MGFAX vs. MDDAX

Last updated Jun 24, 2026

MGFAX (MassMutual Global Fund) and MDDAX (MassMutual Diversified Value Fund) are both mutual funds - MGFAX is a Global Equities fund managed by MassMutual, while MDDAX is a Large Cap Value Equities fund managed by MassMutual. Over the past 10 years, MGFAX returned 12.95%/yr vs 12.58%/yr for MDDAX. A 0.78 correlation means they provide meaningful diversification when combined. MGFAX charges 1.41%/yr vs 1.12%/yr for MDDAX.

Performance

MGFAX vs. MDDAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MassMutual Global Fund (MGFAX) and MassMutual Diversified Value Fund (MDDAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MGFAX achieves a 9.23% return, which is significantly lower than MDDAX's 12.14% return. Both investments have delivered pretty close results over the past 10 years, with MGFAX having a 12.95% annualized return and MDDAX not far behind at 12.58%.

MGFAX

• 1D: -1.00%
• 1M: 4.20%
• YTD: 9.23%
• 6M: 8.48%
• 1Y: 20.81%
• 3Y*: 16.77%
• 5Y*: 7.20%
• 10Y*: 12.95%

MDDAX

• 1D: 0.65%
• 1M: 2.75%
• YTD: 12.14%
• 6M: 11.20%
• 1Y: 26.60%
• 3Y*: 18.97%
• 5Y*: 11.81%
• 10Y*: 12.58%

*Multi-year figures are annualized to reflect compound growth (CAGR)

MGFAX vs. MDDAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MGFAX MassMutual Global Fund	9.23%	14.37%	15.01%	33.87%	-32.08%	19.60%	27.18%	30.67%	-14.19%	35.30%
MDDAX MassMutual Diversified Value Fund	12.14%	16.56%	16.62%	8.97%	-2.70%	28.07%	-1.14%	32.34%	-8.88%	15.88%

Correlation

The correlation between MGFAX and MDDAX is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (3Y) Calculated over the trailing 3-year period	0.51
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Dec 31, 2004	0.78

Over the past year, the correlation between MGFAX and MDDAX has dropped to 0.49 - well below their long-term average of 0.78, suggesting their price drivers have been diverging.

Return for Risk

MGFAX vs. MDDAX — Risk / Return Rank

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

MGFAX

MGFAX Risk / Return Rank: 21
MGFAX Sharpe Ratio Rank: 22
MGFAX Sortino Ratio Rank: 22
MGFAX Omega Ratio Rank: 23
MGFAX Calmar Ratio Rank: 16
MGFAX Martin Ratio Rank: 21

MDDAX

MDDAX Risk / Return Rank: 82
MDDAX Sharpe Ratio Rank: 83
MDDAX Sortino Ratio Rank: 84
MDDAX Omega Ratio Rank: 74
MDDAX Calmar Ratio Rank: 86
MDDAX Martin Ratio Rank: 81

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MGFAX vs. MDDAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MassMutual Global Fund (MGFAX) and MassMutual Diversified Value Fund (MDDAX). 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.

	MGFAX	MDDAX	Difference
Sharpe ratio: Return per unit of total volatility	1.25	2.52	-1.27
Sortino ratio: Return per unit of downside risk	1.79	3.65	-1.86
Omega ratio: Gain probability vs. loss probability	1.23	1.44	-0.21
Calmar ratio: Return relative to maximum drawdown	1.32	3.95	-2.64
Martin ratio: Return relative to average drawdown	4.86	14.05	-9.19

MGFAX vs. MDDAX - Sharpe Ratio Comparison

The current MGFAX Sharpe Ratio is 1.25, which is lower than the MDDAX Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of MGFAX and MDDAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MGFAX vs. MDDAX - Drawdown Comparison

The maximum MGFAX drawdown since its inception was -62.06%, roughly equal to the maximum MDDAX drawdown of -63.45%. Use the drawdown chart below to compare losses from any high point for MGFAX and MDDAX.

Drawdown Indicators

	MGFAX	MDDAX	Difference
Max Drawdown Largest peak-to-trough decline	-62.06%	-63.45%	+1.39%
Max Drawdown (1Y) Largest decline over 1 year	-16.38%	-6.99%	-9.39%
Max Drawdown (3Y) Largest decline over 3 years	-23.61%	-14.14%	-9.47%
Max Drawdown (5Y) Largest decline over 5 years	-46.09%	-24.00%	-22.09%
Max Drawdown (10Y) Largest decline over 10 years	-46.09%	-38.72%	-7.37%
Current Drawdown Current decline from peak	-1.00%	-0.21%	-0.79%
Average Drawdown Average peak-to-trough decline	-13.57%	-11.14%	-2.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.43%	1.96%	+2.47%

Volatility

MGFAX vs. MDDAX - Volatility Comparison

MassMutual Global Fund (MGFAX) has a higher volatility of 7.91% compared to MassMutual Diversified Value Fund (MDDAX) at 3.28%. This indicates that MGFAX's price experiences larger fluctuations and is considered to be riskier than MDDAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MGFAX	MDDAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.91%	3.28%	+4.63%
Volatility (6M) Calculated over the trailing 6-month period	14.54%	8.05%	+6.49%
Volatility (1Y) Calculated over the trailing 1-year period	17.32%	10.99%	+6.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	33.63%	16.93%	+16.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.65%	18.73%	+8.92%

MGFAX vs. MDDAX - Expense Ratio Comparison

MGFAX has a 1.41% expense ratio, which is higher than MDDAX's 1.12% expense ratio.

Dividends

MGFAX vs. MDDAX - Dividend Comparison

MGFAX's dividend yield for the trailing twelve months is around 39.97%, more than MDDAX's 28.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MDDAX MassMutual Diversified Value Fund	28.93%	32.44%	40.33%	4.62%	12.85%	12.66%	1.64%	11.68%	18.94%	37.06%	5.94%	1.22%
MGFAX MassMutual Global Fund	39.97%	43.66%	16.85%	30.43%	28.11%	15.89%	5.05%	0.36%	27.78%	12.10%	3.75%	8.25%

Frequently Asked Questions

Can I hold both MGFAX and MDDAX in my portfolio?

MGFAX and MDDAX have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MGFAX or MDDAX?

MGFAX has higher volatility (7.91%) compared to MDDAX (3.28%). In terms of maximum drawdown, MGFAX dropped -62.06% vs MDDAX's -63.45%.

Which has better risk-adjusted returns?

MDDAX currently has the higher Sharpe Ratio (2.52 vs 1.25), 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.