MRJAX vs. VGPMX

Last updated Jun 6, 2026

MRJAX (Morgan Stanley Multi-Asset Real Return Portfolio A) and VGPMX (Vanguard Global Capital Cycles Fund) are both Global Equities funds. A 0.61 correlation means they provide meaningful diversification when combined. MRJAX charges 1.10%/yr vs 0.36%/yr for VGPMX.

Performance

MRJAX vs. VGPMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) and Vanguard Global Capital Cycles Fund (VGPMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

MRJAX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

VGPMX

• 1D: -0.29%
• 1M: 1.14%
• YTD: 19.11%
• 6M: 24.33%
• 1Y: 61.82%
• 3Y*: 31.06%
• 5Y*: 19.91%
• 10Y*: 11.19%

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

MRJAX vs. VGPMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	11.79%	-0.55%	5.09%	2.74%	21.57%	0.07%	17.93%	-8.38%
VGPMX Vanguard Global Capital Cycles Fund	19.11%	65.96%	5.78%	10.06%	7.34%	19.50%	17.21%	20.67%	-25.87%

Correlation

The correlation between MRJAX and VGPMX is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.01
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (All Time) Calculated using the full available price history since Jun 19, 2018	0.61

Over the past year, the correlation between MRJAX and VGPMX has dropped to 0.01 - well below their long-term average of 0.61, suggesting their price drivers have been diverging.

Return for Risk

MRJAX vs. VGPMX — Risk / Return Rank

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

VGPMX

VGPMX Risk / Return Rank: 93
VGPMX Sharpe Ratio Rank: 98
VGPMX Sortino Ratio Rank: 92
VGPMX Omega Ratio Rank: 89
VGPMX Calmar Ratio Rank: 93
VGPMX Martin Ratio Rank: 94

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.

MRJAX vs. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) and Vanguard Global Capital Cycles Fund (VGPMX). 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	MRJAX	VGPMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	3.80	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	1.15	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.54	—
Sharpe Ratio (All Time) Calculated using the full available price history	—	0.26	—

Drawdowns

Drawdown Indicators

	MRJAX	VGPMX	Difference
Max Drawdown Largest peak-to-trough decline	—	-78.85%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-12.80%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-14.63%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-22.71%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-54.59%	—
Current Drawdown Current decline from peak	—	-1.68%	—
Average Drawdown Average peak-to-trough decline	—	-34.55%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	3.07%	—

Volatility

Volatility by Period

	MRJAX	VGPMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	6.16%	—
Volatility (6M) Calculated over the trailing 6-month period	—	13.92%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	16.79%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	17.38%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	20.87%	—

MRJAX vs. VGPMX - Expense Ratio Comparison

MRJAX has a 1.10% expense ratio, which is higher than VGPMX's 0.36% expense ratio.

Dividends

MRJAX vs. VGPMX - Dividend Comparison

MRJAX has not paid dividends to shareholders, while VGPMX's dividend yield for the trailing twelve months is around 3.28%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	0.00%	11.24%	4.40%	4.04%	15.24%	1.09%	1.40%	1.22%	0.00%	0.00%	0.00%
VGPMX Vanguard Global Capital Cycles Fund	3.28%	2.59%	2.68%	3.22%	3.27%	3.26%	2.03%	2.39%	3.02%	0.02%	1.72%	2.32%

Frequently Asked Questions

Can I hold both MRJAX and VGPMX in my portfolio?

MRJAX and VGPMX have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.