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MUTHX vs. MEIAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MUTHXMEIAX
YTD Return17.73%17.78%
1Y Return27.68%28.25%
3Y Return (Ann)0.26%6.61%
5Y Return (Ann)2.99%10.05%
10Y Return (Ann)1.83%9.52%
Sharpe Ratio2.432.88
Sortino Ratio3.374.07
Omega Ratio1.451.53
Calmar Ratio0.483.71
Martin Ratio12.3616.95
Ulcer Index2.25%1.66%
Daily Std Dev11.46%9.74%
Max Drawdown-84.42%-52.28%
Current Drawdown-45.91%-0.54%

Correlation

-0.50.00.51.00.9

The correlation between MUTHX and MEIAX is 0.88, 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

MUTHX vs. MEIAX - Performance Comparison

The year-to-date returns for both investments are quite close, with MUTHX having a 17.73% return and MEIAX slightly higher at 17.78%. Over the past 10 years, MUTHX has underperformed MEIAX with an annualized return of 1.83%, while MEIAX has yielded a comparatively higher 9.52% 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
11.20%
9.00%
MUTHX
MEIAX

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MUTHX vs. MEIAX - Expense Ratio Comparison

MUTHX has a 0.75% expense ratio, which is lower than MEIAX's 0.80% expense ratio.


MEIAX
MFS Value Fund
Expense ratio chart for MEIAX: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for MUTHX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

MUTHX vs. MEIAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Mutual Shares Fund (MUTHX) and MFS Value Fund (MEIAX). 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.


MUTHX
Sharpe ratio
The chart of Sharpe ratio for MUTHX, currently valued at 2.43, compared to the broader market0.002.004.002.43
Sortino ratio
The chart of Sortino ratio for MUTHX, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for MUTHX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for MUTHX, currently valued at 1.32, compared to the broader market0.005.0010.0015.0020.001.32
Martin ratio
The chart of Martin ratio for MUTHX, currently valued at 12.36, compared to the broader market0.0020.0040.0060.0080.00100.0012.36
MEIAX
Sharpe ratio
The chart of Sharpe ratio for MEIAX, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for MEIAX, currently valued at 4.07, compared to the broader market0.005.0010.004.07
Omega ratio
The chart of Omega ratio for MEIAX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for MEIAX, currently valued at 3.71, compared to the broader market0.005.0010.0015.0020.003.71
Martin ratio
The chart of Martin ratio for MEIAX, currently valued at 16.95, compared to the broader market0.0020.0040.0060.0080.00100.0016.95

MUTHX vs. MEIAX - Sharpe Ratio Comparison

The current MUTHX Sharpe Ratio is 2.43, which is comparable to the MEIAX Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of MUTHX and MEIAX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.43
2.88
MUTHX
MEIAX

Dividends

MUTHX vs. MEIAX - Dividend Comparison

MUTHX's dividend yield for the trailing twelve months is around 2.10%, more than MEIAX's 1.40% yield.


TTM20232022202120202019201820172016201520142013
MUTHX
Franklin Mutual Shares Fund
2.10%2.05%1.63%3.47%2.07%2.59%2.18%2.37%2.27%2.27%3.32%1.56%
MEIAX
MFS Value Fund
1.40%1.54%1.69%1.15%1.39%1.72%1.84%1.32%1.78%6.23%5.09%3.66%

Drawdowns

MUTHX vs. MEIAX - Drawdown Comparison

The maximum MUTHX drawdown since its inception was -84.42%, which is greater than MEIAX's maximum drawdown of -52.28%. Use the drawdown chart below to compare losses from any high point for MUTHX and MEIAX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.72%
-0.54%
MUTHX
MEIAX

Volatility

MUTHX vs. MEIAX - Volatility Comparison

Franklin Mutual Shares Fund (MUTHX) has a higher volatility of 4.12% compared to MFS Value Fund (MEIAX) at 3.41%. This indicates that MUTHX's price experiences larger fluctuations and is considered to be riskier than MEIAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.12%
3.41%
MUTHX
MEIAX