MGKQX vs. VTSAX

Last updated Jun 4, 2026

MGKQX (Morgan Stanley Global Permanence Portfolio) and VTSAX (Vanguard Total Stock Market Index Fund Admiral Shares) are both mutual funds - MGKQX is a Global Equities fund managed by Morgan Stanley, while VTSAX is a Large Cap Blend Equities fund managed by Vanguard. Over the past 5 years, MGKQX returned 4.77%/yr vs 13.04%/yr for VTSAX. Their correlation of 0.85 suggests significant overlap in exposure. MGKQX charges 0.95%/yr vs 0.04%/yr for VTSAX.

Performance

MGKQX vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MGKQX achieves a 2.41% return, which is significantly lower than VTSAX's 11.98% return.

MGKQX

• 1D: -1.59%
• 1M: 1.06%
• YTD: 2.41%
• 6M: -15.77%
• 1Y: -9.40%
• 3Y*: 7.07%
• 5Y*: 4.77%
• 10Y*: —

VTSAX

• 1D: 0.24%
• 1M: 5.76%
• YTD: 11.98%
• 6M: 11.87%
• 1Y: 29.09%
• 3Y*: 22.34%
• 5Y*: 13.04%
• 10Y*: 15.12%

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

MGKQX vs. VTSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MGKQX Morgan Stanley Global Permanence Portfolio	2.41%	5.52%	10.81%	20.89%	-19.81%	19.55%	27.09%	6.40%
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares	11.98%	17.12%	23.23%	26.51%	-19.52%	25.72%	20.98%	10.31%

Correlation

The correlation between MGKQX and VTSAX is 0.75, 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	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.84
Correlation (All Time) Calculated using the full available price history since May 1, 2019	0.85

The correlation between MGKQX and VTSAX has been stable across timeframes, ranging from 0.75 to 0.85 - a consistent structural relationship.

Return for Risk

MGKQX vs. VTSAX — 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: 2
MGKQX Omega Ratio Rank: 1
MGKQX Calmar Ratio Rank: 1
MGKQX Martin Ratio Rank: 1

VTSAX

VTSAX Risk / Return Rank: 71
VTSAX Sharpe Ratio Rank: 72
VTSAX Sortino Ratio Rank: 65
VTSAX Omega Ratio Rank: 63
VTSAX Calmar Ratio Rank: 74
VTSAX Martin Ratio Rank: 83

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. VTSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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.

	MGKQX	VTSAX	Difference
Sharpe ratio: Return per unit of total volatility	-0.35	2.47	-2.82
Sortino ratio: Return per unit of downside risk	-0.27	3.36	-3.63
Omega ratio: Gain probability vs. loss probability	0.95	1.44	-0.49
Calmar ratio: Return relative to maximum drawdown	-0.35	3.37	-3.72
Martin ratio: Return relative to average drawdown	-0.65	15.56	-16.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MGKQX vs. VTSAX - Sharpe Ratio Comparison

The current MGKQX Sharpe Ratio is -0.35, which is lower than the VTSAX Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of MGKQX and VTSAX, 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

	MGKQX	VTSAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.35	2.47	-2.82
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.20	0.76	-0.55
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.82	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.47	-0.08

Drawdowns

MGKQX vs. VTSAX - Drawdown Comparison

The maximum MGKQX drawdown since its inception was -33.07%, smaller than the maximum VTSAX drawdown of -55.33%. Use the drawdown chart below to compare losses from any high point for MGKQX and VTSAX.

Drawdown Indicators

	MGKQX	VTSAX	Difference
Max Drawdown Largest peak-to-trough decline	-33.07%	-55.33%	+22.26%
Max Drawdown (1Y) Largest decline over 1 year	-25.97%	-8.92%	-17.05%
Max Drawdown (3Y) Largest decline over 3 years	-25.97%	-19.36%	-6.61%
Max Drawdown (5Y) Largest decline over 5 years	-30.96%	-25.36%	-5.60%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.97%	—
Current Drawdown Current decline from peak	-18.66%	0.00%	-18.66%
Average Drawdown Average peak-to-trough decline	-8.55%	-9.01%	+0.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.75%	1.93%	+11.82%

Volatility

MGKQX vs. VTSAX - Volatility Comparison

Morgan Stanley Global Permanence Portfolio (MGKQX) has a higher volatility of 6.73% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 2.95%. This indicates that MGKQX's price experiences larger fluctuations and is considered to be riskier than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MGKQX	VTSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.73%	2.95%	+3.78%
Volatility (6M) Calculated over the trailing 6-month period	24.65%	9.19%	+15.46%
Volatility (1Y) Calculated over the trailing 1-year period	25.48%	12.19%	+13.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.79%	17.36%	+6.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.77%	18.41%	+5.36%

MGKQX vs. VTSAX - Expense Ratio Comparison

MGKQX has a 0.95% expense ratio, which is higher than VTSAX's 0.04% expense ratio.

Dividends

MGKQX vs. VTSAX - Dividend Comparison

MGKQX has not paid dividends to shareholders, while VTSAX's dividend yield for the trailing twelve months is around 1.00%.

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%
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares	1.00%	1.11%	1.26%	1.42%	1.65%	1.20%	1.41%	1.76%	2.03%	1.71%	1.92%	1.98%

Frequently Asked Questions

Can I hold both MGKQX and VTSAX in my portfolio?

MGKQX and VTSAX have a correlation of 0.75, 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 VTSAX?

MGKQX has higher volatility (6.73%) compared to VTSAX (2.95%). In terms of maximum drawdown, MGKQX dropped -33.07% vs VTSAX's -55.33%.

Which has better risk-adjusted returns?

VTSAX currently has the higher Sharpe Ratio (2.47 vs -0.35), 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.