MWFEX vs. MTGDX
Compare and contrast key facts about Metropolitan West Flexible Income Fund (MWFEX) and Morgan Stanley Mortgage Securities Trust (MTGDX).
MWFEX is managed by Metropolitan West Funds. It was launched on Nov 29, 2018. MTGDX is managed by Morgan Stanley. It was launched on Jul 28, 1997.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MWFEX or MTGDX.
Key characteristics
| MWFEX | MTGDX | |
|---|---|---|
| YTD Return | 412.72% | 8.92% |
| 1Y Return | 442.99% | 14.65% |
| 3Y Return (Ann) | 72.79% | 3.80% |
| 5Y Return (Ann) | 43.07% | 3.75% |
| Sharpe Ratio | 1.10 | 2.82 |
| Sortino Ratio | 167.31 | 4.24 |
| Omega Ratio | 27.34 | 1.55 |
| Calmar Ratio | 67.99 | 5.58 |
| Martin Ratio | 551.04 | 15.91 |
| Ulcer Index | 0.80% | 0.92% |
| Daily Std Dev | 401.17% | 5.19% |
| Max Drawdown | -13.94% | -12.97% |
| Current Drawdown | 0.00% | -1.89% |
Correlation
The correlation between MWFEX and MTGDX 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
MWFEX vs. MTGDX - Performance Comparison
In the year-to-date period, MWFEX achieves a 412.72% return, which is significantly higher than MTGDX's 8.92% 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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MWFEX vs. MTGDX - Expense Ratio Comparison
MWFEX has a 0.55% expense ratio, which is lower than MTGDX's 0.72% expense ratio.
Risk-Adjusted Performance
MWFEX vs. MTGDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Metropolitan West Flexible Income Fund (MWFEX) and Morgan Stanley Mortgage Securities Trust (MTGDX). 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
MWFEX vs. MTGDX - Dividend Comparison
MWFEX's dividend yield for the trailing twelve months is around 1.90%, less than MTGDX's 8.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
MTGDX Morgan Stanley Mortgage Securities Trust | 8.20% | 6.83% | 6.30% | 3.69% | 3.83% | 5.14% | 4.13% | 4.69% | 4.06% | 5.05% | 7.26% | 6.28% |
Drawdowns
MWFEX vs. MTGDX - Drawdown Comparison
The maximum MWFEX drawdown since its inception was -13.94%, which is greater than MTGDX's maximum drawdown of -12.97%. Use the drawdown chart below to compare losses from any high point for MWFEX and MTGDX. For additional features, visit the drawdowns tool.
Volatility
MWFEX vs. MTGDX - Volatility Comparison
The current volatility for Metropolitan West Flexible Income Fund (MWFEX) is 0.00%, while Morgan Stanley Mortgage Securities Trust (MTGDX) has a volatility of 1.37%. This indicates that MWFEX experiences smaller price fluctuations and is considered to be less risky than MTGDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.