MSJIX vs. GMGEX
Compare and contrast key facts about Morgan Stanley Global Endurance Portfolio (MSJIX) and GMO Global Equity Allocation Fund (GMGEX).
MSJIX is managed by Morgan Stanley. It was launched on Dec 30, 2018. GMGEX is managed by GMO. It was launched on Nov 25, 1996.
Performance
MSJIX vs. GMGEX - Performance Comparison
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MSJIX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
MSJIX Morgan Stanley Global Endurance Portfolio | -4.68% | 24.62% | 5.99% | 72.54% | -66.23% | 9.69% | 110.10% | 34.61% |
GMGEX GMO Global Equity Allocation Fund | 3.72% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 28.09% |
Returns By Period
In the year-to-date period, MSJIX achieves a -4.68% return, which is significantly lower than GMGEX's 3.72% return.
MSJIX
- 1D
- 3.73%
- 1M
- -4.63%
- YTD
- -4.68%
- 6M
- -1.37%
- 1Y
- 23.75%
- 3Y*
- 18.38%
- 5Y*
- -8.42%
- 10Y*
- —
GMGEX
- 1D
- 2.68%
- 1M
- -5.76%
- YTD
- 3.72%
- 6M
- 10.13%
- 1Y
- 30.15%
- 3Y*
- 16.98%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
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MSJIX vs. GMGEX - Expense Ratio Comparison
MSJIX has a 1.00% expense ratio, which is higher than GMGEX's 0.01% expense ratio.
Return for Risk
MSJIX vs. GMGEX — Risk / Return Rank
MSJIX
GMGEX
MSJIX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Endurance Portfolio (MSJIX) and GMO Global Equity Allocation Fund (GMGEX). 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.
| MSJIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.01 | 1.94 | -0.94 |
Sortino ratioReturn per unit of downside risk | 1.55 | 2.63 | -1.08 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.39 | -0.19 |
Calmar ratioReturn relative to maximum drawdown | 1.62 | 2.59 | -0.96 |
Martin ratioReturn relative to average drawdown | 5.59 | 11.30 | -5.71 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MSJIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.01 | 1.94 | -0.94 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.27 | 0.55 | -0.82 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.62 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.22 | +0.15 |
Correlation
The correlation between MSJIX and GMGEX is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
MSJIX vs. GMGEX - Dividend Comparison
MSJIX's dividend yield for the trailing twelve months is around 0.56%, less than GMGEX's 4.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MSJIX Morgan Stanley Global Endurance Portfolio | 0.56% | 0.53% | 0.56% | 1.83% | 0.00% | 4.68% | 3.17% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GMGEX GMO Global Equity Allocation Fund | 4.52% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Drawdowns
MSJIX vs. GMGEX - Drawdown Comparison
The maximum MSJIX drawdown since its inception was -75.26%, which is greater than GMGEX's maximum drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for MSJIX and GMGEX.
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Drawdown Indicators
| MSJIX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.26% | -58.47% | -16.79% |
Max Drawdown (1Y)Largest decline over 1 year | -12.32% | -11.62% | -0.70% |
Max Drawdown (5Y)Largest decline over 5 years | -74.10% | -28.58% | -45.52% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.98% | — |
Current DrawdownCurrent decline from peak | -44.59% | -6.81% | -37.78% |
Average DrawdownAverage peak-to-trough decline | -36.15% | -16.84% | -19.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.58% | 2.66% | +0.92% |
Volatility
MSJIX vs. GMGEX - Volatility Comparison
Morgan Stanley Global Endurance Portfolio (MSJIX) has a higher volatility of 7.47% compared to GMO Global Equity Allocation Fund (GMGEX) at 6.09%. This indicates that MSJIX's price experiences larger fluctuations and is considered to be riskier than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MSJIX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.47% | 6.09% | +1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 13.09% | 9.78% | +3.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.37% | 15.72% | +6.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.82% | 14.74% | +17.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.82% | 16.02% | +16.80% |