MSJIX vs. VGPMX

Last updated Jun 4, 2026

MSJIX (Morgan Stanley Global Endurance Portfolio) and VGPMX (Vanguard Global Capital Cycles Fund) are both Global Equities funds. Over the past 5 years, MSJIX returned -8.12%/yr vs 20.51%/yr for VGPMX. A 0.53 correlation means they provide meaningful diversification when combined. MSJIX charges 1.00%/yr vs 0.36%/yr for VGPMX.

Performance

MSJIX vs. VGPMX - Performance Comparison

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

Returns By Period

In the year-to-date period, MSJIX achieves a -2.07% return, which is significantly lower than VGPMX's 21.14% return.

MSJIX

• 1D: -2.03%
• 1M: 0.00%
• YTD: -2.07%
• 6M: -0.50%
• 1Y: 17.47%
• 3Y*: 15.00%
• 5Y*: -8.12%
• 10Y*: —

VGPMX

• 1D: 1.33%
• 1M: 6.96%
• YTD: 21.14%
• 6M: 25.95%
• 1Y: 66.86%
• 3Y*: 31.54%
• 5Y*: 20.51%
• 10Y*: 11.53%

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

MSJIX vs. VGPMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MSJIX Morgan Stanley Global Endurance Portfolio	-2.07%	24.62%	5.99%	72.54%	-66.23%	9.69%	110.10%	34.61%
VGPMX Vanguard Global Capital Cycles Fund	21.14%	65.96%	5.78%	10.06%	7.34%	19.50%	17.21%	22.05%

Correlation

The correlation between MSJIX and VGPMX is 0.53, 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	0.53
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (All Time) Calculated using the full available price history since Jan 4, 2019	0.53

The correlation between MSJIX and VGPMX has been stable across timeframes, ranging from 0.53 to 0.56 - a consistent structural relationship.

Return for Risk

MSJIX vs. VGPMX — Risk / Return Rank

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

MSJIX

MSJIX Risk / Return Rank: 16
MSJIX Sharpe Ratio Rank: 12
MSJIX Sortino Ratio Rank: 14
MSJIX Omega Ratio Rank: 13
MSJIX Calmar Ratio Rank: 21
MSJIX Martin Ratio Rank: 18

VGPMX

VGPMX Risk / Return Rank: 95
VGPMX Sharpe Ratio Rank: 98
VGPMX Sortino Ratio Rank: 94
VGPMX Omega Ratio Rank: 92
VGPMX Calmar Ratio Rank: 93
VGPMX Martin Ratio Rank: 95

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.

MSJIX vs. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Endurance Portfolio (MSJIX) 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.

	MSJIX	VGPMX	Difference
Sharpe ratio: Return per unit of total volatility	0.95	4.02	-3.07
Sortino ratio: Return per unit of downside risk	1.51	4.82	-3.31
Omega ratio: Gain probability vs. loss probability	1.18	1.69	-0.52
Calmar ratio: Return relative to maximum drawdown	1.70	5.25	-3.55
Martin ratio: Return relative to average drawdown	4.97	21.90	-16.93
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MSJIX vs. VGPMX - Sharpe Ratio Comparison

The current MSJIX Sharpe Ratio is 0.95, which is lower than the VGPMX Sharpe Ratio of 4.02. The chart below compares the historical Sharpe Ratios of MSJIX and VGPMX, 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

	MSJIX	VGPMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.95	4.02	-3.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.26	1.19	-1.44
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.55	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.26	+0.11

Drawdowns

MSJIX vs. VGPMX - Drawdown Comparison

The maximum MSJIX drawdown since its inception was -75.26%, roughly equal to the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for MSJIX and VGPMX.

Drawdown Indicators

	MSJIX	VGPMX	Difference
Max Drawdown Largest peak-to-trough decline	-75.26%	-78.85%	+3.59%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-12.80%	+1.89%
Max Drawdown (3Y) Largest decline over 3 years	-25.89%	-14.63%	-11.26%
Max Drawdown (5Y) Largest decline over 5 years	-74.10%	-22.71%	-51.39%
Max Drawdown (10Y) Largest decline over 10 years	—	-54.59%	—
Current Drawdown Current decline from peak	-43.08%	0.00%	-43.08%
Average Drawdown Average peak-to-trough decline	-36.29%	-34.55%	-1.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.72%	3.06%	+0.66%

Volatility

MSJIX vs. VGPMX - Volatility Comparison

Morgan Stanley Global Endurance Portfolio (MSJIX) has a higher volatility of 7.57% compared to Vanguard Global Capital Cycles Fund (VGPMX) at 5.98%. This indicates that MSJIX's price experiences larger fluctuations and is considered to be riskier than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSJIX	VGPMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.57%	5.98%	+1.59%
Volatility (6M) Calculated over the trailing 6-month period	14.78%	13.83%	+0.95%
Volatility (1Y) Calculated over the trailing 1-year period	19.43%	16.76%	+2.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	31.86%	17.38%	+14.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	32.63%	20.87%	+11.76%

MSJIX vs. VGPMX - Expense Ratio Comparison

MSJIX has a 1.00% expense ratio, which is higher than VGPMX's 0.36% expense ratio.

Dividends

MSJIX vs. VGPMX - Dividend Comparison

MSJIX's dividend yield for the trailing twelve months is around 0.54%, less than VGPMX's 3.22% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MSJIX Morgan Stanley Global Endurance Portfolio	0.54%	0.53%	0.56%	1.83%	0.00%	4.68%	3.17%	0.00%	0.00%	0.00%	0.00%	0.00%
VGPMX Vanguard Global Capital Cycles Fund	3.22%	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 MSJIX and VGPMX in my portfolio?

MSJIX and VGPMX have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSJIX or VGPMX?

MSJIX has higher volatility (7.57%) compared to VGPMX (5.98%). In terms of maximum drawdown, MSJIX dropped -75.26% vs VGPMX's -78.85%.

Which has better risk-adjusted returns?

VGPMX currently has the higher Sharpe Ratio (4.02 vs 0.95), 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.