PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MITTX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

MITTX vs. ^GSPC - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.95%
11.03%
MITTX
^GSPC

Returns By Period

In the year-to-date period, MITTX achieves a 21.25% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, MITTX has outperformed ^GSPC with an annualized return of 12.59%, while ^GSPC has yielded a comparatively lower 11.10% annualized return.


MITTX

YTD

21.25%

1M

0.73%

6M

7.95%

1Y

28.35%

5Y (annualized)

14.74%

10Y (annualized)

12.59%

^GSPC

YTD

23.56%

1M

0.49%

6M

11.03%

1Y

30.56%

5Y (annualized)

13.70%

10Y (annualized)

11.10%

Key characteristics


MITTX^GSPC
Sharpe Ratio2.462.51
Sortino Ratio3.333.36
Omega Ratio1.461.47
Calmar Ratio3.483.62
Martin Ratio15.0916.12
Ulcer Index1.88%1.91%
Daily Std Dev11.55%12.27%
Max Drawdown-48.88%-56.78%
Current Drawdown-1.53%-1.80%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.01.0

The correlation between MITTX and ^GSPC is 0.96, 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. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Massachusetts Investors Trust (MITTX) 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 MITTX, currently valued at 2.46, compared to the broader market0.002.004.002.462.51
The chart of Sortino ratio for MITTX, currently valued at 3.33, compared to the broader market0.005.0010.003.333.36
The chart of Omega ratio for MITTX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.47
The chart of Calmar ratio for MITTX, currently valued at 3.48, compared to the broader market0.005.0010.0015.0020.0025.003.483.62
The chart of Martin ratio for MITTX, currently valued at 15.09, compared to the broader market0.0020.0040.0060.0080.00100.0015.0916.12
MITTX
^GSPC

The current MITTX Sharpe Ratio is 2.46, which is comparable to the ^GSPC Sharpe Ratio of 2.51. The chart below compares the historical Sharpe Ratios of MITTX 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.46
2.51
MITTX
^GSPC

Drawdowns

MITTX vs. ^GSPC - Drawdown Comparison

The maximum MITTX drawdown since its inception was -48.88%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MITTX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.53%
-1.80%
MITTX
^GSPC

Volatility

MITTX vs. ^GSPC - Volatility Comparison

The current volatility for MFS Massachusetts Investors Trust (MITTX) is 3.40%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that MITTX 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
4.06%
MITTX
^GSPC