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

Key characteristics


MITTXSCHD
YTD Return23.02%17.47%
1Y Return30.77%27.61%
3Y Return (Ann)7.23%6.96%
5Y Return (Ann)15.00%12.74%
10Y Return (Ann)12.93%11.66%
Sharpe Ratio2.862.70
Sortino Ratio3.853.89
Omega Ratio1.551.48
Calmar Ratio4.063.71
Martin Ratio17.6314.94
Ulcer Index1.88%2.04%
Daily Std Dev11.56%11.25%
Max Drawdown-48.88%-33.37%
Current Drawdown-0.10%-0.51%

Correlation

-0.50.00.51.00.8

The correlation between MITTX and SCHD is 0.84, 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. SCHD - Performance Comparison

In the year-to-date period, MITTX achieves a 23.02% return, which is significantly higher than SCHD's 17.47% return. Over the past 10 years, MITTX has outperformed SCHD with an annualized return of 12.93%, while SCHD has yielded a comparatively lower 11.66% 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
9.55%
10.72%
MITTX
SCHD

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MITTX vs. SCHD - Expense Ratio Comparison

MITTX has a 0.70% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

MITTX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Massachusetts Investors Trust (MITTX) and Schwab US Dividend Equity ETF (SCHD). 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 2.86, compared to the broader market0.002.004.002.86
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 1.55, compared to the broader market1.002.003.004.001.55
Calmar ratio
The chart of Calmar ratio for MITTX, currently valued at 4.06, compared to the broader market0.005.0010.0015.0020.004.06
Martin ratio
The chart of Martin ratio for MITTX, currently valued at 17.63, compared to the broader market0.0020.0040.0060.0080.00100.0017.63
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.89, compared to the broader market0.005.0010.003.89
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 3.71, compared to the broader market0.005.0010.0015.0020.003.71
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.94, compared to the broader market0.0020.0040.0060.0080.00100.0014.94

MITTX vs. SCHD - Sharpe Ratio Comparison

The current MITTX Sharpe Ratio is 2.86, which is comparable to the SCHD Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of MITTX and SCHD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.86
2.70
MITTX
SCHD

Dividends

MITTX vs. SCHD - Dividend Comparison

MITTX's dividend yield for the trailing twelve months is around 0.69%, less than SCHD's 3.37% 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%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

MITTX vs. SCHD - Drawdown Comparison

The maximum MITTX drawdown since its inception was -48.88%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for MITTX and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.10%
-0.51%
MITTX
SCHD

Volatility

MITTX vs. SCHD - Volatility Comparison

The current volatility for MFS Massachusetts Investors Trust (MITTX) is 3.07%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.49%. This indicates that MITTX experiences smaller price fluctuations and is considered to be less risky than SCHD 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
3.07%
3.49%
MITTX
SCHD