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

Performance

MGIAX vs. JPST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS International Intrinsic Value Fund (MGIAX) and JPMorgan Ultra-Short Income ETF (JPST). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-2.94%
2.86%
MGIAX
JPST

Returns By Period

In the year-to-date period, MGIAX achieves a 7.66% return, which is significantly higher than JPST's 5.01% return.


MGIAX

YTD

7.66%

1M

-5.56%

6M

-2.52%

1Y

13.47%

5Y (annualized)

5.83%

10Y (annualized)

7.61%

JPST

YTD

5.01%

1M

0.24%

6M

2.88%

1Y

6.06%

5Y (annualized)

2.76%

10Y (annualized)

N/A

Key characteristics


MGIAXJPST
Sharpe Ratio1.1111.46
Sortino Ratio1.5728.40
Omega Ratio1.206.35
Calmar Ratio0.9260.98
Martin Ratio5.65353.76
Ulcer Index2.54%0.02%
Daily Std Dev12.88%0.53%
Max Drawdown-49.33%-3.28%
Current Drawdown-8.26%0.00%

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MGIAX vs. JPST - Expense Ratio Comparison

MGIAX has a 0.96% expense ratio, which is higher than JPST'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 JPST: 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%

Correlation

-0.50.00.51.00.1

The correlation between MGIAX and JPST 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.

Risk-Adjusted Performance

MGIAX vs. JPST - 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 Income ETF (JPST). 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.


Sharpe ratio
The chart of Sharpe ratio for MGIAX, currently valued at 1.15, compared to the broader market0.002.004.001.1511.46
The chart of Sortino ratio for MGIAX, currently valued at 1.62, compared to the broader market0.005.0010.001.6228.40
The chart of Omega ratio for MGIAX, currently valued at 1.20, compared to the broader market1.002.003.004.001.206.35
The chart of Calmar ratio for MGIAX, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.0025.001.0260.98
The chart of Martin ratio for MGIAX, currently valued at 5.74, compared to the broader market0.0020.0040.0060.0080.00100.005.74353.76
MGIAX
JPST

The current MGIAX Sharpe Ratio is 1.11, which is lower than the JPST Sharpe Ratio of 11.46. The chart below compares the historical Sharpe Ratios of MGIAX and JPST, 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 Ratio0.002.004.006.008.0010.0012.00JuneJulyAugustSeptemberOctoberNovember
1.15
11.46
MGIAX
JPST

Dividends

MGIAX vs. JPST - Dividend Comparison

MGIAX's dividend yield for the trailing twelve months is around 1.70%, less than JPST's 5.26% yield.


TTM20232022202120202019201820172016201520142013
MGIAX
MFS International Intrinsic Value Fund
1.70%1.83%0.83%0.74%0.41%0.82%1.37%1.40%1.51%1.32%5.34%3.68%
JPST
JPMorgan Ultra-Short Income ETF
5.26%4.80%1.83%0.73%1.43%2.68%2.07%0.96%0.00%0.00%0.00%0.00%

Drawdowns

MGIAX vs. JPST - Drawdown Comparison

The maximum MGIAX drawdown since its inception was -49.33%, which is greater than JPST's maximum drawdown of -3.28%. Use the drawdown chart below to compare losses from any high point for MGIAX and JPST. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.26%
0
MGIAX
JPST

Volatility

MGIAX vs. JPST - Volatility Comparison

MFS International Intrinsic Value Fund (MGIAX) has a higher volatility of 3.87% compared to JPMorgan Ultra-Short Income ETF (JPST) at 0.16%. This indicates that MGIAX's price experiences larger fluctuations and is considered to be riskier than JPST 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
3.87%
0.16%
MGIAX
JPST