EGLBX vs. SSGJX
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 9.45%/yr vs 10.08%/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
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Returns By Period
In the year-to-date period, EGLBX achieves a 8.42% return, which is significantly lower than SSGJX's 12.92% return. Over the past 10 years, EGLBX has underperformed SSGJX with an annualized return of 9.45%, while SSGJX has yielded a comparatively higher 10.08% annualized return.
EGLBX
- 1D
- -1.75%
- 1M
- 0.81%
- YTD
- 8.42%
- 6M
- 8.38%
- 1Y
- 16.46%
- 3Y*
- 13.72%
- 5Y*
- 6.88%
- 10Y*
- 9.45%
SSGJX
- 1D
- -2.31%
- 1M
- 0.67%
- YTD
- 12.92%
- 6M
- 13.04%
- 1Y
- 28.18%
- 3Y*
- 18.94%
- 5Y*
- 8.29%
- 10Y*
- 10.08%
EGLBX vs. SSGJX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EGLBX Elfun International Equity Fund | 8.42% | 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 | 12.92% | 32.51% | 4.92% | 15.59% | -16.57% | 8.21% | 10.93% | 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 18, 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.
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Return for Risk
EGLBX vs. SSGJX — Risk / Return Rank
EGLBX
SSGJX
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EGLBX | SSGJX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.95 | ||
| Sortino ratioReturn per unit of downside risk | -1.17 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.40 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.44 | 2.71 | -1.27 |
| Martin ratioReturn relative to average drawdown | 5.45 | 10.36 | -4.91 |
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Drawdowns
EGLBX vs. SSGJX - Drawdown Comparison
The maximum EGLBX drawdown since its inception was -60.96%, which is greater than SSGJX's maximum drawdown of -36.15%. Use the drawdown chart below to compare losses from any high point for EGLBX and SSGJX.
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Drawdown Indicators
| EGLBX | SSGJX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.96% | -36.15% | -24.81% |
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% | -36.15% | +3.63% |
Current DrawdownCurrent decline from peak | -1.99% | -2.31% | +0.32% |
Average DrawdownAverage peak-to-trough decline | -12.59% | -8.29% | -4.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.37% | 2.93% | +0.44% |
Volatility
EGLBX vs. SSGJX - Volatility Comparison
The current volatility for Elfun International Equity Fund (EGLBX) is 4.90%, while State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) has a volatility of 6.22%. This indicates that EGLBX experiences smaller price fluctuations and is considered to be less risky than SSGJX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGLBX | SSGJX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.90% | 6.22% | -1.32% |
Volatility (6M)Calculated over the trailing 6-month period | 13.20% | 12.60% | +0.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.13% | 14.57% | +1.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.21% | 14.93% | +2.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.84% | 15.76% | +1.08% |
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 10.54%, more than SSGJX's 3.84% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGLBX Elfun International Equity Fund | 10.54% | 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 | 3.84% | 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
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.
SSGJX has higher volatility (6.22%) compared to EGLBX (4.90%). In terms of maximum drawdown, EGLBX dropped -60.96% vs SSGJX's -36.15%.
SSGJX currently has the higher Sharpe Ratio (2.09 vs 1.14), 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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