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

Key characteristics


MGIAXVTSNX
YTD Return11.19%8.83%
1Y Return21.19%19.49%
3Y Return (Ann)0.20%1.13%
5Y Return (Ann)6.66%5.93%
10Y Return (Ann)8.01%5.13%
Sharpe Ratio1.651.65
Sortino Ratio2.312.32
Omega Ratio1.291.29
Calmar Ratio1.221.40
Martin Ratio9.189.34
Ulcer Index2.34%2.15%
Daily Std Dev13.05%12.16%
Max Drawdown-49.33%-35.78%
Current Drawdown-5.25%-4.93%

Correlation

-0.50.00.51.00.9

The correlation between MGIAX and VTSNX is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

MGIAX vs. VTSNX - Performance Comparison

In the year-to-date period, MGIAX achieves a 11.19% return, which is significantly higher than VTSNX's 8.83% return. Over the past 10 years, MGIAX has outperformed VTSNX with an annualized return of 8.01%, while VTSNX has yielded a comparatively lower 5.13% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.91%
2.79%
MGIAX
VTSNX

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MGIAX vs. VTSNX - Expense Ratio Comparison

MGIAX has a 0.96% expense ratio, which is higher than VTSNX's 0.08% 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 VTSNX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

MGIAX vs. VTSNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS International Intrinsic Value Fund (MGIAX) and Vanguard Total International Stock Index Fund Institutional Shares (VTSNX). 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 1.65, compared to the broader market0.002.004.001.65
Sortino ratio
The chart of Sortino ratio for MGIAX, currently valued at 2.31, compared to the broader market0.005.0010.002.31
Omega ratio
The chart of Omega ratio for MGIAX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for MGIAX, currently valued at 1.22, compared to the broader market0.005.0010.0015.0020.001.22
Martin ratio
The chart of Martin ratio for MGIAX, currently valued at 9.18, compared to the broader market0.0020.0040.0060.0080.00100.009.18
VTSNX
Sharpe ratio
The chart of Sharpe ratio for VTSNX, currently valued at 1.65, compared to the broader market0.002.004.001.65
Sortino ratio
The chart of Sortino ratio for VTSNX, currently valued at 2.32, compared to the broader market0.005.0010.002.32
Omega ratio
The chart of Omega ratio for VTSNX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for VTSNX, currently valued at 1.40, compared to the broader market0.005.0010.0015.0020.001.40
Martin ratio
The chart of Martin ratio for VTSNX, currently valued at 9.34, compared to the broader market0.0020.0040.0060.0080.00100.009.34

MGIAX vs. VTSNX - Sharpe Ratio Comparison

The current MGIAX Sharpe Ratio is 1.65, which is comparable to the VTSNX Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of MGIAX and VTSNX, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.65
1.65
MGIAX
VTSNX

Dividends

MGIAX vs. VTSNX - Dividend Comparison

MGIAX's dividend yield for the trailing twelve months is around 1.64%, less than VTSNX's 2.93% 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%
VTSNX
Vanguard Total International Stock Index Fund Institutional Shares
2.93%3.24%3.08%3.08%2.13%3.07%3.19%2.75%2.95%2.86%3.42%2.72%

Drawdowns

MGIAX vs. VTSNX - Drawdown Comparison

The maximum MGIAX drawdown since its inception was -49.33%, which is greater than VTSNX's maximum drawdown of -35.78%. Use the drawdown chart below to compare losses from any high point for MGIAX and VTSNX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.25%
-4.93%
MGIAX
VTSNX

Volatility

MGIAX vs. VTSNX - Volatility Comparison

MFS International Intrinsic Value Fund (MGIAX) and Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) have volatilities of 3.61% and 3.66%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.61%
3.66%
MGIAX
VTSNX