MPEGX vs. ^GSPC
MPEGX (Morgan Stanley Institutional Fund Trust Discovery Portfolio) is Mid Cap Growth Equities fund managed by Morgan Stanley, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, MPEGX returned 13.50%/yr vs 13.29%/yr for ^GSPC. Their 0.75 correlation means they have sometimes moved together and sometimes differently.
Performance
MPEGX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, MPEGX achieves a -1.99% return, which is significantly lower than ^GSPC's 11.03% return. Both investments have delivered pretty close results over the past 10 years, with MPEGX having a 13.50% annualized return and ^GSPC not far behind at 13.29%.
MPEGX
- 1D
- -1.91%
- 1M
- -5.60%
- 6M
- 3.88%
- YTD
- -1.99%
- 1Y
- -10.57%
- 3Y*
- 18.58%
- 5Y*
- -5.92%
- 10Y*
- 13.50%
- ALL TIME*
- 12.70%
^GSPC
- 1D
- 1.48%
- 1M
- 1.57%
- 6M
- 8.95%
- YTD
- 11.03%
- 1Y
- 21.84%
- 3Y*
- 19.28%
- 5Y*
- 11.54%
- 10Y*
- 13.29%
- ALL TIME*
- 8.11%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $38.00T | $37.50T | $41.55T |
| $0.00 | $0.00 | $0.00 |
MPEGX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MPEGX Morgan Stanley Institutional Fund Trust Discovery Portfolio | -1.99% | 14.05% | 42.38% | 46.66% | -63.39% | -12.37% | 142.68% | 39.73% | 12.19% | 39.39% |
^GSPC S&P 500 Index | 11.03% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between MPEGX and ^GSPC is 0.68, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.68 |
Correlation (3Y) Balances recent behavior with more history. | 0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.71 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.66 |
Correlation (All Time) Calculated using the full available price history since Mar 30, 1990 | 0.75 |
The correlation between MPEGX and ^GSPC has been stable across timeframes, ranging from 0.66 to 0.75 - a consistent structural relationship.
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Return for Risk
MPEGX vs. ^GSPC — Risk / Return Rank
MPEGX
^GSPC
MPEGX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MPEGX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.08 | ||
| Sortino ratioReturn per unit of downside risk | -2.70 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.31 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | -0.39 | 2.41 | -2.80 |
| Martin ratioReturn relative to average drawdown | -0.78 | 10.22 | -11.00 |
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Drawdowns
MPEGX vs. ^GSPC - Drawdown Comparison
The maximum MPEGX drawdown since its inception was -75.29%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MPEGX and ^GSPC.
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Drawdown Indicators
| MPEGX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.29% | -56.78% | -18.51% |
Max Drawdown (1Y)Largest decline over 1 year | -27.46% | -9.10% | -18.36% |
Max Drawdown (3Y)Largest decline over 3 years | -28.53% | -18.90% | -9.63% |
Max Drawdown (5Y)Largest decline over 5 years | -72.99% | -25.43% | -47.56% |
Max Drawdown (10Y)Largest decline over 10 years | -75.29% | -33.92% | -41.37% |
Current DrawdownCurrent decline from peak | -39.40% | -0.12% | -39.28% |
Average DrawdownAverage peak-to-trough decline | -21.29% | -10.70% | -10.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.86% | 2.14% | +11.72% |
Volatility
MPEGX vs. ^GSPC - Volatility Comparison
Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) has a higher volatility of 6.99% compared to S&P 500 Index (^GSPC) at 3.80%. This indicates that MPEGX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MPEGX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.99% | 3.80% | +3.19% |
Volatility (6M)Calculated over the trailing 6-month period | 22.19% | 10.20% | +11.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 29.23% | 12.86% | +16.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 40.32% | 17.02% | +23.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.65% | 18.08% | +16.57% |
Frequently Asked Questions
MPEGX and ^GSPC have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MPEGX has higher volatility (6.99%) compared to ^GSPC (3.80%). In terms of maximum drawdown, MPEGX dropped -75.29% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.71 vs -0.37), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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