MTGDX vs. BND
Compare and contrast key facts about Morgan Stanley Mortgage Securities Trust (MTGDX) and Vanguard Total Bond Market ETF (BND).
MTGDX is managed by Morgan Stanley. It was launched on Jul 28, 1997. BND is a passively managed fund by Vanguard that tracks the performance of the Barclays Capital U.S. Aggregate Bond Index. It was launched on Apr 3, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MTGDX or BND.
Key characteristics
| MTGDX | BND | |
|---|---|---|
| YTD Return | 9.49% | 2.40% |
| 1Y Return | 15.40% | 8.91% |
| 3Y Return (Ann) | 3.81% | -2.38% |
| 5Y Return (Ann) | 3.90% | 0.01% |
| 10Y Return (Ann) | 4.28% | 1.50% |
| Sharpe Ratio | 2.97 | 1.38 |
| Sortino Ratio | 4.48 | 2.03 |
| Omega Ratio | 1.59 | 1.24 |
| Calmar Ratio | 4.88 | 0.51 |
| Martin Ratio | 16.97 | 4.99 |
| Ulcer Index | 0.91% | 1.62% |
| Daily Std Dev | 5.22% | 5.85% |
| Max Drawdown | -12.97% | -18.84% |
| Current Drawdown | -1.37% | -8.44% |
Correlation
The correlation between MTGDX and BND is 0.66, 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.
Performance
MTGDX vs. BND - Performance Comparison
In the year-to-date period, MTGDX achieves a 9.49% return, which is significantly higher than BND's 2.40% return. Over the past 10 years, MTGDX has outperformed BND with an annualized return of 4.28%, while BND has yielded a comparatively lower 1.50% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MTGDX vs. BND - Expense Ratio Comparison
MTGDX has a 0.72% expense ratio, which is higher than BND's 0.03% expense ratio.
Risk-Adjusted Performance
MTGDX vs. BND - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Mortgage Securities Trust (MTGDX) and Vanguard Total Bond Market ETF (BND). 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.
Dividends
MTGDX vs. BND - Dividend Comparison
MTGDX's dividend yield for the trailing twelve months is around 8.15%, more than BND's 3.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTGDX Morgan Stanley Mortgage Securities Trust | 8.15% | 6.83% | 6.30% | 3.69% | 3.83% | 5.14% | 4.13% | 4.69% | 4.06% | 5.05% | 7.26% | 6.28% |
BND Vanguard Total Bond Market ETF | 3.55% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
Drawdowns
MTGDX vs. BND - Drawdown Comparison
The maximum MTGDX drawdown since its inception was -12.97%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for MTGDX and BND. For additional features, visit the drawdowns tool.
Volatility
MTGDX vs. BND - Volatility Comparison
The current volatility for Morgan Stanley Mortgage Securities Trust (MTGDX) is 1.39%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.67%. This indicates that MTGDX experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.