MEIAX vs. MTUM
Compare and contrast key facts about MFS Value Fund (MEIAX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
MEIAX is managed by MFS. It was launched on Jan 2, 1996. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MEIAX or MTUM.
Key characteristics
| MEIAX | MTUM | |
|---|---|---|
| YTD Return | 18.01% | 36.86% |
| 1Y Return | 29.56% | 48.95% |
| 3Y Return (Ann) | 6.73% | 5.35% |
| 5Y Return (Ann) | 10.07% | 13.50% |
| 10Y Return (Ann) | 9.51% | 13.71% |
| Sharpe Ratio | 2.92 | 2.59 |
| Sortino Ratio | 4.13 | 3.43 |
| Omega Ratio | 1.53 | 1.45 |
| Calmar Ratio | 3.44 | 2.10 |
| Martin Ratio | 17.28 | 15.15 |
| Ulcer Index | 1.66% | 3.17% |
| Daily Std Dev | 9.79% | 18.54% |
| Max Drawdown | -52.28% | -34.08% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between MEIAX and MTUM is 0.72, 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.
Performance
MEIAX vs. MTUM - Performance Comparison
In the year-to-date period, MEIAX achieves a 18.01% return, which is significantly lower than MTUM's 36.86% return. Over the past 10 years, MEIAX has underperformed MTUM with an annualized return of 9.51%, while MTUM has yielded a comparatively higher 13.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MEIAX vs. MTUM - Expense Ratio Comparison
MEIAX has a 0.80% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Risk-Adjusted Performance
MEIAX vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Value Fund (MEIAX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). 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.
Dividends
MEIAX vs. MTUM - Dividend Comparison
MEIAX's dividend yield for the trailing twelve months is around 1.40%, more than MTUM's 0.54% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.54% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
MEIAX vs. MTUM - Drawdown Comparison
The maximum MEIAX drawdown since its inception was -52.28%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for MEIAX and MTUM. For additional features, visit the drawdowns tool.
Volatility
MEIAX vs. MTUM - Volatility Comparison
The current volatility for MFS Value Fund (MEIAX) is 3.53%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 4.21%. This indicates that MEIAX experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.