MFDX vs. IDHQ
MFDX (PIMCO RAFI Dynamic Multi-Factor International Equity ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both Foreign Large Cap Equities funds - MFDX tracks the RAFI Dynamic Multi-Factor Developed Ex-U.S. Index while IDHQ tracks the IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. Both are passively managed. Over the past 5 years, MFDX returned 10.21%/yr vs 9.11%/yr for IDHQ. Their correlation of 0.84 suggests significant overlap in exposure. MFDX charges 0.39%/yr vs 0.29%/yr for IDHQ.
Performance
MFDX vs. IDHQ - Performance Comparison
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Returns By Period
In the year-to-date period, MFDX achieves a 8.81% return, which is significantly lower than IDHQ's 23.96% return.
MFDX
- 1D
- -0.83%
- 1M
- -1.52%
- 6M
- 5.34%
- YTD
- 8.81%
- 1Y
- 19.99%
- 3Y*
- 16.70%
- 5Y*
- 10.21%
- 10Y*
- —
IDHQ
- 1D
- -1.06%
- 1M
- 3.48%
- 6M
- 17.70%
- YTD
- 23.96%
- 1Y
- 34.45%
- 3Y*
- 18.63%
- 5Y*
- 9.11%
- 10Y*
- 10.54%
MFDX vs. IDHQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 8.81% | 34.27% | 4.40% | 17.54% | -10.27% | 11.07% | 6.90% | 19.88% | -14.88% | 7.07% |
IDHQ Invesco S&P International Developed High Quality ETF | 23.96% | 27.46% | 1.33% | 18.80% | -20.23% | 11.38% | 16.09% | 29.58% | -13.38% | 6.12% |
Correlation
The correlation between MFDX and IDHQ is 0.87, 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 | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.87 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2017 | 0.84 |
The correlation between MFDX and IDHQ has been stable across timeframes, ranging from 0.84 to 0.90 - a consistent structural relationship.
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Return for Risk
MFDX vs. IDHQ — Risk / Return Rank
MFDX
IDHQ
MFDX vs. IDHQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) and Invesco S&P International Developed High Quality ETF (IDHQ). 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.
| MFDX | IDHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.31 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.88 | 2.58 | -0.69 |
| Martin ratioReturn relative to average drawdown | 7.25 | 10.14 | -2.89 |
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Drawdowns
MFDX vs. IDHQ - Drawdown Comparison
The maximum MFDX drawdown since its inception was -36.05%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for MFDX and IDHQ.
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Drawdown Indicators
| MFDX | IDHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.05% | -73.84% | +37.79% |
Max Drawdown (1Y)Largest decline over 1 year | -10.66% | -13.44% | +2.78% |
Max Drawdown (3Y)Largest decline over 3 years | -11.62% | -14.07% | +2.45% |
Max Drawdown (5Y)Largest decline over 5 years | -25.58% | -33.54% | +7.96% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.54% | — |
Current DrawdownCurrent decline from peak | -2.66% | -2.57% | -0.09% |
Average DrawdownAverage peak-to-trough decline | -6.45% | -21.09% | +14.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.77% | 3.41% | -0.64% |
Volatility
MFDX vs. IDHQ - Volatility Comparison
The current volatility for PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) is 4.54%, while Invesco S&P International Developed High Quality ETF (IDHQ) has a volatility of 7.92%. This indicates that MFDX experiences smaller price fluctuations and is considered to be less risky than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MFDX | IDHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.54% | 7.92% | -3.38% |
Volatility (6M)Calculated over the trailing 6-month period | 12.25% | 18.93% | -6.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.33% | 20.78% | -6.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.09% | 17.85% | -2.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.41% | 17.97% | -1.56% |
MFDX vs. IDHQ - Expense Ratio Comparison
MFDX has a 0.39% expense ratio, which is higher than IDHQ's 0.29% expense ratio.
Dividends
MFDX vs. IDHQ - Dividend Comparison
MFDX's dividend yield for the trailing twelve months is around 2.94%, more than IDHQ's 2.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IDHQ Invesco S&P International Developed High Quality ETF | 2.04% | 2.46% | 2.41% | 2.52% | 3.33% | 2.10% | 1.60% | 2.10% | 2.67% | 1.68% | 2.36% | 1.71% |
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 2.94% | 2.97% | 3.16% | 3.12% | 2.85% | 2.99% | 1.58% | 2.88% | 2.13% | 0.71% | 0.00% | 0.00% |
Frequently Asked Questions
MFDX and IDHQ have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDHQ has higher volatility (7.92%) compared to MFDX (4.54%). In terms of maximum drawdown, MFDX dropped -36.05% vs IDHQ's -73.84%.
On 5-year performance, MFDX leads with 10.21% vs 9.11% for IDHQ. On fees, IDHQ is cheaper at 0.29% per year. On volatility, MFDX has been the lower-risk option at 4.54%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MFDX has performed better with a 10.21% return vs 9.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDHQ is cheaper with a 0.29% expense ratio, compared with 0.39% for MFDX.
MFDX has the higher dividend yield at 2.94%, compared with 2.04% for IDHQ.
MFDX tracks RAFI Dynamic Multi-Factor Developed Ex-U.S. Index, while IDHQ tracks IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. They also come from different issuers: PIMCO and Invesco. Their fees differ too: 0.39% for MFDX and 0.29% for IDHQ.
IDHQ currently has the higher Sharpe Ratio (1.67 vs 1.40), 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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