MGKQX vs. VOO

Last updated Jun 24, 2026

MGKQX (Morgan Stanley Global Permanence Portfolio) and VOO (Vanguard S&P 500 ETF) are both funds - MGKQX is a Global Equities fund managed by Morgan Stanley, while VOO is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, MGKQX returned 3.12%/yr vs 13.13%/yr for VOO. Their correlation of 0.83 suggests significant overlap in exposure. MGKQX charges 0.95%/yr vs 0.03%/yr for VOO.

Performance

MGKQX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MGKQX achieves a -2.99% return, which is significantly lower than VOO's 8.19% return.

MGKQX

• 1D: -2.09%
• 1M: -2.42%
• YTD: -2.99%
• 6M: -5.04%
• 1Y: -17.96%
• 3Y*: 5.32%
• 5Y*: 3.12%
• 10Y*: —

VOO

• 1D: -1.42%
• 1M: -1.34%
• YTD: 8.19%
• 6M: 7.24%
• 1Y: 23.69%
• 3Y*: 20.78%
• 5Y*: 13.13%
• 10Y*: 15.61%

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

MGKQX vs. VOO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MGKQX Morgan Stanley Global Permanence Portfolio	-2.99%	5.52%	10.81%	20.89%	-19.81%	19.55%	27.09%	6.40%
VOO Vanguard S&P 500 ETF	8.19%	17.82%	24.98%	26.32%	-18.17%	28.79%	18.32%	11.25%

Correlation

The correlation between MGKQX and VOO is 0.73, 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	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (All Time) Calculated using the full available price history since Apr 30, 2019	0.83

The correlation between MGKQX and VOO has been stable across timeframes, ranging from 0.73 to 0.83 - a consistent structural relationship.

Return for Risk

MGKQX vs. VOO — Risk / Return Rank

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

MGKQX

MGKQX Risk / Return Rank: 1
MGKQX Sharpe Ratio Rank: 1
MGKQX Sortino Ratio Rank: 1
MGKQX Omega Ratio Rank: 1
MGKQX Calmar Ratio Rank: 1
MGKQX Martin Ratio Rank: 1

VOO

VOO Risk / Return Rank: 59
VOO Sharpe Ratio Rank: 59
VOO Sortino Ratio Rank: 56
VOO Omega Ratio Rank: 58
VOO Calmar Ratio Rank: 56
VOO Martin Ratio Rank: 67

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.

MGKQX vs. VOO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard S&P 500 ETF (VOO). 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.

	MGKQX	VOO	Difference
Sharpe ratio: Return per unit of total volatility	-0.66	1.91	-2.58
Sortino ratio: Return per unit of downside risk	-0.68	2.60	-3.28
Omega ratio: Gain probability vs. loss probability	0.88	1.35	-0.47
Calmar ratio: Return relative to maximum drawdown	-0.66	2.67	-3.34
Martin ratio: Return relative to average drawdown	-1.18	11.96	-13.14

MGKQX vs. VOO - Sharpe Ratio Comparison

The current MGKQX Sharpe Ratio is -0.66, which is lower than the VOO Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of MGKQX and VOO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MGKQX vs. VOO - Drawdown Comparison

The maximum MGKQX drawdown since its inception was -33.07%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MGKQX and VOO.

Drawdown Indicators

	MGKQX	VOO	Difference
Max Drawdown Largest peak-to-trough decline	-33.07%	-33.99%	+0.92%
Max Drawdown (1Y) Largest decline over 1 year	-25.97%	-8.90%	-17.07%
Max Drawdown (3Y) Largest decline over 3 years	-25.97%	-18.69%	-7.28%
Max Drawdown (5Y) Largest decline over 5 years	-30.96%	-24.52%	-6.44%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.99%	—
Current Drawdown Current decline from peak	-22.94%	-3.14%	-19.80%
Average Drawdown Average peak-to-trough decline	-8.63%	-3.68%	-4.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	14.55%	1.99%	+12.56%

Volatility

MGKQX vs. VOO - Volatility Comparison

Morgan Stanley Global Permanence Portfolio (MGKQX) has a higher volatility of 6.74% compared to Vanguard S&P 500 ETF (VOO) at 4.83%. This indicates that MGKQX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MGKQX	VOO	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.74%	4.83%	+1.91%
Volatility (6M) Calculated over the trailing 6-month period	15.36%	9.82%	+5.54%
Volatility (1Y) Calculated over the trailing 1-year period	25.99%	12.46%	+13.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.92%	16.91%	+7.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.78%	18.02%	+5.76%

MGKQX vs. VOO - Expense Ratio Comparison

MGKQX has a 0.95% expense ratio, which is higher than VOO's 0.03% expense ratio.

Dividends

MGKQX vs. VOO - Dividend Comparison

MGKQX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.05%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MGKQX Morgan Stanley Global Permanence Portfolio	0.00%	0.00%	21.29%	5.29%	1.80%	16.33%	0.74%	0.00%	0.00%	0.00%	0.00%	0.00%
VOO Vanguard S&P 500 ETF	1.05%	1.13%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%

Frequently Asked Questions

Can I hold both MGKQX and VOO in my portfolio?

MGKQX and VOO have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MGKQX or VOO?

MGKQX has higher volatility (6.74%) compared to VOO (4.83%). In terms of maximum drawdown, MGKQX dropped -33.07% vs VOO's -33.99%.

Which has better risk-adjusted returns?

VOO currently has the higher Sharpe Ratio (1.91 vs -0.66), 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.