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ELFNX vs. MITTX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ELFNX vs. MITTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Elfun Trusts (ELFNX) and MFS Massachusetts Investors Trust (MITTX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.11%
9.08%
ELFNX
MITTX

Returns By Period

In the year-to-date period, ELFNX achieves a 27.80% return, which is significantly higher than MITTX's 21.99% return. Over the past 10 years, ELFNX has outperformed MITTX with an annualized return of 14.28%, while MITTX has yielded a comparatively lower 12.61% annualized return.


ELFNX

YTD

27.80%

1M

0.63%

6M

11.11%

1Y

33.93%

5Y (annualized)

17.59%

10Y (annualized)

14.28%

MITTX

YTD

21.99%

1M

1.67%

6M

9.08%

1Y

27.77%

5Y (annualized)

14.84%

10Y (annualized)

12.61%

Key characteristics


ELFNXMITTX
Sharpe Ratio2.452.45
Sortino Ratio3.343.32
Omega Ratio1.471.46
Calmar Ratio4.143.47
Martin Ratio17.3514.99
Ulcer Index1.98%1.89%
Daily Std Dev14.06%11.53%
Max Drawdown-50.28%-48.88%
Current Drawdown-1.60%-0.93%

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ELFNX vs. MITTX - Expense Ratio Comparison

ELFNX has a 0.18% expense ratio, which is lower than MITTX's 0.70% expense ratio.


MITTX
MFS Massachusetts Investors Trust
Expense ratio chart for MITTX: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for ELFNX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.9

The correlation between ELFNX and MITTX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

ELFNX vs. MITTX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Elfun Trusts (ELFNX) and MFS Massachusetts Investors Trust (MITTX). 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.


Sharpe ratio
The chart of Sharpe ratio for ELFNX, currently valued at 2.45, compared to the broader market-1.000.001.002.003.004.005.002.452.45
The chart of Sortino ratio for ELFNX, currently valued at 3.34, compared to the broader market0.005.0010.003.343.32
The chart of Omega ratio for ELFNX, currently valued at 1.47, compared to the broader market1.002.003.004.001.471.46
The chart of Calmar ratio for ELFNX, currently valued at 4.14, compared to the broader market0.005.0010.0015.0020.004.143.47
The chart of Martin ratio for ELFNX, currently valued at 17.35, compared to the broader market0.0020.0040.0060.0080.00100.0017.3514.99
ELFNX
MITTX

The current ELFNX Sharpe Ratio is 2.45, which is comparable to the MITTX Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of ELFNX and MITTX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.45
2.45
ELFNX
MITTX

Dividends

ELFNX vs. MITTX - Dividend Comparison

ELFNX's dividend yield for the trailing twelve months is around 0.84%, more than MITTX's 0.69% yield.


TTM20232022202120202019201820172016201520142013
ELFNX
Elfun Trusts
0.84%1.08%1.28%0.93%0.96%1.08%1.51%1.29%1.48%1.47%1.28%1.28%
MITTX
MFS Massachusetts Investors Trust
0.69%0.88%1.00%0.65%8.31%0.65%1.10%0.95%0.94%1.61%7.54%2.70%

Drawdowns

ELFNX vs. MITTX - Drawdown Comparison

The maximum ELFNX drawdown since its inception was -50.28%, roughly equal to the maximum MITTX drawdown of -48.88%. Use the drawdown chart below to compare losses from any high point for ELFNX and MITTX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.60%
-0.93%
ELFNX
MITTX

Volatility

ELFNX vs. MITTX - Volatility Comparison

Elfun Trusts (ELFNX) has a higher volatility of 4.09% compared to MFS Massachusetts Investors Trust (MITTX) at 3.36%. This indicates that ELFNX's price experiences larger fluctuations and is considered to be riskier than MITTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.09%
3.36%
ELFNX
MITTX