MSACX vs. GTMIX
MSACX (Morgan Stanley Institutional Fund, Inc. Active International Allocation Portfolio) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, MSACX returned 8.77%/yr vs 10.90%/yr for GTMIX. Their correlation of 0.90 means they have usually moved in the same direction. MSACX charges 0.90%/yr vs 0.68%/yr for GTMIX.
Performance
MSACX vs. GTMIX - Performance Comparison
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Returns By Period
In the year-to-date period, MSACX achieves a 14.73% return, which is significantly lower than GTMIX's 21.02% return. Over the past 10 years, MSACX has underperformed GTMIX with an annualized return of 8.77%, while GTMIX has yielded a comparatively higher 10.90% annualized return.
MSACX
- 1D
- 0.46%
- 1M
- -0.41%
- 6M
- 6.68%
- YTD
- 14.73%
- 1Y
- 14.31%
- 3Y*
- 13.87%
- 5Y*
- 4.83%
- 10Y*
- 8.77%
- ALL TIME*
- 6.52%
GTMIX
- 1D
- -0.84%
- 1M
- 6.02%
- 6M
- 13.22%
- YTD
- 21.02%
- 1Y
- 43.83%
- 3Y*
- 22.27%
- 5Y*
- 13.04%
- 10Y*
- 10.90%
- ALL TIME*
- 7.38%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
MSACX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MSACX Morgan Stanley Institutional Fund, Inc. Active International Allocation Portfolio | 14.73% | 21.80% | 7.17% | 12.50% | -21.58% | 2.26% | 30.48% | 22.42% | -15.15% | 24.79% |
GTMIX GMO Tax-Managed International Equities Fund | 21.02% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Correlation
The correlation between MSACX and GTMIX is 0.71, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.71 |
Correlation (3Y) Balances recent behavior with more history. | 0.78 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999 | 0.90 |
The correlation between MSACX and GTMIX shifts across timeframes, from 0.71 (1 year) to 0.90 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
MSACX vs. GTMIX — Risk / Return Rank
MSACX
GTMIX
MSACX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Institutional Fund, Inc. Active International Allocation Portfolio (MSACX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.
| MSACX | GTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.85 | ||
| Sortino ratioReturn per unit of downside risk | -3.88 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.62 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | 1.00 | 5.57 | -4.57 |
| Martin ratioReturn relative to average drawdown | 3.19 | 22.08 | -18.88 |
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Drawdowns
MSACX vs. GTMIX - Drawdown Comparison
The maximum MSACX drawdown since its inception was -55.43%, roughly equal to the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for MSACX and GTMIX.
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Drawdown Indicators
| MSACX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.43% | -58.31% | +2.88% |
Max Drawdown (1Y)Largest decline over 1 year | -13.85% | -7.90% | -5.95% |
Max Drawdown (3Y)Largest decline over 3 years | -13.85% | -14.11% | +0.26% |
Max Drawdown (5Y)Largest decline over 5 years | -37.36% | -27.34% | -10.02% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -40.32% | +2.96% |
Current DrawdownCurrent decline from peak | -4.65% | -0.84% | -3.81% |
Average DrawdownAverage peak-to-trough decline | -12.21% | -12.61% | +0.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.33% | 1.99% | +2.34% |
Volatility
MSACX vs. GTMIX - Volatility Comparison
Morgan Stanley Institutional Fund, Inc. Active International Allocation Portfolio (MSACX) has a higher volatility of 7.12% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.74%. This indicates that MSACX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MSACX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.12% | 3.74% | +3.38% |
Volatility (6M)Calculated over the trailing 6-month period | 15.95% | 10.11% | +5.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.23% | 12.71% | +9.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.21% | 14.89% | +4.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.24% | 15.76% | +2.48% |
MSACX vs. GTMIX - Expense Ratio Comparison
MSACX has a 0.90% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Dividends
MSACX vs. GTMIX - Dividend Comparison
MSACX has not paid dividends to shareholders, while GTMIX's dividend yield for the trailing twelve months is around 20.87%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 20.87% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
MSACX Morgan Stanley Institutional Fund, Inc. Active International Allocation Portfolio | 0.00% | 0.00% | 3.49% | 3.41% | 1.73% | 8.51% | 0.04% | 1.25% | 1.70% | 2.04% | 2.42% | 0.97% |
Frequently Asked Questions
MSACX and GTMIX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MSACX has higher volatility (7.12%) compared to GTMIX (3.74%). In terms of maximum drawdown, MSACX dropped -55.43% vs GTMIX's -58.31%.
GTMIX currently has the higher Sharpe Ratio (3.47 vs 0.63), 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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