PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MRGAX vs. VGHCX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MRGAXVGHCX
YTD Return23.65%4.50%
1Y Return34.82%11.52%
3Y Return (Ann)8.26%-2.23%
5Y Return (Ann)14.59%1.95%
10Y Return (Ann)13.13%0.69%
Sharpe Ratio3.031.00
Sortino Ratio4.081.43
Omega Ratio1.561.18
Calmar Ratio4.790.62
Martin Ratio19.973.21
Ulcer Index1.84%3.59%
Daily Std Dev12.11%11.51%
Max Drawdown-53.66%-45.86%
Current Drawdown0.00%-9.37%

Correlation

-0.50.00.51.00.8

The correlation between MRGAX and VGHCX is 0.76, 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

MRGAX vs. VGHCX - Performance Comparison

In the year-to-date period, MRGAX achieves a 23.65% return, which is significantly higher than VGHCX's 4.50% return. Over the past 10 years, MRGAX has outperformed VGHCX with an annualized return of 13.13%, while VGHCX has yielded a comparatively lower 0.69% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.90%
2.12%
MRGAX
VGHCX

Compare stocks, funds, or ETFs

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


MRGAX vs. VGHCX - Expense Ratio Comparison

MRGAX has a 0.93% expense ratio, which is higher than VGHCX's 0.30% expense ratio.


MRGAX
MFS Core Equity Fund
Expense ratio chart for MRGAX: current value at 0.93% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.93%
Expense ratio chart for VGHCX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

MRGAX vs. VGHCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Core Equity Fund (MRGAX) and Vanguard Health Care Fund Investor Shares (VGHCX). 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.


MRGAX
Sharpe ratio
The chart of Sharpe ratio for MRGAX, currently valued at 3.03, compared to the broader market0.002.004.003.03
Sortino ratio
The chart of Sortino ratio for MRGAX, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for MRGAX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for MRGAX, currently valued at 4.79, compared to the broader market0.005.0010.0015.0020.0025.004.79
Martin ratio
The chart of Martin ratio for MRGAX, currently valued at 19.97, compared to the broader market0.0020.0040.0060.0080.00100.0019.97
VGHCX
Sharpe ratio
The chart of Sharpe ratio for VGHCX, currently valued at 1.00, compared to the broader market0.002.004.001.00
Sortino ratio
The chart of Sortino ratio for VGHCX, currently valued at 1.43, compared to the broader market0.005.0010.001.43
Omega ratio
The chart of Omega ratio for VGHCX, currently valued at 1.18, compared to the broader market1.002.003.004.001.18
Calmar ratio
The chart of Calmar ratio for VGHCX, currently valued at 0.62, compared to the broader market0.005.0010.0015.0020.0025.000.62
Martin ratio
The chart of Martin ratio for VGHCX, currently valued at 3.21, compared to the broader market0.0020.0040.0060.0080.00100.003.21

MRGAX vs. VGHCX - Sharpe Ratio Comparison

The current MRGAX Sharpe Ratio is 3.03, which is higher than the VGHCX Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of MRGAX and VGHCX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.03
1.00
MRGAX
VGHCX

Dividends

MRGAX vs. VGHCX - Dividend Comparison

MRGAX's dividend yield for the trailing twelve months is around 0.52%, less than VGHCX's 0.82% yield.


TTM20232022202120202019201820172016201520142013
MRGAX
MFS Core Equity Fund
0.52%0.65%0.39%0.16%0.37%0.43%0.60%0.54%0.60%11.57%8.70%0.63%
VGHCX
Vanguard Health Care Fund Investor Shares
0.82%0.84%0.78%0.86%0.87%1.17%1.22%1.00%1.00%1.18%1.00%1.26%

Drawdowns

MRGAX vs. VGHCX - Drawdown Comparison

The maximum MRGAX drawdown since its inception was -53.66%, which is greater than VGHCX's maximum drawdown of -45.86%. Use the drawdown chart below to compare losses from any high point for MRGAX and VGHCX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-9.37%
MRGAX
VGHCX

Volatility

MRGAX vs. VGHCX - Volatility Comparison

MFS Core Equity Fund (MRGAX) has a higher volatility of 3.76% compared to Vanguard Health Care Fund Investor Shares (VGHCX) at 2.89%. This indicates that MRGAX's price experiences larger fluctuations and is considered to be riskier than VGHCX 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
3.76%
2.89%
MRGAX
VGHCX