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PWJZX vs. STITX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PWJZX vs. STITX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Jennison International Opportunities Fund (PWJZX) and Virtus SGA International Growth Fund (STITX). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%JuneJulyAugustSeptemberOctoberNovember
205.66%
16.83%
PWJZX
STITX

Returns By Period

In the year-to-date period, PWJZX achieves a 6.59% return, which is significantly higher than STITX's -6.95% return. Over the past 10 years, PWJZX has outperformed STITX with an annualized return of 8.80%, while STITX has yielded a comparatively lower -1.93% annualized return.


PWJZX

YTD

6.59%

1M

-5.26%

6M

-3.78%

1Y

13.01%

5Y (annualized)

8.36%

10Y (annualized)

8.80%

STITX

YTD

-6.95%

1M

-5.11%

6M

-4.81%

1Y

0.22%

5Y (annualized)

-2.49%

10Y (annualized)

-1.93%

Key characteristics


PWJZXSTITX
Sharpe Ratio0.770.02
Sortino Ratio1.190.11
Omega Ratio1.141.01
Calmar Ratio0.380.01
Martin Ratio3.540.05
Ulcer Index3.68%4.54%
Daily Std Dev16.85%11.89%
Max Drawdown-48.26%-70.75%
Current Drawdown-25.46%-38.91%

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PWJZX vs. STITX - Expense Ratio Comparison

PWJZX has a 0.90% expense ratio, which is lower than STITX's 1.08% expense ratio.


STITX
Virtus SGA International Growth Fund
Expense ratio chart for STITX: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for PWJZX: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Correlation

-0.50.00.51.00.8

The correlation between PWJZX and STITX is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

PWJZX vs. STITX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison International Opportunities Fund (PWJZX) and Virtus SGA International Growth Fund (STITX). 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.


Sharpe ratio
The chart of Sharpe ratio for PWJZX, currently valued at 0.77, compared to the broader market0.002.004.000.770.02
The chart of Sortino ratio for PWJZX, currently valued at 1.19, compared to the broader market0.005.0010.001.190.11
The chart of Omega ratio for PWJZX, currently valued at 1.14, compared to the broader market1.002.003.004.001.141.01
The chart of Calmar ratio for PWJZX, currently valued at 0.38, compared to the broader market0.005.0010.0015.0020.0025.000.380.01
The chart of Martin ratio for PWJZX, currently valued at 3.54, compared to the broader market0.0020.0040.0060.0080.00100.003.540.05
PWJZX
STITX

The current PWJZX Sharpe Ratio is 0.77, which is higher than the STITX Sharpe Ratio of 0.02. The chart below compares the historical Sharpe Ratios of PWJZX and STITX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.77
0.02
PWJZX
STITX

Dividends

PWJZX vs. STITX - Dividend Comparison

PWJZX's dividend yield for the trailing twelve months is around 0.09%, less than STITX's 0.23% yield.


TTM20232022202120202019201820172016201520142013
PWJZX
PGIM Jennison International Opportunities Fund
0.09%0.09%0.00%0.00%0.00%0.00%0.06%0.17%0.24%0.00%0.00%0.00%
STITX
Virtus SGA International Growth Fund
0.23%0.20%0.00%0.00%0.00%0.36%0.31%0.12%0.41%0.70%2.35%9.54%

Drawdowns

PWJZX vs. STITX - Drawdown Comparison

The maximum PWJZX drawdown since its inception was -48.26%, smaller than the maximum STITX drawdown of -70.75%. Use the drawdown chart below to compare losses from any high point for PWJZX and STITX. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%JuneJulyAugustSeptemberOctoberNovember
-25.46%
-31.66%
PWJZX
STITX

Volatility

PWJZX vs. STITX - Volatility Comparison

PGIM Jennison International Opportunities Fund (PWJZX) has a higher volatility of 3.20% compared to Virtus SGA International Growth Fund (STITX) at 2.83%. This indicates that PWJZX's price experiences larger fluctuations and is considered to be riskier than STITX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.20%
2.83%
PWJZX
STITX