MGF vs. FUTBX
MGF (MFS Government Markets Income Trust) and FUTBX (Fidelity SAI U.S. Treasury Bond Index Fund) are both Government Bonds funds. Over the past 5 years, MGF returned -0.77%/yr vs -0.58%/yr for FUTBX. At a 0.26 correlation, their price movements are largely independent. MGF charges 0.02%/yr vs 0.03%/yr for FUTBX.
Performance
MGF vs. FUTBX - Performance Comparison
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Returns By Period
In the year-to-date period, MGF achieves a -2.10% return, which is significantly lower than FUTBX's 0.18% return.
MGF
- 1D
- 0.00%
- 1M
- 0.64%
- YTD
- -2.10%
- 6M
- -0.29%
- 1Y
- 0.15%
- 3Y*
- 3.60%
- 5Y*
- -0.77%
- 10Y*
- 1.37%
FUTBX
- 1D
- 0.23%
- 1M
- 0.83%
- YTD
- 0.18%
- 6M
- 0.42%
- 1Y
- 3.55%
- 3Y*
- 3.03%
- 5Y*
- -0.58%
- 10Y*
- —
MGF vs. FUTBX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MGF MFS Government Markets Income Trust | -2.10% | 6.24% | 4.17% | 3.78% | -15.81% | -0.22% | 7.80% | 10.32% | 1.33% | 2.62% |
FUTBX Fidelity SAI U.S. Treasury Bond Index Fund | 0.18% | 6.12% | 0.70% | 4.19% | -13.00% | -2.54% | 7.76% | 7.30% | 0.95% | 2.28% |
Correlation
The correlation between MGF and FUTBX is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.26 |
The correlation between MGF and FUTBX shifts across timeframes, from 0.24 (1 year) to 0.37 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
MGF vs. FUTBX — Risk / Return Rank
MGF
FUTBX
MGF vs. FUTBX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Government Markets Income Trust (MGF) and Fidelity SAI U.S. Treasury Bond Index Fund (FUTBX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MGF | FUTBX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.93 | ||
| Sortino ratioReturn per unit of downside risk | -1.30 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.16 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 0.03 | 1.16 | -1.13 |
| Martin ratioReturn relative to average drawdown | 0.06 | 3.16 | -3.11 |
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Drawdowns
MGF vs. FUTBX - Drawdown Comparison
The maximum MGF drawdown since its inception was -35.74%, which is greater than FUTBX's maximum drawdown of -19.69%. Use the drawdown chart below to compare losses from any high point for MGF and FUTBX.
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Drawdown Indicators
| MGF | FUTBX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -19.69% | -16.05% |
Max Drawdown (1Y)Largest decline over 1 year | -6.05% | -3.09% | -2.96% |
Max Drawdown (3Y)Largest decline over 3 years | -8.94% | -5.42% | -3.52% |
Max Drawdown (5Y)Largest decline over 5 years | -22.88% | -17.03% | -5.85% |
Max Drawdown (10Y)Largest decline over 10 years | -22.88% | — | — |
Current DrawdownCurrent decline from peak | -6.84% | -7.51% | +0.67% |
Average DrawdownAverage peak-to-trough decline | -10.87% | -6.96% | -3.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.81% | 1.13% | +1.68% |
Volatility
MGF vs. FUTBX - Volatility Comparison
MFS Government Markets Income Trust (MGF) has a higher volatility of 4.01% compared to Fidelity SAI U.S. Treasury Bond Index Fund (FUTBX) at 1.08%. This indicates that MGF's price experiences larger fluctuations and is considered to be riskier than FUTBX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MGF | FUTBX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.01% | 1.08% | +2.93% |
Volatility (6M)Calculated over the trailing 6-month period | 7.68% | 2.77% | +4.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.52% | 3.80% | +6.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.32% | 5.81% | +5.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.19% | 5.15% | +5.04% |
MGF vs. FUTBX - Expense Ratio Comparison
MGF has a 0.02% expense ratio, which is lower than FUTBX's 0.03% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
MGF vs. FUTBX - Dividend Comparison
MGF's dividend yield for the trailing twelve months is around 8.03%, more than FUTBX's 3.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FUTBX Fidelity SAI U.S. Treasury Bond Index Fund | 3.64% | 3.43% | 2.90% | 2.12% | 1.12% | 0.86% | 4.54% | 2.75% | 2.05% | 1.65% | 0.00% | 0.00% |
MGF MFS Government Markets Income Trust | 8.03% | 7.65% | 7.81% | 7.82% | 8.45% | 7.71% | 7.58% | 7.50% | 7.81% | 7.92% | 8.09% | 8.05% |
Frequently Asked Questions
MGF and FUTBX have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MGF has higher volatility (4.01%) compared to FUTBX (1.08%). In terms of maximum drawdown, MGF dropped -35.74% vs FUTBX's -19.69%.
FUTBX currently has the higher Sharpe Ratio (0.94 vs 0.01), 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.
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