MFDX vs. SPDN
MFDX (PIMCO RAFI Dynamic Multi-Factor International Equity ETF) and SPDN (Direxion Daily S&P 500 Bear 1x Shares) are both exchange-traded funds - MFDX is a Foreign Large Cap Equities fund tracking the RAFI Dynamic Multi-Factor Developed Ex-U.S. Index, while SPDN is a Inverse Equities fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, MFDX returned 9.63%/yr vs -8.55%/yr for SPDN. At a correlation of -0.76, they often move in opposite directions. MFDX charges 0.39%/yr vs 0.50%/yr for SPDN.
Performance
MFDX vs. SPDN - Performance Comparison
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Returns By Period
In the year-to-date period, MFDX achieves a 8.03% return, which is significantly higher than SPDN's -5.89% return.
MFDX
- 1D
- 0.29%
- 1M
- -2.47%
- YTD
- 8.03%
- 6M
- 10.99%
- 1Y
- 20.50%
- 3Y*
- 17.76%
- 5Y*
- 9.63%
- 10Y*
- —
SPDN
- 1D
- -0.11%
- 1M
- 0.11%
- YTD
- -5.89%
- 6M
- -5.63%
- 1Y
- -14.82%
- 3Y*
- -12.12%
- 5Y*
- -8.55%
- 10Y*
- -12.43%
MFDX vs. SPDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 8.03% | 34.27% | 4.40% | 17.54% | -10.27% | 11.07% | 6.90% | 19.88% | -14.88% | 7.07% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | -5.89% | -11.09% | -12.88% | -15.04% | 18.63% | -23.72% | -24.56% | -21.94% | 5.41% | -8.22% |
Correlation
The correlation between MFDX and SPDN is -0.70, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.73 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2017 | -0.76 |
The correlation between MFDX and SPDN has been stable across timeframes, ranging from -0.76 to -0.67 - a consistent structural relationship.
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Return for Risk
MFDX vs. SPDN — Risk / Return Rank
MFDX
SPDN
MFDX vs. SPDN - 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 Direxion Daily S&P 500 Bear 1x Shares (SPDN). 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.
| MFDX | SPDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.69 | ||
| Sortino ratioReturn per unit of downside risk | +3.82 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 0.81 | +0.46 |
| Calmar ratioReturn relative to maximum drawdown | 1.93 | -0.84 | +2.77 |
| Martin ratioReturn relative to average drawdown | 7.62 | -1.53 | +9.15 |
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
| MFDX | SPDN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.48 | -1.21 | +2.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.64 | -0.51 | +1.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.69 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | -0.69 | +1.22 |
Drawdowns
MFDX vs. SPDN - Drawdown Comparison
The maximum MFDX drawdown since its inception was -36.05%, smaller than the maximum SPDN drawdown of -75.31%. Use the drawdown chart below to compare losses from any high point for MFDX and SPDN.
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Drawdown Indicators
| MFDX | SPDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.05% | -75.31% | +39.26% |
Max Drawdown (1Y)Largest decline over 1 year | -10.66% | -17.73% | +7.07% |
Max Drawdown (3Y)Largest decline over 3 years | -11.62% | -38.24% | +26.62% |
Max Drawdown (5Y)Largest decline over 5 years | -25.58% | -43.85% | +18.27% |
Max Drawdown (10Y)Largest decline over 10 years | — | -75.31% | — |
Current DrawdownCurrent decline from peak | -3.36% | -74.65% | +71.29% |
Average DrawdownAverage peak-to-trough decline | -6.49% | -48.57% | +42.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.70% | 9.71% | -7.01% |
Volatility
MFDX vs. SPDN - Volatility Comparison
PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) has a higher volatility of 4.25% compared to Direxion Daily S&P 500 Bear 1x Shares (SPDN) at 3.55%. This indicates that MFDX's price experiences larger fluctuations and is considered to be riskier than SPDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MFDX | SPDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.25% | 3.55% | +0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 11.62% | 9.44% | +2.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.94% | 12.33% | +1.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.07% | 16.90% | -1.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.42% | 18.05% | -1.63% |
MFDX vs. SPDN - Expense Ratio Comparison
MFDX has a 0.39% expense ratio, which is lower than SPDN's 0.50% expense ratio.
Dividends
MFDX vs. SPDN - Dividend Comparison
MFDX's dividend yield for the trailing twelve months is around 2.84%, less than SPDN's 4.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 2.84% | 2.97% | 3.16% | 3.12% | 2.85% | 2.99% | 1.58% | 2.88% | 2.13% | 0.71% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | 4.01% | 4.06% | 5.32% | 5.84% | 0.96% | 0.00% | 0.10% | 1.89% | 1.24% | 0.42% |
Frequently Asked Questions
MFDX and SPDN have a correlation of -0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MFDX has higher volatility (4.25%) compared to SPDN (3.55%). In terms of maximum drawdown, MFDX dropped -36.05% vs SPDN's -75.31%.
On 5-year performance, MFDX leads with 9.63% vs -8.55% for SPDN. On fees, MFDX is cheaper at 0.39% per year. On volatility, SPDN has been the lower-risk option at 3.55%. 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 9.63% return vs -8.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MFDX is cheaper with a 0.39% expense ratio, compared with 0.50% for SPDN.
SPDN has the higher dividend yield at 4.01%, compared with 2.84% for MFDX.
MFDX is categorized as Foreign Large Cap Equities, while SPDN is Inverse Equities. MFDX tracks RAFI Dynamic Multi-Factor Developed Ex-U.S. Index, while SPDN tracks S&P 500 Index. They also come from different issuers: PIMCO and Direxion. Their fees differ too: 0.39% for MFDX and 0.50% for SPDN.
MFDX currently has the higher Sharpe Ratio (1.48 vs -1.21), 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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