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

Correlation

The correlation between MEIAX and MTUM is 0.71, 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.


-0.50.00.51.00.7

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.

-10.00%0.00%10.00%20.00%OctoberNovemberDecember2025FebruaryMarch
-4.16%
12.68%
MEIAX
MTUM

Key characteristics

Sharpe Ratio

MEIAX:

0.44

MTUM:

1.04

Sortino Ratio

MEIAX:

0.62

MTUM:

1.46

Omega Ratio

MEIAX:

1.09

MTUM:

1.19

Calmar Ratio

MEIAX:

0.40

MTUM:

1.53

Martin Ratio

MEIAX:

1.07

MTUM:

5.72

Ulcer Index

MEIAX:

5.16%

MTUM:

3.46%

Daily Std Dev

MEIAX:

12.69%

MTUM:

19.03%

Max Drawdown

MEIAX:

-52.28%

MTUM:

-34.08%

Current Drawdown

MEIAX:

-7.94%

MTUM:

-6.59%

Returns By Period

In the year-to-date period, MEIAX achieves a 5.53% return, which is significantly higher than MTUM's 3.59% return. Over the past 10 years, MEIAX has underperformed MTUM with an annualized return of 5.99%, while MTUM has yielded a comparatively higher 13.23% annualized return.


MEIAX

YTD

5.53%

1M

1.35%

6M

-5.05%

1Y

5.24%

5Y*

5.54%

10Y*

5.99%

MTUM

YTD

3.59%

1M

-2.18%

6M

9.22%

1Y

15.82%

5Y*

11.85%

10Y*

13.23%

*Annualized

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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.


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%

Risk-Adjusted Performance

MEIAX vs. MTUM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MEIAX
The Risk-Adjusted Performance Rank of MEIAX is 2929
Overall Rank
The Sharpe Ratio Rank of MEIAX is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of MEIAX is 2626
Sortino Ratio Rank
The Omega Ratio Rank of MEIAX is 2929
Omega Ratio Rank
The Calmar Ratio Rank of MEIAX is 3737
Calmar Ratio Rank
The Martin Ratio Rank of MEIAX is 2424
Martin Ratio Rank

MTUM
The Risk-Adjusted Performance Rank of MTUM is 5454
Overall Rank
The Sharpe Ratio Rank of MTUM is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 4848
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 5050
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 6262
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for MEIAX, currently valued at 0.44, compared to the broader market-1.000.001.002.003.004.000.441.04
The chart of Sortino ratio for MEIAX, currently valued at 0.62, compared to the broader market0.002.004.006.008.0010.000.621.46
The chart of Omega ratio for MEIAX, currently valued at 1.09, compared to the broader market1.002.003.004.001.091.19
The chart of Calmar ratio for MEIAX, currently valued at 0.40, compared to the broader market0.005.0010.0015.000.401.53
The chart of Martin ratio for MEIAX, currently valued at 1.07, compared to the broader market0.0020.0040.0060.0080.001.075.72
MEIAX
MTUM

The current MEIAX Sharpe Ratio is 0.44, which is lower than the MTUM Sharpe Ratio of 1.04. 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 Ratio0.000.501.001.502.002.503.00OctoberNovemberDecember2025FebruaryMarch
0.44
1.04
MEIAX
MTUM

Dividends

MEIAX vs. MTUM - Dividend Comparison

MEIAX's dividend yield for the trailing twelve months is around 1.52%, more than MTUM's 0.72% yield.


TTM20242023202220212020201920182017201620152014
MEIAX
MFS Value Fund
1.52%1.61%1.54%1.69%1.15%1.39%1.72%1.84%1.32%1.78%6.23%5.09%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.72%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2025FebruaryMarch
-7.94%
-6.59%
MEIAX
MTUM

Volatility

MEIAX vs. MTUM - Volatility Comparison

The current volatility for MFS Value Fund (MEIAX) is 2.79%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 5.29%. 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%3.00%4.00%5.00%6.00%7.00%8.00%OctoberNovemberDecember2025FebruaryMarch
2.79%
5.29%
MEIAX
MTUM