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MEIAX vs. AMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

MEIAX vs. AMOM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Value Fund (MEIAX) and QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
9.67%
17.01%
MEIAX
AMOM

Returns By Period

In the year-to-date period, MEIAX achieves a 17.20% return, which is significantly lower than AMOM's 37.17% return.


MEIAX

YTD

17.20%

1M

1.22%

6M

9.67%

1Y

23.53%

5Y (annualized)

9.79%

10Y (annualized)

9.30%

AMOM

YTD

37.17%

1M

4.50%

6M

17.01%

1Y

42.27%

5Y (annualized)

18.25%

10Y (annualized)

N/A

Key characteristics


MEIAXAMOM
Sharpe Ratio2.452.00
Sortino Ratio3.482.61
Omega Ratio1.441.36
Calmar Ratio4.482.41
Martin Ratio14.299.55
Ulcer Index1.68%4.48%
Daily Std Dev9.78%21.43%
Max Drawdown-52.28%-40.03%
Current Drawdown-1.03%-1.54%

Compare stocks, funds, or ETFs

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MEIAX vs. AMOM - Expense Ratio Comparison

MEIAX has a 0.80% expense ratio, which is higher than AMOM's 0.75% expense ratio.


MEIAX
MFS Value Fund
Expense ratio chart for MEIAX: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for AMOM: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Correlation

-0.50.00.51.00.6

The correlation between MEIAX and AMOM is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

MEIAX vs. AMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Value Fund (MEIAX) and QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM). 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 MEIAX, currently valued at 2.45, compared to the broader market-1.000.001.002.003.004.005.002.452.00
The chart of Sortino ratio for MEIAX, currently valued at 3.48, compared to the broader market0.005.0010.003.482.61
The chart of Omega ratio for MEIAX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.36
The chart of Calmar ratio for MEIAX, currently valued at 4.48, compared to the broader market0.005.0010.0015.0020.004.482.41
The chart of Martin ratio for MEIAX, currently valued at 14.29, compared to the broader market0.0020.0040.0060.0080.00100.0014.299.55
MEIAX
AMOM

The current MEIAX Sharpe Ratio is 2.45, which is comparable to the AMOM Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of MEIAX and AMOM, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.45
2.00
MEIAX
AMOM

Dividends

MEIAX vs. AMOM - Dividend Comparison

MEIAX's dividend yield for the trailing twelve months is around 1.40%, more than AMOM's 0.15% yield.


TTM20232022202120202019201820172016201520142013
MEIAX
MFS Value Fund
1.40%1.54%1.69%1.15%1.39%1.72%1.84%1.32%1.78%6.23%5.09%3.66%
AMOM
QRAFT AI-Enhanced U.S. Large Cap Momentum ETF
0.15%0.47%0.72%0.14%24.32%5.51%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

MEIAX vs. AMOM - Drawdown Comparison

The maximum MEIAX drawdown since its inception was -52.28%, which is greater than AMOM's maximum drawdown of -40.03%. Use the drawdown chart below to compare losses from any high point for MEIAX and AMOM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.03%
-1.54%
MEIAX
AMOM

Volatility

MEIAX vs. AMOM - Volatility Comparison

The current volatility for MFS Value Fund (MEIAX) is 3.52%, while QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) has a volatility of 6.07%. This indicates that MEIAX experiences smaller price fluctuations and is considered to be less risky than AMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
3.52%
6.07%
MEIAX
AMOM