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MRGAX vs. VTHR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MRGAXVTHR
YTD Return23.39%26.26%
1Y Return36.51%40.42%
3Y Return (Ann)8.09%8.85%
5Y Return (Ann)14.56%15.37%
10Y Return (Ann)13.08%12.84%
Sharpe Ratio2.893.09
Sortino Ratio3.924.12
Omega Ratio1.541.57
Calmar Ratio4.184.36
Martin Ratio19.1720.39
Ulcer Index1.84%1.93%
Daily Std Dev12.21%12.73%
Max Drawdown-53.66%-34.61%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between MRGAX and VTHR is 0.93, 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. VTHR - Performance Comparison

In the year-to-date period, MRGAX achieves a 23.39% return, which is significantly lower than VTHR's 26.26% return. Both investments have delivered pretty close results over the past 10 years, with MRGAX having a 13.08% annualized return and VTHR not far behind at 12.84%. 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%15.00%JuneJulyAugustSeptemberOctoberNovember
12.81%
15.86%
MRGAX
VTHR

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MRGAX vs. VTHR - Expense Ratio Comparison

MRGAX has a 0.93% expense ratio, which is higher than VTHR's 0.10% 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 VTHR: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

MRGAX vs. VTHR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Core Equity Fund (MRGAX) and Vanguard Russell 3000 ETF (VTHR). 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 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for MRGAX, currently valued at 3.92, compared to the broader market0.005.0010.003.92
Omega ratio
The chart of Omega ratio for MRGAX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for MRGAX, currently valued at 4.18, compared to the broader market0.005.0010.0015.0020.0025.004.18
Martin ratio
The chart of Martin ratio for MRGAX, currently valued at 19.17, compared to the broader market0.0020.0040.0060.0080.00100.0019.17
VTHR
Sharpe ratio
The chart of Sharpe ratio for VTHR, currently valued at 3.09, compared to the broader market0.002.004.003.09
Sortino ratio
The chart of Sortino ratio for VTHR, currently valued at 4.12, compared to the broader market0.005.0010.004.12
Omega ratio
The chart of Omega ratio for VTHR, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for VTHR, currently valued at 4.36, compared to the broader market0.005.0010.0015.0020.0025.004.36
Martin ratio
The chart of Martin ratio for VTHR, currently valued at 20.39, compared to the broader market0.0020.0040.0060.0080.00100.0020.39

MRGAX vs. VTHR - Sharpe Ratio Comparison

The current MRGAX Sharpe Ratio is 2.89, which is comparable to the VTHR Sharpe Ratio of 3.09. The chart below compares the historical Sharpe Ratios of MRGAX and VTHR, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.89
3.09
MRGAX
VTHR

Dividends

MRGAX vs. VTHR - Dividend Comparison

MRGAX's dividend yield for the trailing twelve months is around 0.52%, less than VTHR's 1.18% 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%
VTHR
Vanguard Russell 3000 ETF
1.18%1.47%1.52%1.16%1.37%1.65%1.89%1.63%1.82%1.84%1.66%1.57%

Drawdowns

MRGAX vs. VTHR - Drawdown Comparison

The maximum MRGAX drawdown since its inception was -53.66%, which is greater than VTHR's maximum drawdown of -34.61%. Use the drawdown chart below to compare losses from any high point for MRGAX and VTHR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
MRGAX
VTHR

Volatility

MRGAX vs. VTHR - Volatility Comparison

The current volatility for MFS Core Equity Fund (MRGAX) is 3.81%, while Vanguard Russell 3000 ETF (VTHR) has a volatility of 4.11%. This indicates that MRGAX experiences smaller price fluctuations and is considered to be less risky than VTHR 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.81%
4.11%
MRGAX
VTHR