USGDX vs. MPEGX
USGDX (Morgan Stanley U.S. Government Securities Trust) and MPEGX (Morgan Stanley Institutional Fund Trust Discovery Portfolio) are both mutual funds - USGDX is a Intermediate Core Bond fund managed by Morgan Stanley, while MPEGX is a Mid Cap Growth Equities fund managed by Morgan Stanley. Over the past 10 years, USGDX returned 0.72%/yr vs 15.05%/yr for MPEGX. At a correlation of -0.10, they often move in opposite directions. USGDX charges 0.52%/yr vs 0.72%/yr for MPEGX.
Performance
USGDX vs. MPEGX - Performance Comparison
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Returns By Period
In the year-to-date period, USGDX achieves a -1.50% return, which is significantly lower than MPEGX's 6.71% return. Over the past 10 years, USGDX has underperformed MPEGX with an annualized return of 0.72%, while MPEGX has yielded a comparatively higher 15.05% annualized return.
USGDX
- 1D
- 0.15%
- 1M
- 0.48%
- YTD
- -1.50%
- 6M
- -1.95%
- 1Y
- 8.87%
- 3Y*
- 2.39%
- 5Y*
- -1.19%
- 10Y*
- 0.72%
MPEGX
- 1D
- -1.69%
- 1M
- 5.93%
- YTD
- 6.71%
- 6M
- 3.22%
- 1Y
- 6.02%
- 3Y*
- 27.25%
- 5Y*
- -2.93%
- 10Y*
- 15.05%
USGDX vs. MPEGX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
USGDX Morgan Stanley U.S. Government Securities Trust | -1.50% | 13.54% | -6.80% | 4.64% | -13.25% | -2.18% | 5.79% | 7.23% | 0.08% | 2.91% |
MPEGX Morgan Stanley Institutional Fund Trust Discovery Portfolio | 6.71% | 14.05% | 42.38% | 46.66% | -63.39% | -12.37% | 142.68% | 39.73% | 12.19% | 39.39% |
Correlation
The correlation between USGDX and MPEGX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Jul 29, 1997 | -0.10 |
The correlation between USGDX and MPEGX shifts across timeframes, from -0.10 (all time) to 0.16 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
USGDX vs. MPEGX — Risk / Return Rank
USGDX
MPEGX
USGDX vs. MPEGX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley U.S. Government Securities Trust (USGDX) and Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX). 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.
| USGDX | MPEGX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +0.97 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.07 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 1.11 | 0.27 | +0.84 |
| Martin ratioReturn relative to average drawdown | 3.52 | 0.58 | +2.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| USGDX | MPEGX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.01 | 0.26 | +0.75 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.10 | -0.07 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | 0.44 | -0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.49 | 0.00 |
Drawdowns
USGDX vs. MPEGX - Drawdown Comparison
The maximum USGDX drawdown since its inception was -30.33%, smaller than the maximum MPEGX drawdown of -75.29%. Use the drawdown chart below to compare losses from any high point for USGDX and MPEGX.
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Drawdown Indicators
| USGDX | MPEGX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.33% | -75.29% | +44.96% |
Max Drawdown (1Y)Largest decline over 1 year | -7.88% | -27.46% | +19.58% |
Max Drawdown (3Y)Largest decline over 3 years | -18.70% | -28.53% | +9.83% |
Max Drawdown (5Y)Largest decline over 5 years | -29.81% | -72.99% | +43.18% |
Max Drawdown (10Y)Largest decline over 10 years | -30.33% | -75.29% | +44.96% |
Current DrawdownCurrent decline from peak | -8.00% | -34.03% | +26.03% |
Average DrawdownAverage peak-to-trough decline | -3.20% | -21.22% | +18.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.48% | 12.67% | -10.19% |
Volatility
USGDX vs. MPEGX - Volatility Comparison
The current volatility for Morgan Stanley U.S. Government Securities Trust (USGDX) is 3.45%, while Morgan Stanley Institutional Fund Trust Discovery Portfolio (MPEGX) has a volatility of 8.94%. This indicates that USGDX experiences smaller price fluctuations and is considered to be less risky than MPEGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| USGDX | MPEGX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.45% | 8.94% | -5.49% |
Volatility (6M)Calculated over the trailing 6-month period | 5.88% | 21.23% | -15.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.67% | 27.78% | -19.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.15% | 40.21% | -28.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.89% | 34.53% | -25.64% |
USGDX vs. MPEGX - Expense Ratio Comparison
USGDX has a 0.52% expense ratio, which is lower than MPEGX's 0.72% expense ratio.
Dividends
USGDX vs. MPEGX - Dividend Comparison
USGDX's dividend yield for the trailing twelve months is around 5.01%, while MPEGX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MPEGX Morgan Stanley Institutional Fund Trust Discovery Portfolio | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 35.82% | 7.63% | 12.05% | 23.88% | 41.11% | 67.79% | 13.20% |
USGDX Morgan Stanley U.S. Government Securities Trust | 5.01% | 4.73% | 5.20% | 3.09% | 2.51% | 2.18% | 2.79% | 3.67% | 3.13% | 3.11% | 3.13% | 2.63% |
Frequently Asked Questions
USGDX and MPEGX have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MPEGX has higher volatility (8.94%) compared to USGDX (3.45%). In terms of maximum drawdown, USGDX dropped -30.33% vs MPEGX's -75.29%.
USGDX currently has the higher Sharpe Ratio (1.01 vs 0.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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