XSMO vs. MSFRX

Last updated Jun 9, 2026

XSMO (Invesco S&P SmallCap Momentum ETF) and MSFRX (MFS Total Return Fund) are both funds - XSMO is a Momentum fund tracking the S&P SmallCap 600 Momentum Index, while MSFRX is a Diversified Portfolio fund managed by MFS. Over the past 10 years, XSMO returned 14.34%/yr vs 7.96%/yr for MSFRX. A 0.75 correlation means they provide meaningful diversification when combined. XSMO charges 0.36%/yr vs 0.72%/yr for MSFRX.

Performance

XSMO vs. MSFRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Momentum ETF (XSMO) and MFS Total Return Fund (MSFRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, XSMO achieves a 20.54% return, which is significantly higher than MSFRX's 3.29% return. Over the past 10 years, XSMO has outperformed MSFRX with an annualized return of 14.34%, while MSFRX has yielded a comparatively lower 7.96% annualized return.

XSMO

• 1D: 0.66%
• 1M: -0.62%
• YTD: 20.54%
• 6M: 18.72%
• 1Y: 30.63%
• 3Y*: 23.23%
• 5Y*: 10.21%
• 10Y*: 14.34%

MSFRX

• 1D: -0.20%
• 1M: 1.08%
• YTD: 3.29%
• 6M: 4.86%
• 1Y: 11.70%
• 3Y*: 12.50%
• 5Y*: 6.28%
• 10Y*: 7.96%

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

XSMO vs. MSFRX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
XSMO Invesco S&P SmallCap Momentum ETF	20.54%	9.80%	17.45%	21.55%	-15.44%	19.24%	21.96%	28.65%	-3.44%	23.95%
MSFRX MFS Total Return Fund	3.29%	10.98%	14.73%	10.34%	-9.70%	14.00%	9.72%	20.20%	-5.80%	12.18%

Correlation

The correlation between XSMO and MSFRX is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.74
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.73
Correlation (All Time) Calculated using the full available price history since Mar 4, 2005	0.75

The correlation between XSMO and MSFRX shifts across timeframes, from 0.66 (1 year) to 0.76 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

XSMO vs. MSFRX — Risk / Return Rank

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

XSMO

XSMO Risk / Return Rank: 60
XSMO Sharpe Ratio Rank: 53
XSMO Sortino Ratio Rank: 54
XSMO Omega Ratio Rank: 49
XSMO Calmar Ratio Rank: 75
XSMO Martin Ratio Rank: 70

MSFRX

MSFRX Risk / Return Rank: 42
MSFRX Sharpe Ratio Rank: 42
MSFRX Sortino Ratio Rank: 47
MSFRX Omega Ratio Rank: 41
MSFRX Calmar Ratio Rank: 46
MSFRX Martin Ratio Rank: 34

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.

XSMO vs. MSFRX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Momentum ETF (XSMO) and MFS Total Return Fund (MSFRX). 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.

	XSMO	MSFRX	Difference
Sharpe ratio: Return per unit of total volatility	1.62	1.79	-0.17
Sortino ratio: Return per unit of downside risk	2.34	2.72	-0.37
Omega ratio: Gain probability vs. loss probability	1.28	1.33	-0.05
Calmar ratio: Return relative to maximum drawdown	3.46	2.45	+1.01
Martin ratio: Return relative to average drawdown	11.75	7.28	+4.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

XSMO vs. MSFRX - Sharpe Ratio Comparison

The current XSMO Sharpe Ratio is 1.62, which is comparable to the MSFRX Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of XSMO and MSFRX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	XSMO	MSFRX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	1.79	-0.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.65	-0.19
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.60	0.76	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.65	-0.26

Drawdowns

XSMO vs. MSFRX - Drawdown Comparison

The maximum XSMO drawdown since its inception was -58.06%, which is greater than MSFRX's maximum drawdown of -37.28%. Use the drawdown chart below to compare losses from any high point for XSMO and MSFRX.

Drawdown Indicators

	XSMO	MSFRX	Difference
Max Drawdown Largest peak-to-trough decline	-58.06%	-37.28%	-20.78%
Max Drawdown (1Y) Largest decline over 1 year	-8.89%	-4.96%	-3.93%
Max Drawdown (3Y) Largest decline over 3 years	-24.76%	-8.56%	-16.20%
Max Drawdown (5Y) Largest decline over 5 years	-29.62%	-17.02%	-12.60%
Max Drawdown (10Y) Largest decline over 10 years	-39.39%	-24.70%	-14.69%
Current Drawdown Current decline from peak	-2.86%	-1.86%	-1.00%
Average Drawdown Average peak-to-trough decline	-11.13%	-5.00%	-6.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.61%	1.67%	+0.94%

Volatility

XSMO vs. MSFRX - Volatility Comparison

Invesco S&P SmallCap Momentum ETF (XSMO) has a higher volatility of 6.73% compared to MFS Total Return Fund (MSFRX) at 1.78%. This indicates that XSMO's price experiences larger fluctuations and is considered to be riskier than MSFRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	XSMO	MSFRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.73%	1.78%	+4.95%
Volatility (6M) Calculated over the trailing 6-month period	14.49%	4.93%	+9.56%
Volatility (1Y) Calculated over the trailing 1-year period	19.01%	6.78%	+12.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.68%	9.74%	+12.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.14%	10.45%	+13.69%

XSMO vs. MSFRX - Expense Ratio Comparison

XSMO has a 0.36% expense ratio, which is lower than MSFRX's 0.72% expense ratio.

Dividends

XSMO vs. MSFRX - Dividend Comparison

XSMO's dividend yield for the trailing twelve months is around 0.54%, less than MSFRX's 8.77% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MSFRX MFS Total Return Fund	8.77%	8.93%	14.87%	6.19%	5.38%	8.33%	6.93%	3.22%	4.99%	5.67%	3.54%	5.55%
XSMO Invesco S&P SmallCap Momentum ETF	0.54%	0.75%	0.63%	0.96%	1.19%	0.30%	0.82%	0.69%	0.66%	0.27%	0.30%	0.35%

Frequently Asked Questions

Can I hold both XSMO and MSFRX in my portfolio?

XSMO and MSFRX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XSMO or MSFRX?

XSMO has higher volatility (6.73%) compared to MSFRX (1.78%). In terms of maximum drawdown, XSMO dropped -58.06% vs MSFRX's -37.28%.

Which has better risk-adjusted returns?

MSFRX currently has the higher Sharpe Ratio (1.79 vs 1.62), 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.