MPEGX vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) and S&P 500 Index (^GSPC).

MPEGX is managed by Morgan Stanley. It was launched on Mar 30, 1990.

Performance

MPEGX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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	-11.38%	14.05%	42.38%	46.66%	-63.39%	-12.37%	142.68%	39.73%	12.19%	39.39%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, MPEGX achieves a -11.38% return, which is significantly lower than ^GSPC's -3.95% return. Over the past 10 years, MPEGX has outperformed ^GSPC with an annualized return of 13.09%, while ^GSPC has yielded a comparatively lower 12.24% annualized return.

MPEGX

• 1D: 4.71%
• 1M: -5.01%
• YTD: -11.38%
• 6M: -20.20%
• 1Y: 7.13%
• 3Y*: 21.82%
• 5Y*: -7.45%
• 10Y*: 13.09%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

MPEGX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MPEGX

MPEGX Risk / Return Rank: 11
MPEGX Sharpe Ratio Rank: 10
MPEGX Sortino Ratio Rank: 12
MPEGX Omega Ratio Rank: 11
MPEGX Calmar Ratio Rank: 11
MPEGX Martin Ratio Rank: 9

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	MPEGX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.28	0.92	-0.64
Sortino ratio Return per unit of downside risk	0.63	1.41	-0.78
Omega ratio Gain probability vs. loss probability	1.08	1.21	-0.14
Calmar ratio Return relative to maximum drawdown	0.30	1.41	-1.12
Martin ratio Return relative to average drawdown	0.75	6.61	-5.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MPEGX vs. ^GSPC - Sharpe Ratio Comparison

The current MPEGX Sharpe Ratio is 0.28, which is lower than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of MPEGX 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.

Sharpe Ratios by Period

	MPEGX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.28	0.92	-0.64
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.19	0.61	-0.80
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.38	0.68	-0.30
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.46	+0.01

Correlation

The correlation between MPEGX and ^GSPC is 0.75, 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.

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.

Drawdown Indicators

	MPEGX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-75.29%	-56.78%	-18.51%
Max Drawdown (1Y) Largest decline over 1 year	-27.46%	-12.14%	-15.32%
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 Drawdown Current decline from peak	-45.21%	-5.78%	-39.43%
Average Drawdown Average peak-to-trough decline	-21.13%	-10.75%	-10.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.87%	2.60%	+8.27%

Volatility

MPEGX vs. ^GSPC - Volatility Comparison

Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) has a higher volatility of 9.50% compared to S&P 500 Index (^GSPC) at 5.37%. 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.

Volatility by Period

	MPEGX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.50%	5.37%	+4.13%
Volatility (6M) Calculated over the trailing 6-month period	22.29%	9.55%	+12.74%
Volatility (1Y) Calculated over the trailing 1-year period	32.20%	18.33%	+13.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	40.35%	16.90%	+23.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.35%	18.05%	+16.30%