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MFM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MFMSPY
YTD Return12.13%27.16%
1Y Return24.50%37.73%
3Y Return (Ann)-4.22%10.28%
5Y Return (Ann)-0.30%15.97%
10Y Return (Ann)3.34%13.38%
Sharpe Ratio2.093.25
Sortino Ratio3.184.32
Omega Ratio1.391.61
Calmar Ratio0.804.74
Martin Ratio12.6821.51
Ulcer Index1.93%1.85%
Daily Std Dev11.72%12.20%
Max Drawdown-54.24%-55.19%
Current Drawdown-12.97%0.00%

Correlation

-0.50.00.51.00.1

The correlation between MFM and SPY is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

MFM vs. SPY - Performance Comparison

In the year-to-date period, MFM achieves a 12.13% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, MFM has underperformed SPY with an annualized return of 3.34%, while SPY has yielded a comparatively higher 13.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.56%
15.14%
MFM
SPY

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Risk-Adjusted Performance

MFM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Municipal Income Trust (MFM) and SPDR S&P 500 ETF (SPY). 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.


MFM
Sharpe ratio
The chart of Sharpe ratio for MFM, currently valued at 2.09, compared to the broader market-4.00-2.000.002.004.002.09
Sortino ratio
The chart of Sortino ratio for MFM, currently valued at 3.18, compared to the broader market-4.00-2.000.002.004.006.003.18
Omega ratio
The chart of Omega ratio for MFM, currently valued at 1.39, compared to the broader market0.501.001.502.001.39
Calmar ratio
The chart of Calmar ratio for MFM, currently valued at 0.80, compared to the broader market0.002.004.006.000.80
Martin ratio
The chart of Martin ratio for MFM, currently valued at 12.68, compared to the broader market0.0010.0020.0030.0012.68
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.10, compared to the broader market-4.00-2.000.002.004.003.10
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.12, compared to the broader market-4.00-2.000.002.004.006.004.12
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market0.501.001.502.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.49, compared to the broader market0.002.004.006.004.49
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.35, compared to the broader market0.0010.0020.0030.0020.35

MFM vs. SPY - Sharpe Ratio Comparison

The current MFM Sharpe Ratio is 2.09, which is lower than the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of MFM and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.09
3.10
MFM
SPY

Dividends

MFM vs. SPY - Dividend Comparison

MFM's dividend yield for the trailing twelve months is around 4.81%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
MFM
MFS Municipal Income Trust
4.81%4.20%4.92%4.37%4.72%4.71%5.98%5.65%5.75%5.78%6.04%7.07%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

MFM vs. SPY - Drawdown Comparison

The maximum MFM drawdown since its inception was -54.24%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MFM and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.97%
0
MFM
SPY

Volatility

MFM vs. SPY - Volatility Comparison

The current volatility for MFS Municipal Income Trust (MFM) is 3.29%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.86%. This indicates that MFM experiences smaller price fluctuations and is considered to be less risky than SPY 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%JuneJulyAugustSeptemberOctoberNovember
3.29%
3.86%
MFM
SPY