MTGDX vs. MWFEX
Compare and contrast key facts about Morgan Stanley Mortgage Securities Trust (MTGDX) and Metropolitan West Flexible Income Fund (MWFEX).
MTGDX is managed by Morgan Stanley. It was launched on Jul 28, 1997. MWFEX is managed by Metropolitan West Funds. It was launched on Nov 29, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MTGDX or MWFEX.
Key characteristics
| MTGDX | MWFEX | |
|---|---|---|
| YTD Return | 9.06% | 412.72% |
| 1Y Return | 13.55% | 437.23% |
| 3Y Return (Ann) | 3.84% | 72.66% |
| 5Y Return (Ann) | 3.78% | 43.12% |
| Sharpe Ratio | 2.66 | 1.10 |
| Sortino Ratio | 3.95 | 167.31 |
| Omega Ratio | 1.52 | 27.34 |
| Calmar Ratio | 5.16 | 75.22 |
| Martin Ratio | 14.62 | 551.04 |
| Ulcer Index | 0.93% | 0.80% |
| Daily Std Dev | 5.19% | 401.17% |
| Max Drawdown | -12.97% | -13.94% |
| Current Drawdown | -1.76% | 0.00% |
Correlation
The correlation between MTGDX and MWFEX is 0.69, 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. MWFEX - Performance Comparison
In the year-to-date period, MTGDX achieves a 9.06% return, which is significantly lower than MWFEX's 412.72% 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. MWFEX - Expense Ratio Comparison
MTGDX has a 0.72% expense ratio, which is higher than MWFEX's 0.55% expense ratio.
Risk-Adjusted Performance
MTGDX vs. MWFEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Mortgage Securities Trust (MTGDX) and Metropolitan West Flexible Income Fund (MWFEX). 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. MWFEX - Dividend Comparison
MTGDX's dividend yield for the trailing twelve months is around 8.19%, more than MWFEX's 1.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTGDX Morgan Stanley Mortgage Securities Trust | 8.19% | 6.83% | 6.30% | 3.69% | 3.83% | 5.14% | 4.13% | 4.69% | 4.06% | 5.05% | 7.26% | 6.28% |
MWFEX Metropolitan West Flexible Income Fund | 1.90% | 8.29% | 10.14% | 9.26% | 13.57% | 16.21% | 0.27% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MTGDX vs. MWFEX - Drawdown Comparison
The maximum MTGDX drawdown since its inception was -12.97%, smaller than the maximum MWFEX drawdown of -13.94%. Use the drawdown chart below to compare losses from any high point for MTGDX and MWFEX. For additional features, visit the drawdowns tool.
Volatility
MTGDX vs. MWFEX - Volatility Comparison
Morgan Stanley Mortgage Securities Trust (MTGDX) has a higher volatility of 1.34% compared to Metropolitan West Flexible Income Fund (MWFEX) at 0.00%. This indicates that MTGDX's price experiences larger fluctuations and is considered to be riskier than MWFEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.