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MIGFX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

MIGFX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Massachusetts Investors Growth Stock Fund (MIGFX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.27%
12.93%
MIGFX
^GSPC

Returns By Period

In the year-to-date period, MIGFX achieves a 17.40% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, MIGFX has underperformed ^GSPC with an annualized return of 7.25%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.


MIGFX

YTD

17.40%

1M

-0.43%

6M

7.27%

1Y

17.49%

5Y (annualized)

6.97%

10Y (annualized)

7.25%

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


MIGFX^GSPC
Sharpe Ratio1.472.54
Sortino Ratio2.003.40
Omega Ratio1.271.47
Calmar Ratio1.173.66
Martin Ratio8.2216.26
Ulcer Index2.23%1.91%
Daily Std Dev12.41%12.23%
Max Drawdown-61.53%-56.78%
Current Drawdown-1.11%-0.88%

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Correlation

-0.50.00.51.00.9

The correlation between MIGFX and ^GSPC is 0.90, 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.

Risk-Adjusted Performance

MIGFX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Massachusetts Investors Growth Stock Fund (MIGFX) and S&P 500 (^GSPC). 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 MIGFX, currently valued at 1.47, compared to the broader market-1.000.001.002.003.004.005.001.472.54
The chart of Sortino ratio for MIGFX, currently valued at 2.00, compared to the broader market0.005.0010.002.003.40
The chart of Omega ratio for MIGFX, currently valued at 1.27, compared to the broader market1.002.003.004.001.271.47
The chart of Calmar ratio for MIGFX, currently valued at 1.17, compared to the broader market0.005.0010.0015.0020.0025.001.173.66
The chart of Martin ratio for MIGFX, currently valued at 8.22, compared to the broader market0.0020.0040.0060.0080.00100.008.2216.26
MIGFX
^GSPC

The current MIGFX Sharpe Ratio is 1.47, which is lower than the ^GSPC Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of MIGFX and ^GSPC, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.47
2.54
MIGFX
^GSPC

Drawdowns

MIGFX vs. ^GSPC - Drawdown Comparison

The maximum MIGFX drawdown since its inception was -61.53%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MIGFX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.11%
-0.88%
MIGFX
^GSPC

Volatility

MIGFX vs. ^GSPC - Volatility Comparison

The current volatility for MFS Massachusetts Investors Growth Stock Fund (MIGFX) is 3.72%, while S&P 500 (^GSPC) has a volatility of 3.96%. This indicates that MIGFX experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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
3.72%
3.96%
MIGFX
^GSPC