MGF vs. MDIJX
MGF (MFS Government Markets Income Trust) and MDIJX (MFS International Diversification Fund) are both mutual funds - MGF is a Government Bonds fund managed by MFS, while MDIJX is a Foreign Large Cap Equities fund managed by MFS. Over the past 10 years, MGF returned 1.31%/yr vs 9.82%/yr for MDIJX. At a 0.10 correlation, their price movements are largely independent. MGF charges 0.02%/yr vs 0.82%/yr for MDIJX.
Performance
MGF vs. MDIJX - Performance Comparison
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Returns By Period
In the year-to-date period, MGF achieves a -1.76% return, which is significantly lower than MDIJX's 9.26% return. Over the past 10 years, MGF has underperformed MDIJX with an annualized return of 1.31%, while MDIJX has yielded a comparatively higher 9.82% annualized return.
MGF
- 1D
- 0.35%
- 1M
- 1.71%
- 6M
- -2.08%
- YTD
- -1.76%
- 1Y
- 0.18%
- 3Y*
- 3.82%
- 5Y*
- -1.11%
- 10Y*
- 1.31%
MDIJX
- 1D
- 0.26%
- 1M
- 0.30%
- 6M
- 6.46%
- YTD
- 9.26%
- 1Y
- 19.04%
- 3Y*
- 16.02%
- 5Y*
- 7.25%
- 10Y*
- 9.82%
MGF vs. MDIJX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MGF MFS Government Markets Income Trust | -1.76% | 6.24% | 4.17% | 3.78% | -15.81% | -0.22% | 7.80% | 10.32% | 1.33% | 2.62% |
MDIJX MFS International Diversification Fund | 9.26% | 27.84% | 6.41% | 14.37% | -17.12% | 7.69% | 15.26% | 26.00% | -11.05% | 30.29% |
Correlation
The correlation between MGF and MDIJX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2004 | 0.10 |
The correlation between MGF and MDIJX shifts across timeframes, from 0.10 (all time) to 0.21 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
MGF vs. MDIJX — Risk / Return Rank
MGF
MDIJX
MGF vs. MDIJX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Government Markets Income Trust (MGF) and MFS International Diversification Fund (MDIJX). 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 | MDIJX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.40 | ||
| Sortino ratioReturn per unit of downside risk | -1.90 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.26 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | 1.63 | -1.65 |
| Martin ratioReturn relative to average drawdown | -0.05 | 6.07 | -6.12 |
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Drawdowns
MGF vs. MDIJX - Drawdown Comparison
The maximum MGF drawdown since its inception was -35.74%, smaller than the maximum MDIJX drawdown of -56.60%. Use the drawdown chart below to compare losses from any high point for MGF and MDIJX.
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Drawdown Indicators
| MGF | MDIJX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -56.60% | +20.86% |
Max Drawdown (1Y)Largest decline over 1 year | -6.12% | -11.40% | +5.28% |
Max Drawdown (3Y)Largest decline over 3 years | -8.94% | -12.57% | +3.63% |
Max Drawdown (5Y)Largest decline over 5 years | -22.88% | -30.19% | +7.31% |
Max Drawdown (10Y)Largest decline over 10 years | -22.88% | -30.19% | +7.31% |
Current DrawdownCurrent decline from peak | -6.51% | -1.56% | -4.95% |
Average DrawdownAverage peak-to-trough decline | -10.86% | -9.06% | -1.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.00% | 3.05% | -0.05% |
Volatility
MGF vs. MDIJX - Volatility Comparison
MFS Government Markets Income Trust (MGF) and MFS International Diversification Fund (MDIJX) have volatilities of 4.99% and 4.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MGF | MDIJX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.99% | 4.86% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 8.19% | 11.43% | -3.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.89% | 13.40% | -2.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.38% | 14.40% | -3.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.23% | 14.52% | -4.29% |
MGF vs. MDIJX - Expense Ratio Comparison
MGF has a 0.02% expense ratio, which is lower than MDIJX's 0.82% expense ratio.
Dividends
MGF vs. MDIJX - Dividend Comparison
MGF's dividend yield for the trailing twelve months is around 8.00%, more than MDIJX's 4.73% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MDIJX MFS International Diversification Fund | 4.73% | 5.17% | 3.50% | 4.14% | 2.64% | 2.70% | 1.64% | 2.50% | 3.14% | 1.63% | 2.18% | 1.69% |
MGF MFS Government Markets Income Trust | 8.00% | 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 MDIJX have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MGF has higher volatility (4.99%) compared to MDIJX (4.86%). In terms of maximum drawdown, MGF dropped -35.74% vs MDIJX's -56.60%.
MDIJX currently has the higher Sharpe Ratio (1.38 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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