PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MGIAX vs. VXUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MGIAXVXUS
YTD Return11.22%8.78%
1Y Return21.50%19.96%
3Y Return (Ann)0.22%1.20%
5Y Return (Ann)6.77%5.76%
10Y Return (Ann)8.02%5.11%
Sharpe Ratio1.691.53
Sortino Ratio2.362.18
Omega Ratio1.301.27
Calmar Ratio1.251.35
Martin Ratio9.509.08
Ulcer Index2.32%2.17%
Daily Std Dev13.03%12.84%
Max Drawdown-49.33%-35.97%
Current Drawdown-5.22%-5.08%

Correlation

-0.50.00.51.00.9

The correlation between MGIAX and VXUS is 0.88, 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. VXUS - Performance Comparison

In the year-to-date period, MGIAX achieves a 11.22% return, which is significantly higher than VXUS's 8.78% return. Over the past 10 years, MGIAX has outperformed VXUS with an annualized return of 8.02%, while VXUS has yielded a comparatively lower 5.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.54%
2.89%
MGIAX
VXUS

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MGIAX vs. VXUS - Expense Ratio Comparison

MGIAX has a 0.96% expense ratio, which is higher than VXUS's 0.07% 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 VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

MGIAX vs. VXUS - 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 ETF (VXUS). 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 market0.005.0010.0015.0020.0025.001.25
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
VXUS
Sharpe ratio
The chart of Sharpe ratio for VXUS, currently valued at 1.53, compared to the broader market0.002.004.001.53
Sortino ratio
The chart of Sortino ratio for VXUS, currently valued at 2.18, compared to the broader market0.005.0010.002.18
Omega ratio
The chart of Omega ratio for VXUS, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for VXUS, currently valued at 1.35, compared to the broader market0.005.0010.0015.0020.0025.001.35
Martin ratio
The chart of Martin ratio for VXUS, currently valued at 9.08, compared to the broader market0.0020.0040.0060.0080.00100.009.08

MGIAX vs. VXUS - Sharpe Ratio Comparison

The current MGIAX Sharpe Ratio is 1.69, which is comparable to the VXUS Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of MGIAX and VXUS, 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
1.69
1.53
MGIAX
VXUS

Dividends

MGIAX vs. VXUS - Dividend Comparison

MGIAX's dividend yield for the trailing twelve months is around 1.64%, less than VXUS's 2.94% 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%
VXUS
Vanguard Total International Stock ETF
2.94%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

MGIAX vs. VXUS - Drawdown Comparison

The maximum MGIAX drawdown since its inception was -49.33%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for MGIAX and VXUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.22%
-5.08%
MGIAX
VXUS

Volatility

MGIAX vs. VXUS - Volatility Comparison

The current volatility for MFS International Intrinsic Value Fund (MGIAX) is 3.67%, while Vanguard Total International Stock ETF (VXUS) has a volatility of 4.01%. This indicates that MGIAX experiences smaller price fluctuations and is considered to be less risky than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
4.01%
MGIAX
VXUS