OFVIX vs. MGK

Last updated Apr 1, 2026

Compare and contrast key facts about O'Shaughnessy Market Leaders Value Fund (OFVIX) and Vanguard Mega Cap Growth ETF (MGK).

OFVIX is managed by O'Shaughnessy Mutual Funds. It was launched on Feb 26, 2016. MGK is a passively managed fund by Vanguard that tracks the performance of the CRSP US Mega Cap Growth Index. It was launched on Dec 17, 2007.

Performance

OFVIX vs. MGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in O'Shaughnessy Market Leaders Value Fund (OFVIX) and Vanguard Mega Cap Growth ETF (MGK). The values are adjusted to include any dividend payments, if applicable.

OFVIX vs. MGK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OFVIX O'Shaughnessy Market Leaders Value Fund	1.48%	15.81%	23.70%	17.85%	-6.13%	30.49%	1.76%	35.06%	-12.95%	22.05%
MGK Vanguard Mega Cap Growth ETF	-10.90%	20.67%	32.94%	51.67%	-33.59%	28.58%	41.01%	37.38%	-2.91%	28.53%

Returns By Period

In the year-to-date period, OFVIX achieves a 1.48% return, which is significantly higher than MGK's -10.90% return.

OFVIX

• 1D: 0.00%
• 1M: -3.57%
• YTD: 1.48%
• 6M: 5.17%
• 1Y: 16.80%
• 3Y*: 19.63%
• 5Y*: 12.65%
• 10Y*: —

MGK

• 1D: 3.95%
• 1M: -4.96%
• YTD: -10.90%
• 6M: -8.52%
• 1Y: 19.40%
• 3Y*: 22.12%
• 5Y*: 12.38%
• 10Y*: 16.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

OFVIX vs. MGK - Expense Ratio Comparison

OFVIX has a 0.56% expense ratio, which is higher than MGK's 0.05% expense ratio.

OFVIX

O'Shaughnessy Market Leaders Value Fund

MGK

Vanguard Mega Cap Growth ETF

Return for Risk

OFVIX vs. MGK — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

OFVIX

OFVIX Risk / Return Rank: 54
OFVIX Sharpe Ratio Rank: 54
OFVIX Sortino Ratio Rank: 54
OFVIX Omega Ratio Rank: 57
OFVIX Calmar Ratio Rank: 50
OFVIX Martin Ratio Rank: 56

MGK

MGK Risk / Return Rank: 51
MGK Sharpe Ratio Rank: 50
MGK Sortino Ratio Rank: 56
MGK Omega Ratio Rank: 54
MGK Calmar Ratio Rank: 51
MGK Martin Ratio Rank: 46

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

OFVIX vs. MGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for O'Shaughnessy Market Leaders Value Fund (OFVIX) and Vanguard Mega Cap Growth ETF (MGK). 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.

	OFVIX	MGK	Difference
Sharpe ratio Return per unit of total volatility	1.00	0.84	+0.17
Sortino ratio Return per unit of downside risk	1.45	1.36	+0.09
Omega ratio Gain probability vs. loss probability	1.22	1.19	+0.03
Calmar ratio Return relative to maximum drawdown	1.21	1.16	+0.05
Martin ratio Return relative to average drawdown	5.40	4.07	+1.34
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

OFVIX vs. MGK - Sharpe Ratio Comparison

The current OFVIX Sharpe Ratio is 1.00, which is comparable to the MGK Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of OFVIX and MGK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	OFVIX	MGK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.00	0.84	+0.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.76	0.55	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.77	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.64	0.60	+0.04

Correlation

The correlation between OFVIX and MGK is 0.60, 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.

Dividends

OFVIX vs. MGK - Dividend Comparison

OFVIX's dividend yield for the trailing twelve months is around 18.26%, more than MGK's 0.39% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
OFVIX O'Shaughnessy Market Leaders Value Fund	18.26%	18.53%	15.22%	4.10%	7.88%	1.81%	2.15%	8.09%	7.74%	2.40%	0.00%	0.00%
MGK Vanguard Mega Cap Growth ETF	0.39%	0.35%	0.43%	0.50%	0.70%	0.41%	0.65%	0.85%	1.12%	1.23%	1.53%	1.43%

Drawdowns

OFVIX vs. MGK - Drawdown Comparison

The maximum OFVIX drawdown since its inception was -41.88%, smaller than the maximum MGK drawdown of -47.97%. Use the drawdown chart below to compare losses from any high point for OFVIX and MGK.

Drawdown Indicators

	OFVIX	MGK	Difference
Max Drawdown Largest peak-to-trough decline	-41.88%	-47.97%	+6.09%
Max Drawdown (1Y) Largest decline over 1 year	-13.24%	-16.85%	+3.61%
Max Drawdown (5Y) Largest decline over 5 years	-20.79%	-36.01%	+15.22%
Max Drawdown (10Y) Largest decline over 10 years	—	-36.01%	—
Current Drawdown Current decline from peak	-5.37%	-13.57%	+8.20%
Average Drawdown Average peak-to-trough decline	-5.36%	-7.51%	+2.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.98%	4.81%	-1.83%

Volatility

OFVIX vs. MGK - Volatility Comparison

The current volatility for O'Shaughnessy Market Leaders Value Fund (OFVIX) is 3.04%, while Vanguard Mega Cap Growth ETF (MGK) has a volatility of 7.01%. This indicates that OFVIX experiences smaller price fluctuations and is considered to be less risky than MGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OFVIX	MGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.04%	7.01%	-3.97%
Volatility (6M) Calculated over the trailing 6-month period	9.25%	12.88%	-3.63%
Volatility (1Y) Calculated over the trailing 1-year period	17.95%	23.33%	-5.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.72%	22.64%	-5.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.28%	21.82%	-1.54%