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MSFRX vs. RGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MSFRX and RGT is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

MSFRX vs. RGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Total Return Fund (MSFRX) and Royce Global Value Trust, Inc. (RGT). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
44.90%
84.83%
MSFRX
RGT

Key characteristics

Sharpe Ratio

MSFRX:

-0.11

RGT:

1.18

Sortino Ratio

MSFRX:

-0.08

RGT:

1.68

Omega Ratio

MSFRX:

0.99

RGT:

1.21

Calmar Ratio

MSFRX:

-0.08

RGT:

0.58

Martin Ratio

MSFRX:

-0.69

RGT:

6.88

Ulcer Index

MSFRX:

1.62%

RGT:

2.77%

Daily Std Dev

MSFRX:

9.89%

RGT:

16.10%

Max Drawdown

MSFRX:

-36.74%

RGT:

-46.83%

Current Drawdown

MSFRX:

-12.14%

RGT:

-21.13%

Returns By Period

In the year-to-date period, MSFRX achieves a 1.26% return, which is significantly lower than RGT's 15.28% return. Over the past 10 years, MSFRX has underperformed RGT with an annualized return of 2.41%, while RGT has yielded a comparatively higher 6.94% annualized return.


MSFRX

YTD

1.26%

1M

-8.53%

6M

-2.56%

1Y

2.05%

5Y*

0.90%

10Y*

2.41%

RGT

YTD

15.28%

1M

-2.08%

6M

1.63%

1Y

17.45%

5Y*

5.21%

10Y*

6.94%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

MSFRX vs. RGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Total Return Fund (MSFRX) and Royce Global Value Trust, Inc. (RGT). 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 MSFRX, currently valued at -0.11, compared to the broader market-1.000.001.002.003.004.00-0.111.18
The chart of Sortino ratio for MSFRX, currently valued at -0.08, compared to the broader market-2.000.002.004.006.008.0010.00-0.081.68
The chart of Omega ratio for MSFRX, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.003.500.991.21
The chart of Calmar ratio for MSFRX, currently valued at -0.08, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.080.58
The chart of Martin ratio for MSFRX, currently valued at -0.69, compared to the broader market0.0020.0040.0060.00-0.696.88
MSFRX
RGT

The current MSFRX Sharpe Ratio is -0.11, which is lower than the RGT Sharpe Ratio of 1.18. The chart below compares the historical Sharpe Ratios of MSFRX and RGT, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.11
1.18
MSFRX
RGT

Dividends

MSFRX vs. RGT - Dividend Comparison

MSFRX's dividend yield for the trailing twelve months is around 2.21%, less than RGT's 4.35% yield.


TTM20232022202120202019201820172016201520142013
MSFRX
MFS Total Return Fund
2.21%2.37%1.88%1.40%1.82%1.91%2.25%1.93%2.17%2.77%4.58%2.85%
RGT
Royce Global Value Trust, Inc.
4.35%1.54%1.50%20.96%8.91%0.51%0.45%1.02%1.74%1.34%1.87%0.00%

Drawdowns

MSFRX vs. RGT - Drawdown Comparison

The maximum MSFRX drawdown since its inception was -36.74%, smaller than the maximum RGT drawdown of -46.83%. Use the drawdown chart below to compare losses from any high point for MSFRX and RGT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-12.14%
-21.13%
MSFRX
RGT

Volatility

MSFRX vs. RGT - Volatility Comparison

MFS Total Return Fund (MSFRX) has a higher volatility of 6.64% compared to Royce Global Value Trust, Inc. (RGT) at 4.76%. This indicates that MSFRX's price experiences larger fluctuations and is considered to be riskier than RGT 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%JulyAugustSeptemberOctoberNovemberDecember
6.64%
4.76%
MSFRX
RGT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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