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MITTX vs. ELFNX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MITTXELFNX
YTD Return22.84%29.87%
1Y Return34.51%42.62%
3Y Return (Ann)7.23%11.39%
5Y Return (Ann)15.19%18.31%
10Y Return (Ann)12.90%14.68%
Sharpe Ratio2.852.95
Sortino Ratio3.853.99
Omega Ratio1.541.57
Calmar Ratio3.685.01
Martin Ratio17.7421.24
Ulcer Index1.88%1.96%
Daily Std Dev11.67%14.13%
Max Drawdown-48.88%-50.28%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between MITTX and ELFNX is 0.92, 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

MITTX vs. ELFNX - Performance Comparison

In the year-to-date period, MITTX achieves a 22.84% return, which is significantly lower than ELFNX's 29.87% return. Over the past 10 years, MITTX has underperformed ELFNX with an annualized return of 12.90%, while ELFNX has yielded a comparatively higher 14.68% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.09%
14.01%
MITTX
ELFNX

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MITTX vs. ELFNX - Expense Ratio Comparison

MITTX has a 0.70% expense ratio, which is higher than ELFNX's 0.18% expense ratio.


MITTX
MFS Massachusetts Investors Trust
Expense ratio chart for MITTX: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for ELFNX: 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

MITTX vs. ELFNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Massachusetts Investors Trust (MITTX) and Elfun Trusts (ELFNX). 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.


MITTX
Sharpe ratio
The chart of Sharpe ratio for MITTX, currently valued at 2.85, compared to the broader market0.002.004.002.85
Sortino ratio
The chart of Sortino ratio for MITTX, currently valued at 3.85, compared to the broader market0.005.0010.003.85
Omega ratio
The chart of Omega ratio for MITTX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for MITTX, currently valued at 3.68, compared to the broader market0.005.0010.0015.0020.003.68
Martin ratio
The chart of Martin ratio for MITTX, currently valued at 17.74, compared to the broader market0.0020.0040.0060.0080.00100.0017.74
ELFNX
Sharpe ratio
The chart of Sharpe ratio for ELFNX, currently valued at 2.95, compared to the broader market0.002.004.002.95
Sortino ratio
The chart of Sortino ratio for ELFNX, currently valued at 3.99, compared to the broader market0.005.0010.003.99
Omega ratio
The chart of Omega ratio for ELFNX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for ELFNX, currently valued at 5.01, compared to the broader market0.005.0010.0015.0020.005.01
Martin ratio
The chart of Martin ratio for ELFNX, currently valued at 21.24, compared to the broader market0.0020.0040.0060.0080.00100.0021.24

MITTX vs. ELFNX - Sharpe Ratio Comparison

The current MITTX Sharpe Ratio is 2.85, which is comparable to the ELFNX Sharpe Ratio of 2.95. The chart below compares the historical Sharpe Ratios of MITTX and ELFNX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.85
2.95
MITTX
ELFNX

Dividends

MITTX vs. ELFNX - Dividend Comparison

MITTX's dividend yield for the trailing twelve months is around 0.69%, less than ELFNX's 0.83% yield.


TTM20232022202120202019201820172016201520142013
MITTX
MFS Massachusetts Investors Trust
0.69%0.88%1.00%0.65%8.31%0.65%1.10%0.95%0.94%1.61%7.54%2.70%
ELFNX
Elfun Trusts
0.83%1.08%1.28%0.93%0.96%1.08%1.51%1.29%1.48%1.47%1.28%1.28%

Drawdowns

MITTX vs. ELFNX - Drawdown Comparison

The maximum MITTX drawdown since its inception was -48.88%, roughly equal to the maximum ELFNX drawdown of -50.28%. Use the drawdown chart below to compare losses from any high point for MITTX and ELFNX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
MITTX
ELFNX

Volatility

MITTX vs. ELFNX - Volatility Comparison

The current volatility for MFS Massachusetts Investors Trust (MITTX) is 3.31%, while Elfun Trusts (ELFNX) has a volatility of 4.01%. This indicates that MITTX experiences smaller price fluctuations and is considered to be less risky than ELFNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.31%
4.01%
MITTX
ELFNX