PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MEIAX vs. MTUM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

MEIAX vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Value Fund (MEIAX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.13%
13.12%
MEIAX
MTUM

Returns By Period

In the year-to-date period, MEIAX achieves a 17.95% return, which is significantly lower than MTUM's 37.54% return. Over the past 10 years, MEIAX has underperformed MTUM with an annualized return of 9.38%, while MTUM has yielded a comparatively higher 13.55% annualized return.


MEIAX

YTD

17.95%

1M

1.89%

6M

10.13%

1Y

24.32%

5Y (annualized)

9.92%

10Y (annualized)

9.38%

MTUM

YTD

37.54%

1M

3.53%

6M

13.12%

1Y

43.02%

5Y (annualized)

13.29%

10Y (annualized)

13.55%

Key characteristics


MEIAXMTUM
Sharpe Ratio2.492.33
Sortino Ratio3.523.13
Omega Ratio1.451.41
Calmar Ratio4.552.02
Martin Ratio14.4813.51
Ulcer Index1.68%3.18%
Daily Std Dev9.79%18.46%
Max Drawdown-52.28%-34.08%
Current Drawdown-0.40%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MEIAX vs. MTUM - Expense Ratio Comparison

MEIAX has a 0.80% expense ratio, which is higher than MTUM's 0.15% 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 MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.7

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.

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.


Sharpe ratio
The chart of Sharpe ratio for MEIAX, currently valued at 2.48, compared to the broader market-1.000.001.002.003.004.005.002.492.33
The chart of Sortino ratio for MEIAX, currently valued at 3.52, compared to the broader market0.005.0010.003.523.13
The chart of Omega ratio for MEIAX, currently valued at 1.45, compared to the broader market1.002.003.004.001.451.41
The chart of Calmar ratio for MEIAX, currently valued at 4.55, compared to the broader market0.005.0010.0015.0020.004.552.02
The chart of Martin ratio for MEIAX, currently valued at 14.48, compared to the broader market0.0020.0040.0060.0080.00100.0014.4813.51
MEIAX
MTUM

The current MEIAX Sharpe Ratio is 2.49, which is comparable to the MTUM Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of MEIAX and MTUM, 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
2.49
2.33
MEIAX
MTUM

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.


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%
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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.40%
0
MEIAX
MTUM

Volatility

MEIAX vs. MTUM - Volatility Comparison

The current volatility for MFS Value Fund (MEIAX) is 3.56%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 4.22%. 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.56%
4.22%
MEIAX
MTUM