PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
OTCAX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


OTCAXSPY
YTD Return17.58%27.04%
1Y Return31.55%39.75%
3Y Return (Ann)-1.16%10.21%
5Y Return (Ann)9.41%15.93%
10Y Return (Ann)8.82%13.36%
Sharpe Ratio2.093.15
Sortino Ratio2.854.19
Omega Ratio1.371.59
Calmar Ratio1.124.60
Martin Ratio10.9620.85
Ulcer Index2.81%1.85%
Daily Std Dev14.76%12.29%
Max Drawdown-73.07%-55.19%
Current Drawdown-4.52%0.00%

Correlation

-0.50.00.51.00.8

The correlation between OTCAX and SPY is 0.81, 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

OTCAX vs. SPY - Performance Comparison

In the year-to-date period, OTCAX achieves a 17.58% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, OTCAX has underperformed SPY with an annualized return of 8.82%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.41%
15.57%
OTCAX
SPY

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


OTCAX vs. SPY - Expense Ratio Comparison

OTCAX has a 1.00% expense ratio, which is higher than SPY's 0.09% expense ratio.


OTCAX
MFS Mid Cap Growth Fund
Expense ratio chart for OTCAX: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

OTCAX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Mid Cap Growth Fund (OTCAX) and SPDR S&P 500 ETF (SPY). 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.


OTCAX
Sharpe ratio
The chart of Sharpe ratio for OTCAX, currently valued at 2.09, compared to the broader market0.002.004.002.09
Sortino ratio
The chart of Sortino ratio for OTCAX, currently valued at 2.85, compared to the broader market0.005.0010.002.85
Omega ratio
The chart of Omega ratio for OTCAX, currently valued at 1.37, compared to the broader market1.002.003.004.001.37
Calmar ratio
The chart of Calmar ratio for OTCAX, currently valued at 1.12, compared to the broader market0.005.0010.0015.0020.001.12
Martin ratio
The chart of Martin ratio for OTCAX, currently valued at 10.96, compared to the broader market0.0020.0040.0060.0080.00100.0010.96
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

OTCAX vs. SPY - Sharpe Ratio Comparison

The current OTCAX Sharpe Ratio is 2.09, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of OTCAX and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.09
3.15
OTCAX
SPY

Dividends

OTCAX vs. SPY - Dividend Comparison

OTCAX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
OTCAX
MFS Mid Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%7.09%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

OTCAX vs. SPY - Drawdown Comparison

The maximum OTCAX drawdown since its inception was -73.07%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for OTCAX and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.52%
0
OTCAX
SPY

Volatility

OTCAX vs. SPY - Volatility Comparison

MFS Mid Cap Growth Fund (OTCAX) has a higher volatility of 4.40% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that OTCAX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.40%
3.95%
OTCAX
SPY