MDIJX vs. SSGVX
Compare and contrast key facts about MFS International Diversification Fund (MDIJX) and State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX).
MDIJX is managed by MFS. It was launched on Sep 30, 2004. SSGVX is managed by State Street Global Advisors. It was launched on Sep 17, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MDIJX or SSGVX.
Performance
MDIJX vs. SSGVX - Performance Comparison
Returns By Period
In the year-to-date period, MDIJX achieves a 7.07% return, which is significantly higher than SSGVX's 5.48% return. Over the past 10 years, MDIJX has outperformed SSGVX with an annualized return of 6.28%, while SSGVX has yielded a comparatively lower 3.39% annualized return.
MDIJX
7.07%
-4.99%
-0.79%
13.69%
5.60%
6.28%
SSGVX
5.48%
-4.92%
-1.93%
13.01%
4.48%
3.39%
Key characteristics
| MDIJX | SSGVX | |
|---|---|---|
| Sharpe Ratio | 1.17 | 1.09 |
| Sortino Ratio | 1.65 | 1.54 |
| Omega Ratio | 1.20 | 1.20 |
| Calmar Ratio | 1.02 | 1.00 |
| Martin Ratio | 5.93 | 5.03 |
| Ulcer Index | 2.24% | 2.50% |
| Daily Std Dev | 11.36% | 11.53% |
| Max Drawdown | -54.94% | -39.14% |
| Current Drawdown | -7.79% | -8.26% |
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MDIJX vs. SSGVX - Expense Ratio Comparison
MDIJX has a 0.82% expense ratio, which is higher than SSGVX's 0.05% expense ratio.
Correlation
The correlation between MDIJX and SSGVX is 0.91, 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.
Risk-Adjusted Performance
MDIJX vs. SSGVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS International Diversification Fund (MDIJX) and State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX). 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.
Dividends
MDIJX vs. SSGVX - Dividend Comparison
MDIJX's dividend yield for the trailing twelve months is around 2.41%, less than SSGVX's 2.81% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MDIJX MFS International Diversification Fund | 2.41% | 2.58% | 0.66% | 1.88% | 0.69% | 1.43% | 2.45% | 1.63% | 2.19% | 1.69% | 1.48% | 1.06% |
SSGVX State Street Global All Cap Equity ex-U.S.Index Portfolio | 2.81% | 2.96% | 2.35% | 2.58% | 1.66% | 2.96% | 3.02% | 2.33% | 1.57% | 2.15% | 0.64% | 0.00% |
Drawdowns
MDIJX vs. SSGVX - Drawdown Comparison
The maximum MDIJX drawdown since its inception was -54.94%, which is greater than SSGVX's maximum drawdown of -39.14%. Use the drawdown chart below to compare losses from any high point for MDIJX and SSGVX. For additional features, visit the drawdowns tool.
Volatility
MDIJX vs. SSGVX - Volatility Comparison
MFS International Diversification Fund (MDIJX) has a higher volatility of 3.39% compared to State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) at 3.18%. This indicates that MDIJX's price experiences larger fluctuations and is considered to be riskier than SSGVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.