank: 35
MDIJX Sharpe Ratio Rank: 39
MDIJX Sortino Ratio Rank: 38
MDIJX Omega Ratio Rank: 40
MDIJX Calmar Ratio Rank: 27
MDIJX Martin Ratio Rank: 33

VEU

VEU Risk / Return Rank: 64
VEU Sharpe Ratio Rank: 65
VEU Sortino Ratio Rank: 64
VEU Omega Ratio Rank: 65
VEU Calmar Ratio Rank: 60
VEU Martin Ratio Rank: 64

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MDIJX vs. VEU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS International Diversification Fund (MDIJX) and Vanguard FTSE All-World ex-US ETF (VEU). 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	VEU	Difference
Sharpe ratio Return per unit of total volatility	1.83	2.18	-0.34
Sortino ratio Return per unit of downside risk	2.60	3.00	-0.41
Omega ratio Gain probability vs. loss probability	1.34	1.40	-0.06
Calmar ratio Return relative to maximum drawdown	2.00	3.01	-1.01
Martin ratio Return relative to average drawdown	7.56	11.72	-4.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MDIJX vs. VEU - Sharpe Ratio Comparison

The current MDIJX Sharpe Ratio is 1.83, which is comparable to the VEU Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of MDIJX and VEU, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MDIJX	VEU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.83	2.18	-0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.57	-0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.59	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.26	+0.22

Drawdowns

MDIJX vs. VEU - Drawdown Comparison

The maximum MDIJX drawdown since its inception was -56.60%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for MDIJX and VEU.

Drawdown Indicators

	MDIJX	VEU	Difference
Max Drawdown Largest peak-to-trough decline	-56.60%	-61.52%	+4.92%
Max Drawdown (1Y) Largest decline over 1 year	-11.40%	-11.43%	+0.03%
Max Drawdown (3Y) Largest decline over 3 years	-12.57%	-13.69%	+1.12%
Max Drawdown (5Y) Largest decline over 5 years	-30.19%	-29.31%	-0.88%
Max Drawdown (10Y) Largest decline over 10 years	-30.19%	-34.98%	+4.79%
Current Drawdown Current decline from peak	-0.10%	0.00%	-0.10%
Average Drawdown Average peak-to-trough decline	-9.10%	-13.14%	+4.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.01%	2.93%	+0.08%

Volatility

MDIJX vs. VEU - Volatility Comparison

The current volatility for MFS International Diversification Fund (MDIJX) is 3.99%, while Vanguard FTSE All-World ex-US ETF (VEU) has a volatility of 5.57%. This indicates that MDIJX experiences smaller price fluctuations and is considered to be less risky than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MDIJX	VEU	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.99%	5.57%	-1.58%
Volatility (6M) Calculated over the trailing 6-month period	10.16%	13.01%	-2.85%
Volatility (1Y) Calculated over the trailing 1-year period	12.52%	15.28%	-2.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.22%	16.07%	-1.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.70%	17.21%	-2.51%

MDIJX vs. VEU - Expense Ratio Comparison

MDIJX has a 0.82% expense ratio, which is higher than VEU's 0.04% expense ratio.

Dividends

MDIJX vs. VEU - Dividend Comparison

MDIJX's dividend yield for the trailing twelve months is around 4.72%, more than VEU's 2.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MDIJX MFS International Diversification Fund	4.72%	5.17%	3.50%	4.14%	2.64%	2.70%	1.64%	2.50%	3.14%	1.63%	2.18%	1.69%
VEU Vanguard FTSE All-World ex-US ETF	2.58%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%

Frequently Asked Questions

Can I hold both MDIJX and VEU in my portfolio?

With a correlation of 0.91, MDIJX and VEU 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.

Which is riskier, MDIJX or VEU?

VEU has higher volatility (5.57%) compared to MDIJX (3.99%). In terms of maximum drawdown, MDIJX dropped -56.60% vs VEU's -61.52%.

Which has better risk-adjusted returns?

VEU currently has the higher Sharpe Ratio (2.18 vs 1.83), 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.