MEIAX vs. MTUM
MEIAX (MFS Value Fund) and MTUM (iShares MSCI USA Momentum Factor ETF) are both funds - MEIAX is a Large Cap Value Equities fund managed by MFS, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past 10 years, MEIAX returned 9.56%/yr vs 17.19%/yr for MTUM. A 0.70 correlation means they provide meaningful diversification when combined. MEIAX charges 0.80%/yr vs 0.15%/yr for MTUM.
Performance
MEIAX vs. MTUM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, MEIAX achieves a 3.93% return, which is significantly lower than MTUM's 30.30% return. Over the past 10 years, MEIAX has underperformed MTUM with an annualized return of 9.56%, while MTUM has yielded a comparatively higher 17.19% annualized return.
MEIAX
- 1D
- -0.42%
- 1M
- -0.17%
- YTD
- 3.93%
- 6M
- 5.23%
- 1Y
- 12.70%
- 3Y*
- 12.77%
- 5Y*
- 7.31%
- 10Y*
- 9.56%
MTUM
- 1D
- -1.10%
- 1M
- 11.94%
- YTD
- 30.30%
- 6M
- 29.99%
- 1Y
- 40.55%
- 3Y*
- 34.34%
- 5Y*
- 14.96%
- 10Y*
- 17.19%
MEIAX vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MEIAX MFS Value Fund | 3.93% | 12.97% | 11.60% | 7.92% | -6.25% | 25.11% | 3.71% | 29.73% | -10.11% | 16.97% |
MTUM iShares MSCI USA Momentum Factor ETF | 30.30% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between MEIAX and MTUM is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.45 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.66 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.66 |
Correlation (All Time) Calculated using the full available price history since Apr 19, 2013 | 0.70 |
Over the past year, the correlation between MEIAX and MTUM has dropped to 0.45 - well below their long-term average of 0.70, suggesting their price drivers have been diverging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
MEIAX vs. MTUM — Risk / Return Rank
MEIAX
MTUM
MEIAX vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Value Fund (MEIAX) and iShares 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.
| MEIAX | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.95 | ||
| Sortino ratioReturn per unit of downside risk | -1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.38 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 1.81 | 3.53 | -1.72 |
| Martin ratioReturn relative to average drawdown | 6.22 | 14.10 | -7.87 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| MEIAX | MTUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.18 | 2.14 | -0.95 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.73 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.58 | 0.82 | -0.24 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.84 | -0.26 |
Drawdowns
MEIAX vs. MTUM - Drawdown Comparison
The maximum MEIAX drawdown since its inception was -52.85%, 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.
Loading charts...
Drawdown Indicators
| MEIAX | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.85% | -34.08% | -18.77% |
Max Drawdown (1Y)Largest decline over 1 year | -6.78% | -11.54% | +4.76% |
Max Drawdown (3Y)Largest decline over 3 years | -13.26% | -20.99% | +7.73% |
Max Drawdown (5Y)Largest decline over 5 years | -17.72% | -32.28% | +14.56% |
Max Drawdown (10Y)Largest decline over 10 years | -36.71% | -34.08% | -2.63% |
Current DrawdownCurrent decline from peak | -2.29% | -1.10% | -1.19% |
Average DrawdownAverage peak-to-trough decline | -6.54% | -6.21% | -0.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 2.89% | -0.92% |
Volatility
MEIAX vs. MTUM - Volatility Comparison
The current volatility for MFS Value Fund (MEIAX) is 2.24%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.67%. 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.
Loading charts...
Volatility by Period
| MEIAX | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.24% | 7.67% | -5.43% |
Volatility (6M)Calculated over the trailing 6-month period | 7.71% | 16.51% | -8.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.39% | 19.08% | -8.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.92% | 20.60% | -6.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.55% | 21.03% | -4.48% |
MEIAX vs. MTUM - Expense Ratio Comparison
MEIAX has a 0.80% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
MEIAX vs. MTUM - Dividend Comparison
MEIAX's dividend yield for the trailing twelve months is around 9.17%, more than MTUM's 0.60% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MEIAX MFS Value Fund | 9.17% | 9.34% | 9.10% | 8.21% | 7.36% | 3.10% | 2.42% | 2.97% | 3.36% | 3.87% | 2.84% | 5.73% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
MEIAX and MTUM have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (7.67%) compared to MEIAX (2.24%). In terms of maximum drawdown, MEIAX dropped -52.85% vs MTUM's -34.08%.
MTUM currently has the higher Sharpe Ratio (2.14 vs 1.18), 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.
Find the right allocation for MEIAX and MTUM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer