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

Performance

MITTX vs. ILCB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Massachusetts Investors Trust (MITTX) and iShares Morningstar U.S. Equity ETF (ILCB). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.95%
0
MITTX
ILCB

Returns By Period

In the year-to-date period, MITTX achieves a 21.25% return, which is significantly lower than ILCB's 25.05% return. Both investments have delivered pretty close results over the past 10 years, with MITTX having a 12.59% annualized return and ILCB not far behind at 12.29%.


MITTX

YTD

21.25%

1M

0.73%

6M

7.95%

1Y

28.35%

5Y (annualized)

14.74%

10Y (annualized)

12.59%

ILCB

YTD

25.05%

1M

0.85%

6M

11.82%

1Y

32.88%

5Y (annualized)

14.68%

10Y (annualized)

12.29%

Key characteristics


MITTXILCB
Sharpe Ratio2.462.69
Sortino Ratio3.333.59
Omega Ratio1.461.50
Calmar Ratio3.480.33
Martin Ratio15.0917.19
Ulcer Index1.88%1.92%
Daily Std Dev11.55%12.32%
Max Drawdown-48.88%-100.00%
Current Drawdown-1.53%-99.99%

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MITTX vs. ILCB - Expense Ratio Comparison

MITTX has a 0.70% expense ratio, which is higher than ILCB's 0.03% 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 ILCB: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.9

The correlation between MITTX and ILCB is 0.93, 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

MITTX vs. ILCB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Massachusetts Investors Trust (MITTX) and iShares Morningstar U.S. Equity ETF (ILCB). 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 MITTX, currently valued at 2.46, compared to the broader market0.002.004.002.462.69
The chart of Sortino ratio for MITTX, currently valued at 3.33, compared to the broader market0.005.0010.003.333.59
The chart of Omega ratio for MITTX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.50
The chart of Calmar ratio for MITTX, currently valued at 3.48, compared to the broader market0.005.0010.0015.0020.0025.003.480.33
The chart of Martin ratio for MITTX, currently valued at 15.09, compared to the broader market0.0020.0040.0060.0080.00100.0015.0917.19
MITTX
ILCB

The current MITTX Sharpe Ratio is 2.46, which is comparable to the ILCB Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of MITTX and ILCB, 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
2.46
2.69
MITTX
ILCB

Dividends

MITTX vs. ILCB - Dividend Comparison

MITTX's dividend yield for the trailing twelve months is around 0.70%, less than ILCB's 1.20% yield.


TTM20232022202120202019201820172016201520142013
MITTX
MFS Massachusetts Investors Trust
0.70%0.88%1.00%0.65%8.31%0.65%1.10%0.95%0.94%1.61%7.54%2.70%
ILCB
iShares Morningstar U.S. Equity ETF
1.20%1.43%1.65%1.16%1.26%2.25%2.17%1.81%1.97%2.44%1.86%1.89%

Drawdowns

MITTX vs. ILCB - Drawdown Comparison

The maximum MITTX drawdown since its inception was -48.88%, smaller than the maximum ILCB drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for MITTX and ILCB. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.53%
-99.99%
MITTX
ILCB

Volatility

MITTX vs. ILCB - Volatility Comparison

The current volatility for MFS Massachusetts Investors Trust (MITTX) is 3.40%, while iShares Morningstar U.S. Equity ETF (ILCB) has a volatility of 4.06%. This indicates that MITTX experiences smaller price fluctuations and is considered to be less risky than ILCB 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%JuneJulyAugustSeptemberOctoberNovember
3.40%
4.06%
MITTX
ILCB