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MGIAX vs. JMST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MGIAXJMST
YTD Return11.22%2.91%
1Y Return21.50%4.03%
3Y Return (Ann)0.22%2.20%
5Y Return (Ann)6.77%1.82%
Sharpe Ratio1.695.12
Sortino Ratio2.369.24
Omega Ratio1.302.29
Calmar Ratio1.2523.91
Martin Ratio9.50103.98
Ulcer Index2.32%0.04%
Daily Std Dev13.03%0.78%
Max Drawdown-49.33%-2.41%
Current Drawdown-5.22%0.00%

Correlation

-0.50.00.51.00.1

The correlation between MGIAX and JMST is 0.06, 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

MGIAX vs. JMST - Performance Comparison

In the year-to-date period, MGIAX achieves a 11.22% return, which is significantly higher than JMST's 2.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.54%
1.88%
MGIAX
JMST

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MGIAX vs. JMST - Expense Ratio Comparison

MGIAX has a 0.96% expense ratio, which is higher than JMST's 0.18% expense ratio.


MGIAX
MFS International Intrinsic Value Fund
Expense ratio chart for MGIAX: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%
Expense ratio chart for JMST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

MGIAX vs. JMST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS International Intrinsic Value Fund (MGIAX) and JPMorgan Ultra-Short Municipal Income ETF (JMST). 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.


MGIAX
Sharpe ratio
The chart of Sharpe ratio for MGIAX, currently valued at 1.69, compared to the broader market0.002.004.001.69
Sortino ratio
The chart of Sortino ratio for MGIAX, currently valued at 2.36, compared to the broader market0.005.0010.002.36
Omega ratio
The chart of Omega ratio for MGIAX, currently valued at 1.30, compared to the broader market1.002.003.004.001.30
Calmar ratio
The chart of Calmar ratio for MGIAX, currently valued at 1.25, compared to the broader market0.005.0010.0015.0020.001.25
Martin ratio
The chart of Martin ratio for MGIAX, currently valued at 9.50, compared to the broader market0.0020.0040.0060.0080.00100.009.50
JMST
Sharpe ratio
The chart of Sharpe ratio for JMST, currently valued at 5.12, compared to the broader market0.002.004.005.12
Sortino ratio
The chart of Sortino ratio for JMST, currently valued at 9.24, compared to the broader market0.005.0010.009.24
Omega ratio
The chart of Omega ratio for JMST, currently valued at 2.29, compared to the broader market1.002.003.004.002.29
Calmar ratio
The chart of Calmar ratio for JMST, currently valued at 23.91, compared to the broader market0.005.0010.0015.0020.0023.91
Martin ratio
The chart of Martin ratio for JMST, currently valued at 103.98, compared to the broader market0.0020.0040.0060.0080.00100.00103.98

MGIAX vs. JMST - Sharpe Ratio Comparison

The current MGIAX Sharpe Ratio is 1.69, which is lower than the JMST Sharpe Ratio of 5.12. The chart below compares the historical Sharpe Ratios of MGIAX and JMST, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
1.69
5.12
MGIAX
JMST

Dividends

MGIAX vs. JMST - Dividend Comparison

MGIAX's dividend yield for the trailing twelve months is around 1.64%, less than JMST's 3.35% yield.


TTM20232022202120202019201820172016201520142013
MGIAX
MFS International Intrinsic Value Fund
1.64%1.83%0.83%0.74%0.41%0.82%1.37%1.40%1.51%1.32%5.34%3.68%
JMST
JPMorgan Ultra-Short Municipal Income ETF
3.35%3.09%1.11%0.27%0.87%1.63%0.34%0.00%0.00%0.00%0.00%0.00%

Drawdowns

MGIAX vs. JMST - Drawdown Comparison

The maximum MGIAX drawdown since its inception was -49.33%, which is greater than JMST's maximum drawdown of -2.41%. Use the drawdown chart below to compare losses from any high point for MGIAX and JMST. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.22%
0
MGIAX
JMST

Volatility

MGIAX vs. JMST - Volatility Comparison

MFS International Intrinsic Value Fund (MGIAX) has a higher volatility of 3.67% compared to JPMorgan Ultra-Short Municipal Income ETF (JMST) at 0.29%. This indicates that MGIAX's price experiences larger fluctuations and is considered to be riskier than JMST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
0.29%
MGIAX
JMST