SCZ vs. MSFRX
SCZ (iShares MSCI EAFE Small-Cap ETF) and MSFRX (MFS Total Return Fund) are both funds - SCZ is a Foreign Small & Mid Cap Equities fund tracking the MSCI EAFE Small Cap Index, while MSFRX is a Diversified Portfolio fund managed by MFS. Over the past 10 years, SCZ returned 8.64%/yr vs 8.10%/yr for MSFRX. A 0.77 correlation means they provide meaningful diversification when combined. SCZ charges 0.40%/yr vs 0.72%/yr for MSFRX.
Performance
SCZ vs. MSFRX - Performance Comparison
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Returns By Period
In the year-to-date period, SCZ achieves a 9.70% return, which is significantly higher than MSFRX's 3.66% return. Over the past 10 years, SCZ has outperformed MSFRX with an annualized return of 8.64%, while MSFRX has yielded a comparatively lower 8.10% annualized return.
SCZ
- 1D
- 0.47%
- 1M
- 1.01%
- YTD
- 9.70%
- 6M
- 11.43%
- 1Y
- 23.50%
- 3Y*
- 15.38%
- 5Y*
- 4.99%
- 10Y*
- 8.64%
MSFRX
- 1D
- 0.71%
- 1M
- 2.60%
- YTD
- 3.66%
- 6M
- 3.79%
- 1Y
- 11.92%
- 3Y*
- 12.33%
- 5Y*
- 6.44%
- 10Y*
- 8.10%
SCZ vs. MSFRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SCZ iShares MSCI EAFE Small-Cap ETF | 9.70% | 32.08% | 1.52% | 12.98% | -21.27% | 10.12% | 11.71% | 24.68% | -17.64% | 32.72% |
MSFRX MFS Total Return Fund | 3.66% | 10.98% | 14.73% | 10.34% | -9.70% | 14.00% | 9.72% | 20.20% | -5.80% | 12.18% |
Correlation
The correlation between SCZ and MSFRX is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.73 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since Dec 12, 2007 | 0.77 |
The correlation between SCZ and MSFRX shifts across timeframes, from 0.63 (1 year) to 0.77 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SCZ vs. MSFRX — Risk / Return Rank
SCZ
MSFRX
SCZ vs. MSFRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Small-Cap ETF (SCZ) and MFS Total Return Fund (MSFRX). 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.
| SCZ | MSFRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.18 | ||
| Sortino ratioReturn per unit of downside risk | -0.39 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.30 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.95 | 2.30 | -0.35 |
| Martin ratioReturn relative to average drawdown | 7.36 | 6.74 | +0.61 |
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Drawdowns
SCZ vs. MSFRX - Drawdown Comparison
The maximum SCZ drawdown since its inception was -61.86%, which is greater than MSFRX's maximum drawdown of -37.28%. Use the drawdown chart below to compare losses from any high point for SCZ and MSFRX.
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Drawdown Indicators
| SCZ | MSFRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.86% | -37.28% | -24.58% |
Max Drawdown (1Y)Largest decline over 1 year | -11.43% | -4.96% | -6.47% |
Max Drawdown (3Y)Largest decline over 3 years | -15.06% | -8.56% | -6.50% |
Max Drawdown (5Y)Largest decline over 5 years | -36.87% | -17.02% | -19.85% |
Max Drawdown (10Y)Largest decline over 10 years | -41.07% | -24.70% | -16.37% |
Current DrawdownCurrent decline from peak | -1.66% | -1.51% | -0.15% |
Average DrawdownAverage peak-to-trough decline | -13.05% | -5.00% | -8.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 1.69% | +1.33% |
Volatility
SCZ vs. MSFRX - Volatility Comparison
iShares MSCI EAFE Small-Cap ETF (SCZ) has a higher volatility of 5.27% compared to MFS Total Return Fund (MSFRX) at 1.94%. This indicates that SCZ's price experiences larger fluctuations and is considered to be riskier than MSFRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SCZ | MSFRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.27% | 1.94% | +3.33% |
Volatility (6M)Calculated over the trailing 6-month period | 12.52% | 5.03% | +7.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.93% | 6.83% | +8.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.81% | 9.76% | +7.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.43% | 10.46% | +6.97% |
SCZ vs. MSFRX - Expense Ratio Comparison
SCZ has a 0.40% expense ratio, which is lower than MSFRX's 0.72% expense ratio.
Dividends
SCZ vs. MSFRX - Dividend Comparison
SCZ's dividend yield for the trailing twelve months is around 3.01%, less than MSFRX's 8.74% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MSFRX MFS Total Return Fund | 8.74% | 8.93% | 14.87% | 6.19% | 5.38% | 8.33% | 6.93% | 3.22% | 4.99% | 5.67% | 3.54% | 5.55% |
SCZ iShares MSCI EAFE Small-Cap ETF | 3.01% | 3.30% | 3.50% | 2.96% | 1.99% | 2.96% | 1.52% | 3.52% | 2.79% | 2.38% | 2.82% | 2.06% |
Frequently Asked Questions
SCZ and MSFRX have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SCZ has higher volatility (5.27%) compared to MSFRX (1.94%). In terms of maximum drawdown, SCZ dropped -61.86% vs MSFRX's -37.28%.
MSFRX currently has the higher Sharpe Ratio (1.67 vs 1.49), 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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