EGLBX vs. SSGJX

Last updated Jun 4, 2026

EGLBX (Elfun International Equity Fund) and SSGJX (State Street Global All Cap Equity ex-U.S. Index Fund) are both Foreign Large Cap Equities funds from State Street. Over the past 10 years, EGLBX returned 8.80%/yr vs -12.87%/yr for SSGJX. Their correlation of 0.93 suggests significant overlap in exposure. EGLBX charges 0.37%/yr vs 0.27%/yr for SSGJX.

Performance

EGLBX vs. SSGJX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Elfun International Equity Fund (EGLBX) and State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EGLBX achieves a 9.06% return, which is significantly lower than SSGJX's 14.94% return. Over the past 10 years, EGLBX has outperformed SSGJX with an annualized return of 8.80%, while SSGJX has yielded a comparatively lower -12.87% annualized return.

EGLBX

• 1D: 0.45%
• 1M: 5.08%
• YTD: 9.06%
• 6M: 11.15%
• 1Y: 17.50%
• 3Y*: 13.67%
• 5Y*: 7.05%
• 10Y*: 8.80%

SSGJX

• 1D: 0.68%
• 1M: 4.88%
• YTD: 14.94%
• 6M: 18.01%
• 1Y: 32.61%
• 3Y*: 19.58%
• 5Y*: 8.53%
• 10Y*: -12.87%

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

EGLBX vs. SSGJX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EGLBX Elfun International Equity Fund	9.06%	22.41%	3.40%	20.35%	-16.09%	9.11%	13.33%	30.15%	-16.35%	22.99%
SSGJX State Street Global All Cap Equity ex-U.S. Index Fund	14.94%	32.51%	4.92%	15.59%	-16.57%	8.21%	-88.91%	21.27%	-14.19%	27.00%

Correlation

The correlation between EGLBX and SSGJX is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Sep 19, 2014	0.93

The correlation between EGLBX and SSGJX has been stable across timeframes, ranging from 0.92 to 0.94 - a consistent structural relationship.

Return for Risk

EGLBX vs. SSGJX — Risk / Return Rank

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

EGLBX

EGLBX Risk / Return Rank: 16
EGLBX Sharpe Ratio Rank: 15
EGLBX Sortino Ratio Rank: 15
EGLBX Omega Ratio Rank: 15
EGLBX Calmar Ratio Rank: 14
EGLBX Martin Ratio Rank: 18

SSGJX

SSGJX Risk / Return Rank: 62
SSGJX Sharpe Ratio Rank: 66
SSGJX Sortino Ratio Rank: 64
SSGJX Omega Ratio Rank: 67
SSGJX Calmar Ratio Rank: 56
SSGJX Martin Ratio Rank: 55

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.

EGLBX vs. SSGJX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Elfun International Equity Fund (EGLBX) and State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX). 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.

	EGLBX	SSGJX	Difference
Sharpe ratio: Return per unit of total volatility	1.08	2.39	-1.31
Sortino ratio: Return per unit of downside risk	1.62	3.34	-1.72
Omega ratio: Gain probability vs. loss probability	1.20	1.46	-0.26
Calmar ratio: Return relative to maximum drawdown	1.32	2.88	-1.56
Martin ratio: Return relative to average drawdown	5.00	11.16	-6.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EGLBX vs. SSGJX - Sharpe Ratio Comparison

The current EGLBX Sharpe Ratio is 1.08, which is lower than the SSGJX Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of EGLBX and SSGJX, 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

	EGLBX	SSGJX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.08	2.39	-1.31
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.41	0.58	-0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	-0.40	+0.92
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	-0.39	+0.81

Drawdowns

EGLBX vs. SSGJX - Drawdown Comparison

The maximum EGLBX drawdown since its inception was -60.96%, smaller than the maximum SSGJX drawdown of -92.55%. Use the drawdown chart below to compare losses from any high point for EGLBX and SSGJX.

Drawdown Indicators

	EGLBX	SSGJX	Difference
Max Drawdown Largest peak-to-trough decline	-60.96%	-92.55%	+31.59%
Max Drawdown (1Y) Largest decline over 1 year	-12.80%	-11.23%	-1.57%
Max Drawdown (3Y) Largest decline over 3 years	-15.23%	-13.61%	-1.62%
Max Drawdown (5Y) Largest decline over 5 years	-32.52%	-30.19%	-2.33%
Max Drawdown (10Y) Largest decline over 10 years	-32.52%	-92.55%	+60.03%
Current Drawdown Current decline from peak	0.00%	-82.09%	+82.09%
Average Drawdown Average peak-to-trough decline	-12.61%	-50.62%	+38.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.37%	2.89%	+0.48%

Volatility

EGLBX vs. SSGJX - Volatility Comparison

Elfun International Equity Fund (EGLBX) and State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) have volatilities of 4.56% and 4.56%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EGLBX	SSGJX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.56%	4.56%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	12.75%	11.38%	+1.37%
Volatility (1Y) Calculated over the trailing 1-year period	15.69%	13.56%	+2.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.14%	14.74%	+2.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.02%	32.57%	-15.55%

EGLBX vs. SSGJX - Expense Ratio Comparison

EGLBX has a 0.37% expense ratio, which is higher than SSGJX's 0.27% expense ratio.

Dividends

EGLBX vs. SSGJX - Dividend Comparison

EGLBX's dividend yield for the trailing twelve months is around 10.47%, more than SSGJX's 3.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EGLBX Elfun International Equity Fund	10.47%	11.42%	6.62%	1.95%	6.97%	8.23%	1.17%	1.68%	2.49%	1.56%	2.19%	1.85%
SSGJX State Street Global All Cap Equity ex-U.S. Index Fund	3.78%	4.34%	4.43%	2.93%	2.73%	4.07%	1.57%	4.69%	8.03%	3.98%	1.52%	2.09%

Frequently Asked Questions

Can I hold both EGLBX and SSGJX in my portfolio?

With a correlation of 0.92, EGLBX and SSGJX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, EGLBX or SSGJX?

SSGJX has higher volatility (4.56%) compared to EGLBX (4.56%). In terms of maximum drawdown, EGLBX dropped -60.96% vs SSGJX's -92.55%.

Which has better risk-adjusted returns?

SSGJX currently has the higher Sharpe Ratio (2.39 vs 1.08), 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.