PIZ vs. MDIJX
PIZ (Invesco DWA Developed Markets Momentum ETF) and MDIJX (MFS International Diversification Fund) are both funds - PIZ is a Momentum fund tracking the Dorsey Wright Developed Markets Technical Leaders Index, while MDIJX is a Foreign Large Cap Equities fund managed by MFS. Over the past 10 years, PIZ returned 10.07%/yr vs 9.78%/yr for MDIJX. Their correlation of 0.86 means they have usually moved in the same direction. PIZ charges 0.80%/yr vs 0.82%/yr for MDIJX.
Performance
PIZ vs. MDIJX - Performance Comparison
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Returns By Period
In the year-to-date period, PIZ achieves a 7.58% return, which is significantly lower than MDIJX's 11.17% return. Both investments have delivered pretty close results over the past 10 years, with PIZ having a 10.07% annualized return and MDIJX not far behind at 9.78%.
PIZ
- 1D
- 1.13%
- 1M
- -4.68%
- 6M
- 0.00%
- YTD
- 7.58%
- 1Y
- 17.42%
- 3Y*
- 21.00%
- 5Y*
- 7.22%
- 10Y*
- 10.07%
- ALL TIME*
- 5.66%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $5.38M | $4.25M | $4.38M |
PIZ vs. MDIJX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PIZ Invesco DWA Developed Markets Momentum ETF | 7.58% | 37.22% | 16.30% | 17.96% | -30.48% | 20.53% | 17.96% | 27.51% | -16.15% | 30.96% |
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% |
Correlation
The correlation between PIZ and MDIJX is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.79 |
Correlation (3Y) Balances recent behavior with more history. | 0.79 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.83 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.84 |
Correlation (All Time) Calculated using the full available price history since Jan 7, 2008 | 0.86 |
The correlation between PIZ and MDIJX has been stable across timeframes, ranging from 0.79 to 0.86 - a consistent structural relationship.
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Return for Risk
PIZ vs. MDIJX — Risk / Return Rank
PIZ
MDIJX
PIZ vs. MDIJX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Developed Markets Momentum ETF (PIZ) and MFS International Diversification Fund (MDIJX). 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.
| PIZ | MDIJX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.90 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.30 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 1.10 | 1.94 | -0.85 |
| Martin ratioReturn relative to average drawdown | 3.41 | 7.26 | -3.86 |
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Drawdowns
PIZ vs. MDIJX - Drawdown Comparison
The maximum PIZ drawdown since its inception was -60.61%, which is greater than MDIJX's maximum drawdown of -56.60%. Use the drawdown chart below to compare losses from any high point for PIZ and MDIJX.
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Drawdown Indicators
| PIZ | MDIJX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.61% | -56.60% | -4.01% |
Max Drawdown (1Y)Largest decline over 1 year | -15.97% | -11.40% | -4.57% |
Max Drawdown (3Y)Largest decline over 3 years | -15.97% | -12.57% | -3.40% |
Max Drawdown (5Y)Largest decline over 5 years | -40.93% | -30.19% | -10.74% |
Max Drawdown (10Y)Largest decline over 10 years | -40.93% | -30.19% | -10.74% |
Current DrawdownCurrent decline from peak | -11.41% | -0.16% | -11.25% |
Average DrawdownAverage peak-to-trough decline | -14.86% | -9.04% | -5.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.13% | 3.04% | +2.09% |
Volatility
PIZ vs. MDIJX - Volatility Comparison
Invesco DWA Developed Markets Momentum ETF (PIZ) has a higher volatility of 8.01% compared to MFS International Diversification Fund (MDIJX) at 4.10%. This indicates that PIZ's price experiences larger fluctuations and is considered to be riskier than MDIJX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PIZ | MDIJX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.01% | 4.10% | +3.91% |
Volatility (6M)Calculated over the trailing 6-month period | 21.44% | 11.70% | +9.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.70% | 13.57% | +10.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.63% | 14.42% | +6.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.71% | 14.54% | +5.17% |
PIZ vs. MDIJX - Expense Ratio Comparison
PIZ has a 0.80% expense ratio, which is lower than MDIJX's 0.82% expense ratio.
Dividends
PIZ vs. MDIJX - Dividend Comparison
PIZ's dividend yield for the trailing twelve months is around 1.60%, less than MDIJX's 4.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
PIZ Invesco DWA Developed Markets Momentum ETF | 1.60% | 1.55% | 1.68% | 1.86% | 2.04% | 1.01% | 0.37% | 1.58% | 1.06% | 1.30% | 2.21% | 1.09% |
Frequently Asked Questions
PIZ and MDIJX have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PIZ has higher volatility (8.01%) compared to MDIJX (4.10%). In terms of maximum drawdown, PIZ dropped -60.61% vs MDIJX's -56.60%.
MDIJX currently has the higher Sharpe Ratio (1.64 vs 0.74), 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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